10/02/2008
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 Friday, October 3th, 2008.
NEW TIER STRUCTURE AND MARGIN RATE CHANGES FOR NYMEX CLEARPORT® CRUDE OIL AND PETROLEUM RELATED SWAP FUTURES
Note: The revised margins are in bold
RG-European Argus Gasoline Crack Spread Swap Futures
New Tier Structure |
|
Tiers |
New |
1 |
1st – 2nd Nearby |
2 |
Greater than 2nd Nearby |
New Tier Structure |
|
Tiers |
New |
1 |
1st – 2nd Nearby |
2 |
3rd - 4th Nearby |
CME Clearing House Outright (Scan) Margins for the
ClearPort Crude Oil and Petroleum Related Swap Futures Contracts
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| AR-Tier1 | $120,000 |
$100,000 |
$132,000 |
$110,000 |
$162,000 |
$135,000 |
| AR-Tier2 | $70,000 |
$50,000 |
$77,000 |
$55,000 |
$94,500 |
$67,500 |
| BG | $80,000 |
$85,000 |
$88,000 |
$93,500 |
$108,000 |
$114,750 |
| BK | $1,500 |
$1,600 |
$1,650 |
$1,760 |
$2,025 |
$2,160 |
| CU | $6,000 |
$8,000 |
$6,600 |
$8,800 |
$8,100 |
$10,800 |
| DC | $12,000 |
$11,000 |
$13,200 |
$12,100 |
$16,200 |
$14,850 |
| EE | $7,000 |
$8,000 |
$7,700 |
$8,800 |
$9,450 |
$10,800 |
| EF | $7,000 |
$8,000 |
$7,700 |
$8,800 |
$9,450 |
$10,800 |
| EH | $70,000 |
$60,000 |
$77,000 |
$66,000 |
$94,500 |
$81,000 |
| EI | $3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
| ET | $10,000 |
$7,000 |
$11,000 |
$7,700 |
$13,500 |
$9,450 |
| EU | $70,000 |
$50,000 |
$77,000 |
$55,000 |
$94,500 |
$67,500 |
| EW-Tier1 | $8,000 |
$10,000 |
$8,800 |
$11,000 |
$10,800 |
$13,500 |
| EW-Tier2 | $4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| EY | $5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
| FI | $8,000 |
$9,000 |
$8,800 |
$9,900 |
$10,800 |
$12,150 |
| FL | $7,000 |
$3,000 |
$7,700 |
$3,300 |
$9,450 |
$4,050 |
| FO | $8,000 |
$9,000 |
$8,800 |
$9,900 |
$10,800 |
$12,150 |
| FS | $14,000 |
$15,000 |
$15,400 |
$16,500 |
$18,900 |
$20,250 |
| GA | $3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
| GE | $11,000 |
$6,000 |
$12,100 |
$6,600 |
$14,850 |
$8,100 |
| GT | $80,000 |
$88,000 |
$88,000 |
$96,800 |
$108,000 |
$118,800 |
| GX-Tier1 | $80,000 |
$85,000 |
$88,000 |
$93,500 |
$108,000 |
$114,750 |
| GX-Tier2 | $80,000 |
$85,000 |
$88,000 |
$93,500 |
$108,000 |
$114,750 |
| GX-Tier3 | $80,000 |
$85,000 |
$88,000 |
$93,500 |
$108,000 |
$114,750 |
| GX-Tier4 | $80,000 |
$85,000 |
$88,000 |
$93,500 |
$108,000 |
$114,750 |
| HA | $9,000 |
$1,000 |
$9,900 |
$1,100 |
$12,150 |
$1,350 |
| HZ | $6,500 |
$4,500 |
$7,150 |
$4,950 |
$8,775 |
$6,075 |
| JA | $90,000 |
$100,000 |
$99,000 |
$110,000 |
$121,500 |
$135,000 |
| JC | $17,000 |
$18,000 |
$18,700 |
