• Performance Bond Requirement Changes - Effective - Tuesday, December 30, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-418
      • Notice Date
      • 29 December 2008
      • Effective Date
      • 30 December 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, December 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 Nearby
      3rd Nearby
      4
      4th- 9th Nearby
      4th- 10th Nearby
      5
      10th– 14th Nearby
      11th– 15th Nearby
      6
      15th– 26th Nearby
      16th– 27th Nearby
      7
      27th- 38th Nearby
      28th- 39th Nearby
      8
      39th- 50th Nearby
      40th- 51st Nearby
      9
      Greater than 50th Nearby
      Greater than 51st 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
      $6,500
      $7,250
      $7,150
      $7,975
      $8,775
      $9,788
      2
      $6,250
      $7,000
      $6,875
      $7,700
      $8,438
      $9,450
      3
      $6,000
      $6,750
      $6,600
      $7,425
      $8,100
      $9,113
      4
      $5,250
      $5,250
      $5,775
      $5,775
      $7,088
      $7,088
      5
      $5,250
      $5,250
      $5,775
      $5,775
      $7,088
      $7,088
      6
      $4,000
      $4,000
      $4,400
      $4,400
      $5,400
      $5,400
      7
      $3,500
      $3,500
      $3,850
      $3,850
      $4,725
      $4,725
      8
      $3,250
      $3,250
      $3,575
      $3,575
      $4,388
      $4,388
      9
      $3,000
      $3,000
      $3,300
      $3,300
      $4,050
      $4,050
       
       
      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
      $1,625
      $1,813
      $1,788
      $1,994
      $2,194
      $2,447
      2
      $1,563
      $1,750
      $1,719
      $1,925
      $2,109
      $2,363
      3
      $1,500
      $1,688
      $1,650
      $1,856
      $2,025
      $2,278
      4
      $1,313
      $1,313
      $1,444
      $1,444
      $1,772
      $1,772
      5
      $1,313
      $1,313
      $1,444
      $1,444
      $1,772
      $1,772
      6
      $1,000
      $1,000
      $1,100
      $1,100
      $1,350
      $1,350
      7
      $875
      $875
      $963
      $963
      $1,181
      $1,181
      8
      $813
      $813
      $894
      $894
      $1,097
      $1,097
      9
      $750
      $750
      $825
      $825
      $1,013
      $1,013
       
       
      NYMEX Division Outright (Scan) Margin on Henry Hub SwingSwap Futures (SN)
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      1
      $1,625
      $1,813
      $1,788
      $1,994
      $2,194
      $2,447
       

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