• Performance Bond Requirements-Effective Wednesday, April 29, 2009

      • To
      • Clearing Member Firms; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 09-175
      • Notice Date
      • 28 April 2009
      • Effective Date
      • 29 April 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 Wednesday, April 29, 2009.
       
       
      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 tiers 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- 5th Nearby
      3rd- 6th Nearby
      4
      6th– 10th Nearby
      7th– 11th Nearby
      5
      11th– 22nd Nearby
      12th– 23th Nearby
      6
      23th- 34th Nearby
      24th- 35th Nearby
      7
      35th- 46th Nearby
      36th- 47th Nearby
      8
      47th- 58th Nearby
      48th- 59th Nearby
      9
      Greater than 58th Nearby
      Greater than 59th Nearby

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