$19,800 |
$22,950 |
$24,300 |
| JR | $14,000 |
$15,000 |
$15,400 |
$16,500 |
$18,900 |
$20,250 |
| LT | $4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| MF | $11,000 |
$8,000 |
$12,100 |
$8,800 |
$14,850 |
$10,800 |
| MG | $5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
| MQ | $1,500 |
$1,000 |
$1,650 |
$1,100 |
$2,025 |
$1,350 |
| PT | $6,000 |
$5,000 |
$6,600 |
$5,500 |
$8,100 |
$6,750 |
| RG-Tier1 | $8,000 |
$4,000 |
$8,800 |
$4,400 |
$10,800 |
$5,400 |
| RG-Tier2 | $5,000 |
$4,000 |
$5,500 |
$4,400 |
$6,750 |
$5,400 |
| RH | $5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
| RK | $3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
| RM-Tier1 | $4,000 |
$2,500 |
$4,400 |
$2,750 |
$5,400 |
$3,375 |
| RM-Tier2 | $3,500 |
$2,500 |
$3,850 |
$2,750 |
$4,725 |
$3,375 |
| RM-Tier3 | $2,500 |
$2,000 |
$2,750 |
$2,200 |
$3,375 |
$2,700 |
| RM-Tier4 | $2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
| RU-Tier1 | $16,000 |
$15,000 |
$17,600 |
$16,500 |
$21,600 |
$20,250 |
| RU-Tier2 | $9,000 |
$9,000 |
$9,900 |
$9,900 |
$12,150 |
$12,150 |
| RU-Tier3 | $4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
| RV-Tier1 | $5,000 |
$10,000 |
$5,500 |
$11,000 |
$6,750 |
$13,500 |
| RV-Tier2 | $5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
| RV-Tier3 | $1,200 |
$1,200 |
$1,320 |
$1,320 |
$1,620 |
$1,620 |
| SD | $10,000 |
$6,000 |
$11,000 |
$6,600 |
$13,500 |
$8,100 |
| TP-Tier1 | $11,000 |
$10,000 |
$12,100 |
$11,000 |
$14,850 |
$13,500 |
| TP-Tier2 | $10,000 |
$10,000 |
$11,000 |
$11,000 |
$13,500 |
$13,500 |
| TP-Tier3 | $5,000 |
$10,000 |
$5,500 |
$11,000 |
$6,750 |
$13,500 |
| SE | $65,000 |
$35,000 |
$71,500 |
$38,500 |
$87,750 |
$47,250 |
| TH | $8,000 |
$5,000 |
$8,800 |
$5,500 |
$10,800 |
$6,750 |
| TU | $8,000 |
$10,000 |
$8,800 |
$11,000 |
$10,800 |
$13,500 |
| UA | $65,000 |
$40,000 |
$71,500 |
$44,000 |
$87,750 |
$54,000 |
| UB | $12,000 |
$6,000 |
$13,200 |
$6,600 |
$16,200 |
$8,100 |
| UF | $60,000 |
$45,000 |
$66,000 |
$49,500 |
$81,000 |
$60,750 |
| UH | $60,000 |
$40,000 |
$66,000 |
$44,000 |
$81,000 |
$54,000 |
| UI | $60,000 |
$40,000 |
$66,000 |
$44,000 |
$81,000 |
$54,000 |
| UV | $60,000 |
$40,000 |
$66,000 |
$44,000 |
$81,000 |
$54,000 |
| VL | $70,000 |
$80,000 |
$77,000 |
$88,000 |
$94,500 |
$108,000 |
| WJ | $1,000 |
$600 |
$1,100 |
$660 |
$1,350 |
$810 |
| WQ | $6,000 |
$8,000 |
$6,600 |
$8,800 |
$8,100 |
$10,800 |
| YL-Tier1 | $4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| YL-Tier2 | $2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
| YL-Tier3 | $1,500 |
$1,800 |
$1,650 |
$1,980 |
$2,025 |
$2,430 |