Chicago Mercantile Exchange
Clearing House Advisory Notice
99-76
August 26, 1999
TO: Clearing House Personnel
ATTN: Back Office Personnel
Margin Managers
Service Bureau Representatives
FROM: Risk Control Department
SUBJECT: Ratification of Performance Bond Requirements Changes
This document can now be received electronically. Send an E-Mail to lists@cme.com with the text "subscribe pbrates" in the body of the message to subscribe.
These requirements will become effective, under Rule 403, at the close of business, Thursday, September 2, 1999.
For a complete listing of all Exchange minimum Performance Bond Requirements, please consult the SPAN® Minimum Performance Bond Requirements.
SPANā MINIMUM PERFORMANCE BOND REQUIREMENTS
Agricultural Products, Outrights
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
Live Cattle (Decrease) |
$608 |
$450 |
$540 |
$400 |
|
Lean Hogs (Decrease) |
$1,215 |
$900 |
$1,080 |
$800 |
|
Feeder Cattle (Decrease) |
$1,013 |
$750 |
$945 |
$700 |
|
Frozen Pork Bellies (Decrease) |
$1,755 |
$1,300 |
$1,620 |
$1,200 |
|
Live Cattle Delivery Month (Decrease) |
$675 |
$500 |
$540 |
$400 |
Agricultural Products, Calendar Spreads
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
Lean Hogs (Decrease) |
$778 |
$575/MKT |
$608 |
$450/MKT |
|
Frozen Pork Bellies (Increase) |
$675 |
$500/MKT |
$1,350 |
$1,000/MKT |
|
Stocker Cattle (Increase) |
$270 |
$200/MKT |
$338 |
$250/MKT |
|
Frozen Pork Bellies Delivery Month (Increase) |
$675 |
$500/MKT |
$1,485 |
$1,100/MKT |
Agricultural Products, Inter-Commodity Spreads
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
Live Cattle vs. Feeder Cattle (Decrease) |
$945 |
$700 |
$675 |
$500 |
|
Live Cattle vs. Fresh Pork Bellies (Increase) |
$1,350 |
$1,000 |
$1,418 |
$1,050 |
|
Live Cattle vs. GSCI (Increase) |
$1,200 |
$800 |
$1,275 |
$850 |
|
Live Cattle vs. Lean Hogs (Decrease) |
$1,350 |
$1,000 |
$1,013 |
$750 |
|
Lean Hogs vs. Feeder Cattle (Decrease) |
$1,485 |
$1,100 |
$1,283 |
$950 |
|
BFP Milk vs. Cheddar Cheese (2:1) (Increase) |
$1,890 |
$1,400 |
$2,565 |
$1,900 |
|
Stocker Cattle vs. Live Cattle (2:1) (Increase) |
$540 |
$400/MKT |
$642 |
$475/MKT |
Currency Products, Outrights
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
British Pound (Decrease) |
$1,485 |
$1,100 |
$1,215 |
$900 |
|
Japanese Yen (Decrease) |
$2,430 |
$1,800 |
$2,268 |
$1,680 |
|
Brazilian Real (Decrease) |
$5,600 |
$4,000 |
$4,900 |
$3,500 |
|
Euro FX (Decrease) |
$2,160 |
$1,600 |
$2,106 |
$1,560 |
Currency Products, Calendar Spreads
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
Brazilian Real (Decrease) |
$2,800 |
$2,000 |
$2,100 |
$1,500 |
Currency Products, Inter-Commodity Spreads
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
British Pound vs. Australian Dollar (Decrease) |
$1,620 |
$1,200 |
$1,485 |
$1,100 |
|
British Pound vs. Japanese Yen (Decrease) |
$2,295 |
$1,700 |
$2,025 |
$1,500 |
|
Canadian Dollar vs. Australian Dollar (Decrease) |
$1,080 |
$800 |
$945 |
$700 |
|
Canadian Dollar vs. Deutsche Mark (Increase) |
$1,215 |
$900 |
$1,485 |
$1,100 |
|
Canadian Dollar vs. Swiss Franc (Increase) |
$1,350 |
$1,000 |
$1,755 |
$1,300 |
