• Performance Bond Requirements - Natural Gas Basis Outrights - Effective Tuesday, January 25, 2011

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 11-27
      • Notice Date
      • 24 January 2011
      • Effective Date
      • 25 January 2011
    •  
      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 Notice 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 will be effective after the close of business on Tuesday, January 25, 2011.
       
      Current rates as of:
      Monday, January 24, 2011.
        

       

       

       

      TIER CHANGES FOR TEXAS EASTERN ZONE M-3 BASIS SWAP (NY-NX), ALGONQUIN CITY-GATES NATURAL GAS BASIS SWAP (PLATTS IFERC) FUTURES (NY-B4), TRANSCO ZONE 6 BASIS SWAP (PLATTS IFERC) FUTURES (NZ)
       
      Note: The revisions are in bold
       

      Tiers

      New

      Old

      1

       

      1st Nearby

      2

      2nd Nearby

      2nd – 5th Nearby

      3

      3rd – 9th Nearby

      Greater than 5th Nearby

      4

      10th – 14th Nearby

       

      5

      Greater than 14th Nearby

       

       

      For the full text of this advisory, please click here.

       

       

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.