• Performance Bond Requirement Changes - Effective Monday, March 30th, 2009

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 09-130
      • Notice Date
      • 27 March 2009
      • Effective Date
      • 30 March 2009
    • 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 Monday, March 30th, 2009.
       
       
      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- 6th Nearby
      3rd- 7th Nearby
      4
      7th– 11th Nearby
      8th– 12th Nearby
      5
      12th– 23th Nearby
      13th– 24th Nearby
      6
      24th- 35th Nearby
      25th- 36th Nearby
      7
      36th- 47th Nearby
      37th- 48th Nearby
      8
      48th- 59th Nearby
      49th- 59th Nearby
      9
      Greater than 59th Nearby
      Greater than 59th 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
      $5,000
      $5,000
      $5,500
      $5,500
      $6,750
      $6,750
      2
      $4,750
      $4,750
      $5,225
      $5,225
      $6,413
      $6,413
      3
      $4,500
      $4,500
      $4,950
      $4,950
      $6,075
      $6,075
      4
      $4,500
      $4,500
      $4,950
      $4,950
      $6,075
      $6,075
      5
      $4,250
      $4,000
      $4,675
      $4,400
      $5,738
      $5,400
      6
      $4,000
      $3,500
      $4,400
      $3,850
      $5,400
      $4,725
      7
      $3,750
      $3,250
      $4,125
      $3,575
      $5,063
      $4,388
      8
      $3,500
      $3,000
      $3,850
      $3,300
      $4,725
      $4,050
      9
      $3,500
      $3,000
      $3,850
      $3,300
      $4,725
      $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
      $1,250
      $1,250
      $1,375
      $1,375
      $1,688
      $1,688
      2
      $1,188
      $1,188
      $1,306
      $1,306
      $1,603
      $1,603
      3
      $1,125
      $1,125
      $1,238
      $1,238
      $1,519
      $1,519
      4
      $1,125
      $1,125
      $1,238
      $1,238
      $1,519
      $1,519
      5
      $1,063
      $1,000
      $1,169
      $1,100
      $1,434
      $1,350
      6
      $1,000
      $875
      $1,100
      $963
      $1,350
      $1,181
      7
      $938
      $813
      $1,031
      $894
      $1,266
      $1,097
      8
      $875
      $750
      $963
      $825
      $1,181
      $1,013
      9
      $875
      $750
      $963
      $825
      $1,181
      $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
      $1,250
      $1,250
      $1,375
      $1,375
      $1,688
      $1,688
       

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