|
Canadian Dollar vs. French Franc (Increase) |
$1,317 |
$975 |
$1,620 |
$1,200 |
Currency Products, Inter-Commodity Spreads, Continued
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
Canadian Dollar vs. New Zealand Dollar (Increase) |
$945 |
$700 |
$1,013 |
$750 |
|
Canadian Dollar vs. EuroFX (2:1) (Increase) |
$2,430 |
$1,800 |
$2,970 |
$2,200 |
|
Deutsche Mark vs. Swiss Franc (Decrease) |
$472 |
$350 |
$372 |
$275 |
|
Japanese Yen vs. Australian Dollar (Decrease) |
$2,565 |
$1,900 |
$2,295 |
$1,700 |
|
Swiss Franc vs. French Franc (Decrease) |
$675 |
$500 |
$473 |
$350 |
|
Australian Dollar vs. New Zealand Dollar (Decrease) |
$1,080 |
$800 |
$844 |
$625 |
Index Products, Inter-Commodity Spreads
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
E-Mini S&P 500 vs. E-Mini NASDAQ 100 (2:3) (Decrease) |
$4,590 |
$3,400 |
$4,320 |
$3,200 |
|
S&P 500 vs. Nikkei 225 Stock (2:5) (Decrease) |
$23,625 |
$17,500 |
$21,600 |
$16,000 |
|
S&P 500 vs. NASDAQ 100 Index (2:3) (Decrease) |
$22,950 |
$17,000 |
$21,600 |
$16,000 |
|
S&P 500 vs. S&P 500 Growth Index (1:2) (Decrease) |
$7,875 |
$6,300 |
$6,875 |
$5,500 |
|
S&P 500 vs. S&P Growth/S&P Value Index (-1:1:1) (Increase) |
$813 |
$650 |
$1,000 |
$800 |
|
S&P 500 Growth Index vs. S&P 500 Value Index (Decrease) |
$7,125 |
$5,700 |
$5,625 |
$4,500 |
Interest Rate Products, Outrights
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
One-Month Libor (Increase) |
$203 |
$150 |
$270 |
$200 |
|
13-Week U.S. T-Bills (Increase) |
$237 |
$175 |
$338 |
$250 |
|
Euroyen Mo. 2 (Decrease) |
„29,700 |
„22,000 |
„27,000 |
„20,000 |
|
EuroCanada (Increase) |
CAD338 |
CAD250 |
CAD405 |
CAD300 |
Interest Rate Products, Calendar Spreads
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
13-Week U.S. T-Bills (Increase) |
$203 |
$150 |
$237 |
$175 |
|
ED Butterfly Mos. 4 - 5 (Decrease) |
$237 |
$175 |
$135 |
$100 |
|
ED Condor Mos. 4 - 5 (Decrease) |
$237 |
$175 |
$135 |
$100 |
|
ED Condor Mo. 1 (Skip 2) (Increase) |
$372 |
$275 |
$405 |
$300 |
|
ED Condor Mo. 2 (Skip 2) (Increase) |
$270 |
$200 |
$304 |
$225 |
|
ED Condor Mo. 1 (Skip 3) (Increase) |
$372 |
$275 |
$439 |
$325 |
|
ED Condor Mo. 2 (Skip 3) (Increase) |
$270 |
$200 |
$304 |
$225 |
|
ED Mos. 1- 8 Consecutive Spreads (Decrease) |
$237 |
$175 |
$169 |
$125 |
|
EY Butterfly Mos. 8 - Subsequent (Increase) |
„40,500 |
„30,000 |
„67,500 |
„50,000 |
|
EY Condor Mos. 7 - Subsequent (Increase) |
„40,500 |
„30,000 |
„67,500 |
„50,000 |
Interest Rate Products, Inter-Commodity Spreads
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
Eurodollar vs. 10-Year Japanese Government Bond (15:1) (Decrease) |
$6,080 |
$4,500 |
$4,725 |
$3,500 |
|
One-Month Libor vs. Euroyen (Increase) |
$169 |
$125 |
$237 |
$175 |
|
Euroyen vs. Japanese Yen (Decrease) |
$2,565 |
$1,900 |
$2,295 |
$1,700 |
Tier Rate Products, Calendar Spreads, Tier Configuration
Tier configuration is used to calculate the inter-month and delivery month performance bond requirements. Tiers allow for a more precise assessment of risk at the commodity month level. Each tier consists of at least one futures month, and all of the months within a tier are consecutive.
