• Performance Bond Requirements - NYMEX Natural Gas Basis Tier Level Changes - Effective Friday, April 23, 2010

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 10-178
      • Notice Date
      • 22 April 2010
      • Effective Date
      • 23 April 2010

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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 changes are effective at the close of business on Friday, April 23, 2010.

       

      TIER CHANGES FOR CIG ROCKY MOUNTAIN NATURAL GAS BASIS SWAP (PLATTS IFERC) (CI)

       

      Note: The revisions are in bold.

      CI Tiers

      Tiers

      New

      Old

      1

      1st Nearby

      1st Nearby

      2

      2nd Nearby - 5th Nearby

      2nd Nearby - 5th Nearby

      3

      Greater than 5th Nearby

      6th Nearby - 10th Nearby

      4

      NA

      11th Nearby - 17th Nearby

      5

      NA

      Greater than 17th Nearby

       

      TIER CHANGES FOR TEXAS EASTERN ZONE M-3 NATURAL GAS BASIS SWAP (PLATTS IFERC) (NX)

       

      Note: The revisions are in bold.

      NX Tiers

      Tiers

      New

      Old

      1

      1st Nearby

      1st Nearby

      2

      2nd Nearby - 5th Nearby

      2nd Nearby - 5th Nearby

      3

      Greater than 5th Nearby

      6th Nearby - 10th Nearby

      4

      NA

      11th Nearby - 17th Nearby

      5

      NA

      Greater than 17th Nearby

       

      TIER CHANGES FOR TRANSCO ZONE 6 NEW YORK NATURAL GAS BASIS SWAP (PLATTS) (NZ)

       

      Note: The revisions are in bold.

      NZ Tiers

      Tiers

      New

      Old

      1

      1st Nearby

      1st Nearby

      2

      2nd Nearby - 5th Nearby

      2nd Nearby - 5th Nearby

      3

      6th Nearby - 10th Nearby

      6th Nearby - 10th Nearby

      4

      Greater than 10th Nearby

      11th Nearby - 17th Nearby

      5

      NA

      Greater than 17th Nearby
       

      TIER CHANGES FOR SONAT LOUISIANA NATURAL GAS BASIS SWAP (PLATTS) (SZ)

       

      Note: The revisions are in bold.

      SZ Tiers

      Tiers

      New

      Old

      1

      1st Nearby

      1st Nearby

      2

      2nd Nearby

      2nd Nearby

      3

      Greater than 2nd Nearby

      3rd Nearby - 4th Nearby

      4

      NA

      5th Nearby - 9th Nearby

      5

      NA

      Greater than 9th Nearby

       

      TIER CHANGES FOR COLUMBIA GULF ONSHORE NATURAL GAS BASIS SWAP (PLATTS IFERC) (GL), TETCO EAST LOUISIANA BASIS SWAP (PLATTS IFERC) (TE), TRANSCO ZONE 4 NATURAL GAS BASIS SWAP (TR)

       

      Note: The revisions are in bold.

      GL/TE/TR Tiers

      Tiers

      New

      Old

      1

      1st Nearby

      1st Nearby

      2

      2nd Nearby

      2nd Nearby

      3

      Greater than 2nd Nearby

      3rd Nearby - 6th Nearby

      4

      NA

      7th Nearby - 12th Nearby

      5

      NA

      Greater than 12th Nearby

       

       

       

       

       

       

       

       

       

       

       For the pdf of this advisory, please click here.

       

       

       

       

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