• Performance Bond Requirements - NYMEX Natural Gas Tier Changes - Effective Tuesday, November 24, 2009

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 09-517
      • Notice Date
      • 23 November 2009
      • Effective Date
      • 24 November 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 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.