Performance Bond Requirement Changes -- Effective Monday, March 23rd, 2009
To
Clearing Member Firms
From
CME Clearing
Advisory #
09-113
Notice Date
March 20, 2009
Effective Date
March 23, 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 with the launch of the products Monday, March 23rd, 2009.
CBOT Interest Rate Futures Outright Rates
3 Year Treasury Note Futures (3YR)
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
$1,755
|
$1,300
|
|
Customer Rate
|
NA
|
$1,300
|
$1,300
|
CBOT Interest Rate Futures Intra-Commodity Spread Rates
3 Year Treasury Note Futures (3YR) - All Months
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
$473
|
$350
|
|
Customer Rate
|
NA
|
$350
|
$350
|
CBOT Interest Rate Futures Inter-Commodity Spread Rates
|
3 Year Treasury Note (3YR) vs. Fed Funds (CBOT) (41) Tier 1 (Mos. 1-4) (3:2)
|
|||
|
Rate Type
|
Change
|
New
|
|
|
Spread Credit Rate
|
NA
|
45.00%
|
|
|
3 Year Treasury Note (3YR) vs. Fed Funds (CBOT) (41) Tier 2 (Mos. 5-12) (3:2)
|
|||||||||
30 Year Bond (17) vs. 3 Year Treasury Note (3YR) (1:3)
|
|||||||||
10 Year Treasury Note (21) vs. 3 Year Treasury Note (3YR) (1:2)
|
|||||||||
5 Year Treasury Note (25) vs. 3 Year Treasury Note (3YR) (4:5)
|
|||||||||
3 Year Treasury Note (3YR) vs. 2 Year Treasury Note (26) (4:5)
|
|||||||||
|
Rate Type
|
Change
|
New
|
|
||||||
|
Spread Credit Rate
|
NA
|
80.00%
|
|
||||||
|
3 Year Treasury Note (3YR) vs. Eurodollar (ED) – All Tiers (2:3)
|
|||
|
Rate Type
|
Change
|
New
|
|
|
Spread Credit Rate
|
NA
|
65.00%
|
|
|
3 Year Treasury Note (3YR) vs. 30 Year Swap (CBOT) (9:2)
|
|||||||||
3 Year Treasury Note (3YR) vs. LIBOR (1-Month) (EM) (3:2)
|
|||||||||
3 Year Note (3YR) vs. CME Lehman Brothers US Aggregate Index (LBA) (1:1)
|
|||||||||
3 Year Treasury Note (3YR) vs. Mini-Eurodollar (YE) (3:4)
|
|||||||||
3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 1 (1:5)
|
|||||||||
|
Rate Type
|
Change
|
New
|
|
||||||
|
Spread Credit Rate
|
NA
|
30.00%
|
|
||||||
|
3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 2 (1:3)
|
|||
|
Rate Type
|
Change
|
New
|
|
|
Spread Credit Rate
|
NA
|
35.00%
|
|
|
3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 3 (1:2)
|
|||||||||
3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 4 (1:1)
|
|||||||||
3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 5 (5:3)
|
|||||||||
3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 6 (2:1)
|
|||||||||
3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 1 (1:5)
|
|||||||||
|
Rate Type
|
Change
|
New
|
|
||||||
|
Spread Credit Rate
|
NA
|
45.00%
|
|
||||||
|
3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 2 (1:5)
|
|||
|
Rate Type
|
Change
|
New
|
|
|
Spread Credit Rate
|
NA
|
45.00%
|
|
|
3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 3 (1:4)
|
|||||||||
3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 4 (1:2)
|
|||||||||
3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 5 (4:5)
|
|||||||||
3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 6 (3:4)
|
|||||||||
|
Rate Type
|
Change
|
New
|
|
||||||
|
Spread Credit Rate
|
NA
|
65.00%
|
|
||||||
CBOT Interest Rate Scanning Based Spread Rate
Scan Based Treasury Spread: Bond (17) vs. 10 Year (21) vs. 5 Year (25) vs. 3 Year (3YR) vs. 2 Year (26)
|
Rate Type
|
Change
|
Current
|
New
|
|
Spread Credit Rate
|
No Change
|
75%
|
75%
|
|
Spread Leg
|
Current Ratio
|
New Ratio
|
|
30 Year Bond
|
2
|
2
|
|
10 Year Note
|
3
|
3
|
|
5 Year Note
|
5
|
5
|
|
3 Year Note
|
NA
|
6
|
|
2 Year Note
|
6
|
6
|
CME FX Futures Outright Rates
E-Micro EUR/USD Futures (M6E)
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
$608
|
$450
|
|
Customer Rate
|
NA
|
$450
|
$450
|
E-Micro USD/JPY Futures (M6J)
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
JPY 36,450
|
JPY 27,000
|
|
Customer Rate
|
NA
|
JPY 27,000
|
JPY 27,000
|
E-Micro GBP/USD Futures (M6B)
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
$392
|
$290
|
|
Customer Rate
|
NA
|
$290
|
$290
|
E-Micro USD/CHF Futures (M6S)
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
CHF 513
|
CHF 380
|
|
Customer Rate
|
NA
|
CHF 380
|
CHF 380
|
E-Micro AUD/USD Futures (M6A)
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
$473
|
$350
|
|
Customer Rate
|
NA
|
$350
|
$350
|
E-Micro USD/CAD Futures (M6C)
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
CAD 567
|
CAD 420
|
|
Customer Rate
|
NA
|
CAD 420
|
CAD 420
|
CME FX Futures Intra-Commodity Spread Rates
E-Micro EUR/USD Futures (M6E) - All Months
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
$20
|
$15
|
|
Customer Rate
|
NA
|
$15
|
$15
|
E-Micro USD/JPY Futures (M6J) - All Months
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
JPY 1,553
|
JPY 1,150
|
|
Customer Rate
|
NA
|
JPY 1,150
|
JPY 1,150
|
E-Micro GBP/USD Futures (M6B) - All Months
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
$17
|
$13
|
|
Customer Rate
|
NA
|
$13
|
$13
|
E-Micro USD/CHF Futures (M6S) - All Months
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
CHF 27
|
CHF 20
|
|
Customer Rate
|
NA
|
CHF 20
|
CHF 20
|
E-Micro AUD/USD Futures (M6A) - All Months
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
$14
|
$10
|
|
Customer Rate
|
NA
|
$10
|
$10
|
E-Micro USD/CAD Futures (M6C) - All Months
|
Rate Type
|
Change
|
New
Initial
|
New
Maintenance
|
|
Clearing/Member Rate
|
NA
|
CAD 20
|
CAD 15
|
|
Customer Rate
|
NA
|
CAD 15
|
CAD 15
|