• Performance Bond Requirement Changes - Effective Tuesday, November 25, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-366
      • Notice Date
      • 24 November 2008
      • Effective Date
      • 25 November 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 Tuesday, November 25th, 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 Nearby
      3rd - 4th Nearby
      4
      4th- 10th Nearby
      5th- 11th Nearby
      5
      11th– 15th Nearby
      12th– 16th Nearby
      6
      16th– 27th Nearby
      17th– 28th Nearby
      7
      28th- 39th Nearby
      29th- 40st Nearby
      8
      40th- 51st Nearby
      41st- 52nd Nearby
      9
      Greater than 51st Nearby
      Greater than 52nd Nearby
       
       

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