• Performance Bond Requirement Changes - NYMEX Products - Effective Monday, September 28, 2009

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 09-418
      • Notice Date
      • 25 September 2009
      • Effective Date
      • 28 September 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, Sept 28th, 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– 12th Nearby
      7th– 13th Nearby
      5
      13th– 17th Nearby
      14th– 18th Nearby
      6
      18th- 29th Nearby
      19th- 30th Nearby
      7
      30th- 41st Nearby
      31st- 42nd Nearby
      8
      42nd- 53rd Nearby
      43rd- 54th Nearby
      9
      Greater than 53rd Nearby
      Greater than 54th Nearby
       
       

       

      For the pdf file of this advisory, please click here.

       

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