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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.