• Performance Bond Requirement Changes - Effective Monday, February 23rd, 2009

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 09-66
      • Notice Date
      • 20 February 2009
      • Effective Date
      • 23 February 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 Monday, February 23rd, 2009.
       
      NEW MARGIN RATES AND TIERS FOR NG BASIS SWAP Contracts
       
       
      New Basis Swap Contracts 
      Code
      Columbia Gulf Mainline Swap
      5Z
      Florida Zone 2 Swap
      8A
      OneOk ,Oklahoma Swap
      8X
      Southern Star, TX, OK, KS Swap
      8Z
      Tennessee 800 Swap
      6Z
      Texas Eastern West LA Swap
      8B
      Texas Gas Zone 1 Swap
      9F
      Transco Zone 1 Swap
      8E
      Transco Zone 2 Swap
      8F
      SoCal City-Gate Swap
      9A
       
       
       
       
       
      Outright (Scan) Tiers for 10 New Basis Swap
      Tiers
      Months
      1
      1st Nearby
      2
      2nd nearby and Greater
       
       
      NYMEX Division Margin Rates For New Natural Gas Basis Swaps
       
       
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
      NATURAL GAS BASIS FINANCIAL
      New
      New
      New
      Columbia Gulf Mainline Swap (5Z)
       
       
       
      Tier 1 - 1st Nearby
      $150
      $165
      $203
      Tier 2: 2nd Nearby
      $100
      $110
      $135
      Florida Zone 2 Swap (8A)
       
       
       
      Tier 1 - 1st Nearby
      $200
      $220
      $270
      Tier 2: 2nd Nearby
      $200
      $220
      $270
      OneOk,Oklahoma Swap (8X)
       
       
       
      Tier 1 - 1st Nearby
      $1,300
      $1,430
      $1,755
      Tier 2: 2nd Nearby
      $1,000
      $1,100
      $1,350
      Southern Star, TX,OK,KS Swap (8Z)
       
       
       
      Tier 1 - 1st Nearby
      $1,300
      $1,430
      $1,755
      Tier 2: 2nd Nearby
      $1,000
      $1,100
      $1,350
      Tennessee 800 Swap (6Z)
       
       
       
      Tier 1 - 1st Nearby
      $300
      $330
      $405
      Tier 2: 2nd Nearby
      $200
      $220
      $270
      Texas Eastern West LA Swap (8B)
       
       
       
      Tier 1 - 1st Nearby
      $300
      $330
      $405
      Tier 2: 2nd Nearby
      $250
      $275
      $338
      Texas Gas Zone 1 Swap (9F)
       
       
       
      Tier 1 - 1st Nearby
      $300
      $330
      $405
      Tier 2: 2nd Nearby
      $100
      $110
      $135
      Transco Zone 1 Swap (8E)
       
       
       
      Tier 1 - 1st Nearby
      $150
      $165
      $203
      Tier 2: 2nd Nearby
      $150
      $165
      $203
      Transco Zone 2 Swap (8F)
       
       
       
      Tier 1 - 1st Nearby
      $150
      $165
      $203
      Tier 2: 2nd Nearby
      $150
      $165
      $203
      SoCal City-Gate Swap (9A)
       
       
       
      Tier 1 - 1st Nearby
      $800
      $880
      $1,080
      Tier 2: 2nd Nearby
      $600
      $660
      $810
      Intra-Commodity Spread Tiers for 10 New Basis Swap
       
      Tiers
      Months
       
      1
      1st Nearby
       
      2
      2nd nearby and Greater
       
       
      Intra-Commodity Spread Margins for 10 New Basis Swap
       
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Initial Margin
      New
      New
      New
      1
      $25.00
      $27.50
      $33.75
      2
      $25.00
      $27.50
      $33.75
       

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