Eurodollar Tier Configuration
|
Tier |
Month(s) |
|
Tier (T1) |
1-4 |
|
Tier (T2) |
5-8 |
|
Tier (T3) |
9-12 |
|
Tier (T4) |
13-16 |
|
Tier (T5) |
17-20 |
|
Tier (T6) |
21-24 |
|
Tier (T7) |
25-28 |
|
Tier (T8) |
29-32 |
|
Tier (T9) |
33-36 |
|
Tier (T10) |
37-40 |
|
Tier (T11) |
41-44 |
*Includes serial months
Interest Rate Products, Calendar Spreads, Continued
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
ED Tier 1 vs. ED Tier 1 (Decrease) |
$270 |
$200 |
$203 |
$150 |
|
ED Tier 1 vs. ED Tier 2 (Increase) |
$372 |
$275 |
$473 |
$350 |
|
ED Tier 1 vs. ED Tier 3 (Increase) |
$473 |
$350 |
$574 |
$425 |
|
ED Tier 1 vs. ED Tier 4 (Increase) |
$473 |
$350 |
$574 |
$425 |
|
ED Tier 1 vs. ED Tier 5 (Increase) |
$473 |
$350 |
$540 |
$400 |
|
ED Tier 1 vs. ED Tier 6 (Increase) |
$473 |
$350 |
$540 |
$400 |
|
ED Tier 1 vs. ED Tier 7 (Increase) |
$473 |
$350 |
$507 |
$375 |
|
ED Tier 1 vs. ED Tier 8 (Increase) |
$473 |
$350 |
$507 |
$375 |
|
ED Tier 1 vs. ED Tier 9 (Increase) |
$473 |
$350 |
$507 |
$375 |
|
ED Tier 1 vs. ED Tier 10 (Increase) |
$439 |
$325 |
$507 |
$375 |
|
ED Tier 1 vs. ED Tier 11 (Increase) |
$439 |
$325 |
$507 |
$375 |
|
ED Tier 1 vs. ED Tier Dec '99 (Decrease) |
$372 |
$275 |
$237 |
$175 |
|
ED Tier 2 vs. ED Tier 2 (Increase) |
$270 |
$200 |
$304 |
$225 |
Interest Rate Products, Calendar Spreads, Continued
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
ED Tier 2 vs. ED Tier 3 (Increase) |
$304 |
$225 |
$338 |
$250 |
|
ED Tier 2 vs. ED Tier 7 (Increase) |
$372 |
$275 |
$405 |
$300 |
|
ED Tier 2 vs. ED Tier 8 (Increase) |
$372 |
$275 |
$405 |
$300 |
|
ED Tier 2 vs. ED Tier 9 (Increase) |
$338 |
$250 |
$405 |
$300 |
|
ED Tier 2 vs. ED Tier 10 (Increase) |
$338 |
$250 |
$405 |
$300 |
|
ED Tier 2 vs. ED Tier 11 (Increase) |
$338 |
$250 |
$405 |
$300 |
|
ED Tier 2 vs. ED Dec '99 (Increase) |
$270 |
$200 |
$473 |
$350 |
|
ED Tier 3 vs. ED Tier 3 (Increase) |
$102 |
$75 |
$135 |
$100 |
|
ED Tier 3 vs. ED Tier 5 (Increase) |
$237 |
$175 |
$270 |
$200 |
|
ED Tier 3 vs. ED Tier 6 (Increase) |
$270 |
$200 |
$338 |
$250 |
|
ED Tier 3 vs. ED Tier 7 (Increase) |
$270 |
$200 |
$372 |
$275 |
|
ED Tier 3 vs. ED Tier 8 (Increase) |
$270 |
$200 |
$372 |
$275 |
|
ED Tier 3 vs. ED Tier 9 (Increase) |
$270 |
$200 |
$372 |
$275 |
Interest Rate Products, Calendar Spreads, Continued
|
CURRENT |
NEW |
|||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
ED Tier 3 vs. ED Tier 10 (Increase) |
$304 |
$225 |
$372 |
$275 |
|
ED Tier 3 vs. ED Tier 11 (Increase) |
$338 |
$250 |
$372 |
$275 |
|
ED Tier 3 vs. ED Dec '99 (Increase) |
$304 |
$225 |
$574 |
$425 |
|
ED Tier 4 vs. ED Tier 6 (Increase) |
$237 |
$175 |
$270 |
$200 |
|
ED Tier 4 vs. ED Tier 7 (Increase) |
$237 |
$175 |
$304 |
$225 |
|
ED Tier 4 vs. ED Tier 8 (Increase) |
$237 |
$175 |
$304 |
$225 |
|
ED Tier 4 vs. ED Tier 9 (Increase) |
