• Performance Bond Requirement Changes - Natural Gas Index Swaps Tier Change - Effective Wednesday, October 28, 2009

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 09-470
      • Notice Date
      • 27 October 2009
      • Effective Date
      • 28 October 2009
    • 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 Wednesday, Oct 28th, 2009.


      Futures Contracts:    

      Transco Zone 4 (B2) Texas Eastern (C2) Florida Gas Zone 2 (C3) Transco Zone 1 (C4) Oneok (C7) Southern Star (C9) Demarcation Index Swap (DI), SoCal Index Swap (IF), Dominion Index Swap (IH), CenterPoint Index Swap (II), San Juan Index Swap (IJ), PG&E City Gate Index Swap (IK), El Paso/Permian Index Swap (IL), Henry Hub Index Swap (IN), Dawn Index Swap (IO), Houston Ship Channel Index Swap (IP), ANR OK Index Swap (IQ), Rockies Index Swap (IR), Chicago Index Swap (IS), Transco Zone 6 Index Swap (IT), Sumas Index Swap (IU), Panhandle Index Swap (IV), NGPL Mid-Continent Index Swap (IW),TETCO M-3 Index Swap (IX), Waha Index Swap (IY),Columbia Gulf Mainline (L2) Tennessee 800 leg (L4) Transco Zone 2 (L7)   ANR La. (M6) Trunkline ELA (M7) Southern Natural La. (M8) Texas Eastern ELA (M9) Texas Gas Zone 1 (N4) Socal City Gate (N5) NGPL STX (N6) Algonquin City-Gates (N7) Questar (N8)  NGPL Tex/OK Index Swap (OI) and Ventura

      Index Swap (VI), TCO Natural Gas Index Swap(Q1), TETCO STX Natural Gas Index Swap(Q2),

      Tennessee Zone 0 Natural Gas Index Swap(Q4), Florida Gas Zone 3 (Q9)  Texas Gas Zone SL (S7)

      Columbia Gulf (S9)  Malin (V8) Transco Zone 3 Natural Gas Index Swap(Y6), Tennessee

      500 Leg Natural Gas Index Swap(Y7), Michcon Natural Gas Index Swap(Y8), CIG Rockies Natural Gas

      Index Swap(Z8).


      Contract Months:       All Months

      Note:   The revised margin Tiers are in bold.



      NYMEX Outright (Scan) Margin and Intra-Commodity Spread Tiers For Existing Natural Gas Index Swaps





      1st - 2nd Nearby

      1st Nearby


      3rd Nearby

      2nd Nearby


      4th And Greater

      3rd And Greater


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