Notice 552
October 31, 2008

Performance Bond Requirement Changes -- Margin Rate and Tier Change for HO/MP/BH/QH

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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, November 3rd, 2008.

MARGIN RATE AND TIER CHANGES FOR NEW YORK HARBOR GASOLINE BLENDSTOCK FUTURES CONTRACT (RB), RBOB GASOLINE – FINANCIAL CONTRACT (RT), RBOB CALENDAR SWAP (RL) AND NYMEX RBOB miNY GASOLINE CONTRACT (QU)

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 thru 4th Nearby
2nd thru 6th Nearby
3
5th thru 11th Nearby
7th thru 12th  Nearby
4
Greater than the 11th Nearby
Greater than 12th Nearby


NYMEX Division Outright (Scan)  Margins on  Heating Oil (HO) New York Heating Oil Calendar Swap (MP) and Heating Oil - Financial Contract (BH)
 
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
New
Old
New
Old
New
Old
1
$9,250
$10,500
$10,175
$11,550
$12,488
$14,175
2
$9,000
$10,250
$9,900
$11,275
$12,150
$13,838
3
$8,750
$10,000
$9,625
$11,000
$11,813
$13,500
4
$8,500
$8,750
$9,350
$9,625
$11,475
$11,813


NYMEX Division Outright (Scan) Margins on NYMEX miNY™ Heating Oil)
 
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
New
Old
New
Old
New
Old
1
$4,625
$5,250
$5,088
$5,775
$6,244
$7,088
2
$4,500
$5,125
$4,950
$5,638
$6,075
$6,919
3
$4,375
$5,000
$4,813
$5,500
$5,906
$6,750
4
$4,250
$4,375
$4,675
$4,813
$5,738
$5,906

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