• Performance Bond Requirement Changes - Effective Thursday, October 30th, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-298
      • Notice Date
      • 29 October 2008
      • Effective Date
      • 30 October 2008
    • To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to: http://www.cmegroup.com/newsletter/web2lead/web2sf-old.html and subscribe to the Performance Bond Rates Advisory Notices listserver.
       
      As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management staff approved the performance bond requirements for the following products listed below. The rates are effective at the close of business on Thursday, October 30th, 2008.
       
      MARGIN RATE AND TIER CHANGES FOR NATURAL GAS FUTURES (NG), HENRY HUB SWAP FUTURES (NN), NATURAL GAS PENULTIMATE (HP), NATURAL GAS  LAST DAY (HH), GLOBEX NATURAL GAS miNY™ FUTURES (QG), HENRY HUB SWING SWAP FUTURES (SN), AND HENRY HUB PENULTIMATE SWAP (NP) CONTRACTS
       
      Note: The revised margins are in bold.
       
      NG/NN/NP/HH/HP/QG Intra-Commodity Spread and Scan Tiers
      Tiers
      New
      Old
      1
      1st Nearby
      1st Nearby
      2
      2nd Nearby
      2nd Nearby
      3
      3rd - 4th Nearby
      3rd - 5th Nearby
      4
      5th- 11th Nearby
      6th- 12th Nearby
      5
      12th– 16th Nearby
      13th– 17th Nearby
      6
      17th– 28th Nearby
      18th– 29th Nearby
      7
      29th- 40th Nearby
      30th- 41st Nearby
      8
      41st- 52nd Nearby
      42nd- 53rd Nearby
      9
      Greater than 52nd Nearby
      Greater than 53rd Nearby
       
       
       
       
      NYMEX Division Outright (Scan) Margins on Natural Gas Futures (NG), Natural Gas Penultimate (HP) and Natural Gas Last Day (HH)
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      1
      $7,250
      $8,250
      $7,975
      $9,075
      $9,788
      $11,138
      2
      $7,000
      $8,000
      $7,700
      $8,800
      $9,450
      $10,800
      3
      $6,750
      $7,750
      $7,425
      $8,525
      $9,113
      $10,463
      4
      $5,250
      $5,250
      $5,775
      $5,775
      $7,088
      $7,088
      5
      $5,250
      $5,500
      $5,775
      $6,050
      $7,088
      $7,425
      6
      $4,000
      $4,250
      $4,400
      $4,675
      $5,400
      $5,738
      7
      $3,500
      $4,000
      $3,850
      $4,400
      $4,725
      $5,400
      8
      $3,250
      $3,750
      $3,575
      $4,125
      $4,388
      $5,063
      9
      $3,000
      $3,500
      $3,300
      $3,850
      $4,050
      $4,725
       
       
      NYMEX Division Outright (Scan) Margins on Henry Hub Swap Futures (NN) Henry Hub Penultimate Swap (NP) and GLOBEX miNY Natural Gas (QG)
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      1
      $1,813
      $2,063
      $1,994
      $2,269
      $2,447
      $2,784
      2
      $1,750
      $2,000
      $1,925
      $2,200
      $2,363
      $2,700
      3
      $1,688
      $1,938
      $1,856
      $2,131
      $2,278
      $2,616
      4
      $1,313
      $1,313
      $1,444
      $1,444
      $1,772
      $1,772
      5
      $1,313
      $1,375
      $1,444
      $1,513
      $1,772
      $1,856
      6
      $1,000
      $1,063
      $1,100
      $1,169
      $1,350
      $1,434
      7
      $875
      $1,000
      $963
      $1,100
      $1,181
      $1,350
      8
      $813
      $938
      $894
      $1,031
      $1,097
      $1,266
      9
      $750
      $875
      $825
      $963
      $1,013
      $1,181
       
       
       
      NYMEX Division Outright (Scan) Margin on Henry Hub Swing Swap Futures (SN)
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      1
      $1,813
      $2,063
      $1,994
      $2,269
      $2,447
      $2,784
       
       
       

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