Notice 610
November 28, 2008

Performance Bond Requirement Changes


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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, December 1st, 2008.


MARGIN RATE AND TIER CHANGES FOR HEATING OIL (HO), NEW YORK HARBOR HEATING OIL CALENDAR SWAP (MP), HEATING OIL – FINANCIAL CONTRACT (BH) AND NYMEX miNY™ HEATING OIL (QH)

Note: The revised margins are in bold:

HO/MP/BH/QH Intra-Commodity Spread and Scan Tiers
 
Tiers
New
Old
1
1st Nearby
1st Nearby
2
2nd - 3rd Nearby
2nd - 4th Nearby
3
4th - 10th  Nearby
5th - 11th  Nearby
4
Greater than the 10th Nearby
Greater than the 11th Nearby

 

NYMEX Division Outright (Scan)  Margins on Heating Oil (HO) New York Heating Oil Calendar Swap (MP) and Heating Oil - Financial Contract (BH)
 
 
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
Old
New
Old
New
Old
1 $8,500 $9,250 $9,350 $10,175 $11,475 $12,488
2 $8,250 $9,000 $9,075 $9,900 $11,138 $12,150
3 $8,000 $8,750 $8,800 $9,625 $10,800 $11,813
4 $7,750 $8,500 $8,525 $9,350 $10,463 $11,475


NYMEX Division Outright (Scan) Margins on NYMEX miNY™ Heating Oil (QH)                                                                                         
 
 
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
Old
New
Old
New
Old
1 $4,250 $4,625 $4,675 $5,088 $5,738 $6,244
2 $4,125 $4,500 $4,538 $4,950 $5,569 $6,075
3 $4,000 $4,375 $4,400 $4,813 $5,400 $5,906
4 $3,875 $4,250 $4,263 $4,675 $5,231 $5,738