Performance Bonds, also known as margins, are deposits held at CME Clearing to ensure that clearing members can meet their obligations to their customers and to CME Clearing. Performance bond requirements vary by product and market volatility.
There two different kinds of margin that a market participant should be aware of. Initial margin is the up-front payment, a percentage of the trade price, made prior to a market transaction when purchasing on that margin. After the initial margin is met, a market participant is required to keep up maintenance margin. This is the amount of equity required to retain an open position. If subsequently margin equity falls below maintenance margin, a call must be issued to bring the account up to initial margin.
Heightened Risk Profile (“HRP”) initial margin requirements for all products are set at 110% of the maintenance margin requirement for a given product. Non-Heightened Risk Profile (“Non-HRP”) initial margin requirements for all products are set at 100% of the maintenance margin requirement for a given product.
The following table¹ depicts the aforementioned logic in practice:
|CC||Rate Type||Description||ISO||Current Initial||Current Maintenance|
|CRUDE OIL SPREADS - Outright Rates|
|CANADIAN HEAVYCRUDE(NET ENERGY) FUT(WCC)|
|WCC||HRP||Mnths 3 - 6||USD||1,540||1,400|
|WCC||Non-HRP||Mnths 3 - 6||USD||1,400||1,400|
The maintenance margin requirement for Canadian Heavy Crude (Net Energy) Futures Months 3-6 is $1,400. The Non-HRP initial margin requirement is $1,400, while the HRP initial margin requirement is $1,540 ($1,400*1.1).
¹ For illustration purposes only