• Performance Bond Requirement Changes - EffectiveThursday, February 26, 2009 thru Friday, March 6, 2009

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 09-70
      • Notice Date
      • 25 February 2009
      • Effective Date
      • 26 February 2009
    • 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 from Thursday, February 26, 2009 (close of business) to Friday, March 6, 2009 (close of business).
       
      Futures Contracts:    
      Demarcation Index Swap (DI), SoCal Index Swap (IF), Dominion Index Swap (IH), CenterPoint Index
      Swap (II), San Juan Index Swap (IJ), PG&E City Gate Index Swap (IK), El Paso/Permian Index Swap
      (IL), Henry Hub Index Swap (IN), Dawn Index Swap (IO), Houston Ship Channel Index Swap (IP), ANR
      OK Index Swap (IQ), Rockies Index Swap (IR), Chicago Index Swap (IS), Transco Zone 6 Index Swap
      (IT), Sumas Index Swap (IU), Panhandle Index Swap (IV), NGPL Mid-Continent Index Swap (IW),
      TETCO M-3 Index Swap (IX), Waha Index Swap (IY), NGPL Tex/OK Index Swap (OI) and Ventura
      Index Swap (VI), TCO Natural Gas Index Swap(Q1), TETCO STX Natural Gas Index Swap(Q2),
      Tennessee Zone 0 Natural Gas Index Swap(Q4), Transco Zone 3 Natural Gas Index Swap(Y6), Tennessee
      500 Leg Natural Gas Index Swap(Y7), Michcon Natural Gas Index Swap(Y8), CIG Rockies Natural Gas
      Index Swap(Z8).
       
      Contract Months:       All Months
      Note:   The revised margin Tiers are in bold.
       
      NYMEX Outright (Scan) Margin and Intra-Commodity Spread Tiers For Existing Natural Gas Index Swaps
      Tiers
      New
      Old*
      1
      1st - 2nd Nearby
      1st Nearby
      2
      3rd Nearby
      2nd Nearby
      3
      4th And Greater
      3rd And Greater

      * After March 6, 2009 Original Tiers apply

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