Notice 591
November 21, 2008

Performance Bond Requirement Changes

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 at the close of business on Monday, November 24th, 2008.

NEW MARGIN RATES AND TIERS FOR REBCO FINANCIAL FUTURES CONTRACT (R2)

Outright (Scan) Spread Tiers for R2
 
Tiers
New
1
All Months


NYMEX Division Outright (Scan) Margin on R2
 
Commodity
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
New
New
R2
$6,500
$7,150
$8,775


Intra-Commodity Spread Tiers for R2
 
Tiers
New
1
1st Nearby
2
2nd - 5th Nearby
3
6th - 12th Nearby
4
Greater than 12th Nearby


NYMEX Division Intra-Commodity Spread Margins on R2
 
Commodity
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
New
New
1
$400
$440
$540
2
$250
$275
$338
3
$150
$165
$203
4
$100
$110
$135

Should you have any questions or require any further information, please contact ExchangeInformation@cmegroup.com