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Performance Bond Requirement Changes - Effective Monday, February 9th, 2009
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- To
- Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
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- From
- CME Clearing
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- #
- 09-49
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- Notice Date
- 05 February 2009
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- Effective Date
- 09 February 2009
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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, February 9th, 2009.Outright (SCAN) Margin Rate Change for the Existing Natural Gas Basis, Swing and Index Swap ContractsNote: The revised margins are in boldNYMEX Division Margin Rates for Existing Natural Gas Basis and Index SwapsClearing Member / Maintenance MarginMember Customer Initial MarginNon-Member Customer Initial MarginNewOldNewOldNewOldCITier 1$1,800$2,000$1,980$2,200$2,430$2,700Tier 2$1,000$1,250$1,100$1,375$1,350$1,688Tier 3$1,200$1,000$1,320$1,100$1,620$1,350Tier 4$1,000$750$1,100$825$1,350$1,013Tier 5$750$750$825$825$1,013$1,013FPTier 1$200$250$220$275$270$338Tier 2$200$250$220$275$270$338Tier 3$50$100$55$110$68$135Tier 4$100$100$110$110$135$135Tier 5$100$100$110$110$135$135NATier 1$650$750$715$825$878$1,013Tier 2$400$500$440$550$540$675Tier 3$200$250$220$275$270$338Tier 4$200$250$220$275$270$338Tier 5$150$200$165$220$203$270NBTier 1$700$800$770$880$945$1,080Tier 2$250$300$275$330$338$405NETier 1$1,250$1,500$1,375$1,650$1,688$2,025Tier 2$1,000$1,250$1,100$1,375$1,350$1,688Tier 3$750$1,000$825$1,100$1,013$1,350NHTier 1$500$600$550$660$675$810Tier 2$150$200$165$220$203$270Tier 3$150$200$165$220$203$270Tier 4$100$100$110$110$135$135Tier 5$100$100$110$110$135$135NLTier 1$1,300$1,500$1,430$1,650$1,755$2,025Tier 2$800$1,000$880$1,100$1,080$1,350Tier 3$400$500$440$550$540$675Tier 4$300$300$330$330$405$405Tier 5$200$200$220$220$270$270NRTier 1$2,300$2,500$2,530$2,750$3,105$3,375Tier 2$1,800$2,000$1,980$2,200$2,430$2,700Tier 3$1,500$1,500$1,650$1,650$2,025$2,025Tier 4$1,500$1,500$1,650$1,650$2,025$2,025Tier 5$1,500$1,500$1,650$1,650$2,025$2,025NSTier 1$800$1,000$880$1,100$1,080$1,350Tier 2$600$600$660$660$810$810Tier 3$400$400$440$440$540$540Tier 4$200$200$220$220$270$270Tier 5$200$200$220$220$270$270NVTier 1$2,300$2,500$2,530$2,750$3,105$3,375Tier 2$1,800$2,000$1,980$2,200$2,430$2,700Tier 3$1,500$1,500$1,650$1,650$2,025$2,025Tier 4$1,500$1,500$1,650$1,650$2,025$2,025Tier 5$1,500$1,500$1,650$1,650$2,025$2,025NWTier 1$800$1,000$880$1,100$1,080$1,350Tier 2$600$800$660$880$810$1,080Tier 3$400$600$440$660$540$810Tier 4$500$400$550$440$675$540Tier 5$200$200$220$220$270$270PBTier 1$600$750$660$825$810$1,013Tier 2$500$600$550$660$675$810Tier 3$400$500$440$550$540$675PCTier 1$700$900$770$990$945$1,215Tier 2$400$500$440$550$540$675Tier 3$250$250$275$275$338$338Tier 4$0$0$0$0$0$0Tier 5$0$0$0$0$0$0PETier 1$1,300$1,500$1,430$1,650$1,755$2,025Tier 2$800$1,000$880$1,100$1,080$1,350Tier 3$300$500$330$550$405$675PFTier 1$700$900$770$990$945$1,215Tier 2$550$750$605$825$743$1,013Tier 3$400$300$440$330$540$405PHTier 1$1,300$1,500$1,430$1,650$1,755$2,025Tier 2$800$1,000$880$1,100$1,080$1,350Tier 3$500$500$550$550$675$675Tier 4$300$300$330$330$405$405Tier 5$300$300$330$330$405$405PMTier 1$800$1,000$880$1,100$1,080$1,350Tier 2$700$900$770$990$945$1,215Tier 3$650$750$715$825$878$1,013Tier 4$300$500$330$550$405$675Tier 5$250$300$275$330$338$405PWTier 1$1,000$1,500$1,100$1,650$1,350$2,025Tier 2$750$1,000$825$1,100$1,013$1,350DITier 1$2,800$3,000$3,080$3,300$3,780$4,050Tier 2$200$200$220$220$270$270Tier 3$100$100$110$110$135$135IFTier 1$2,300$2,500$2,530$2,750$3,105$3,375Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135IITier 1$2,800$3,000$3,080$3,300$3,780$4,050Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135IJTier 1$2,300$2,500$2,530$2,750$3,105$3,375Tier 2$200$200$220$220$270$270Tier 3$100$100$110$110$135$135IKTier 1$1,800$2,000$1,980$2,200$2,430$2,700Tier 2$400$400$440$440$540$540Tier 3$100$100$110$110$135$135ILTier 1$2,300$2,500$2,530$2,750$3,105$3,375Tier 2$500$500$550$550$675$675Tier 3$200$200$220$220$270$270INTier 1$1,300$1,500$1,430$1,650$1,755$2,025Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135IPTier 1$1,300$1,500$1,430$1,650$1,755$2,025Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135IRTier 1$2,800$3,000$3,080$3,300$3,780$4,050Tier 2$200$200$220$220$270$270Tier 3$100$100$110$110$135$135ISTier 1$1,300$1,500$1,430$1,650$1,755$2,025Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135ITTier 1$4,000$3,000$4,400$3,300$5,400$4,050Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135IUTier 1$3,500$3,750$3,850$4,125$4,725$5,063Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135IVTier 1$2,800$3,000$3,080$3,300$3,780$4,050Tier 2$200$200$220$220$270$270Tier 3$100$100$110$110$135$135IWTier 1$2,800$3,000$3,080$3,300$3,780$4,050Tier 2$200$200$220$220$270$270Tier 3$100$100$110$110$135$135IXTier 1$6,000$5,500$6,600$6,050$8,100$7,425Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135IYTier 1$2,300$2,500$2,530$2,750$3,105$3,375Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135OITier 1$1,300$1,500$1,430$1,650$1,755$2,025Tier 2$200$200$220$220$270$270Tier 3$100$100$110$110$135$135Y6Tier 1$1,800$2,000$1,980$2,200$2,430$2,700Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135Y8Tier 1$1,300$1,500$1,430$1,650$1,755$2,025Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135Q2Tier 1$1,800$2,000$1,980$2,200$2,430$2,700Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135Q4Tier 1$1,800$2,000$1,980$2,200$2,430$2,700Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135Z8Tier 1$4,500$5,000$4,950$5,500$6,075$6,750Tier 2$500$500$550$550$675$675Tier 3$100$100$110$110$135$135
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