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Performance Bond Requirements - NYMEX Natural Gas Tier Changes - Effective Tuesday, November 24, 2009
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- To
- Clearing Member Firms; Back Office Managers
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- From
- CME Clearing
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- #
- 09-517
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- Notice Date
- 23 November 2009
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- Effective Date
- 24 November 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 Tuesday, Nov 24th, 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 Nearby
3rd – 4th Nearby
4
4th– 10th Nearby
5th– 11th Nearby
5
11th– 15th Nearby
12th– 16th Nearby
6
16th- 27th Nearby
17th- 28th Nearby
7
28th- 39th Nearby
29th- 40th Nearby
8
40th- 51st Nearby
41st- 52nd Nearby
9
Greater than 51st Nearby
Greater than 52nd Nearby
For the pdf of this advisory, please click here.
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