$237 |
$175 |
$304 |
$225 |
|
ED Tier 4 vs. ED Tier 10 (Increase) |
$270 |
$200 |
$304 |
$225 |
|
ED Tier 4 vs. ED Tier 11 (Increase) |
$270 |
$200 |
$304 |
$225 |
|
ED Tier 4 vs. ED Dec '99 (Increase) |
$372 |
$275 |
$574 |
$425 |
|
ED Tier 5 vs. ED Dec '99 (Increase) |
$405 |
$300 |
$540 |
$400 |
|
ED Tier 6 vs. ED Dec '99 (Increase) |
$405 |
$300 |
$540 |
$400 |
|
ED Tier 7 vs. ED Tier 7 (Decrease) |
$68 |
$50 |
$34 |
$25 |
Interest Rate Products, Calendar Spreads, Continued
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
ED Tier 7 vs. ED Tier 8 (Decrease) |
$102 |
$75 |
$68 |
$50 |
|
ED Tier 7 vs. ED Dec '99 (Increase) |
$372 |
$275 |
$507 |
$375 |
|
ED Tier 8 vs. ED Dec '99 (Increase) |
$372 |
$275 |
$507 |
$375 |
|
ED Tier 9 vs. ED Dec '99 (Increase) |
$338 |
$250 |
$507 |
$375 |
|
ED Tier 10 vs. ED Dec '99 (Increase) |
$338 |
$250 |
$507 |
$375 |
|
ED Tier 11 vs. ED Dec '99 (Increase) |
$338 |
$250 |
$507 |
$375 |
2. The Performance Bond Committee also reviewed price volatility statistics for the E-mini Japanese Yen and E-Mini Euro FX contracts and approved the performance bond requirement changes described below. These requirements will become effective, under Rule 403, with the launch of these contracts on October 7, 1999, but is still subject to additional committee review.
Currency Products, Outrights
|
|
CURRENT |
NEW |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
E-Mini Japanese Yen |
N/A |
N/A |
$1,134 |
$840 |
|
E-Mini EuroFX |
N/A |
N/A |
$1,053 |
$780 |
Currency Products, Calendar Spreads
|
|
CURRENT |
PROPOSED |
||
|
Commodity |
Speculative Initial |
Maintenance & Hedge/Member |
Speculative Initial |
Maintenance & Hedge/Member |
|
E-Mini Japanese Yen vs. E-Mini EuroFX |
N/A |
N/A |
$1,485 |
$1,100 |
Short Option Minimum
Short Option Minimum Changes
Under the Span Performance Bond methodology, performance bond requirements on short option contracts change on a day to day basis as the volatility of the underlying contract changes. The short option minimum is simply an indication of the minimum performance bond requirements, which is imposed on short option positions. In most cases, the SPAN performance bond requirements on short option positions will exceed the short option minimum. Please consult with your clearing member firm or the Clearing House for specific details on SPAN Short Option Minimum Performance Bond.
|
Commodity |
Current |
New |
|
Live Cattle |
$12 |
$10 |
|
Lean Hogs |
$23 |
$20 |
|
Feeder Cattle |
$19 |
$18 |
|
Pork Bellies |
$33 |
$30 |
|
British Pound |
$28 |
$23 |
|
Japanese Yen |
$45 |
$42 |
|
Brazilian Real |
$100 |
$88 |
|
EuroFX |
$40 |
$39 |
|
Libor |
$4 |
$5 |
|
T-Bills |
$5 |
$7 |
|
EuroCanada |
CAD7 |
CAD8 |
Please contact the Risk Control Department at (312)648-3888, if you have any questions regarding these performance bond changes.