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Performance Bond Requirements-Effective August 27, 2009-NG/NN/NP/HH/HP/QG Intra-Commodity Spread and Scan Tiers
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- To
- Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
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- From
- CME Clearing
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- #
- 09-370
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- Notice Date
- 26 August 2009
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- Effective Date
- 27 August 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 Thursday, Aug 27, 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) CONTRACTSNote: The revised tiers are in bold.NG/NN/NP/HH/HP/QG Intra-Commodity Spread and Scan TiersTiersNewOld11st Nearby1st Nearby22nd Nearby2nd Nearby33rd – 6th Nearby3rd – 7th Nearby47th– 13th Nearby8th– 14th Nearby514th– 18th Nearby14th– 19th Nearby619th- 30th Nearby20st- 31nd Nearby731st- 42nd Nearby32rd- 43rd Nearby843rd- 54th Nearby44th- 55th Nearby9Greater than 54th NearbyGreater than 55th Nearby
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