Notice No. 621
December 5, 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, December 8th, 2008.

NEW MARGIN RATES AND TIERS FOR ELECTRICITY FUTURES CONTRACTS FOR THE PJM MARKET

PJM Northern Illinois Hub Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
N3
PJM Northern Illinois Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
L3
PJM AECO Zone Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
Y1
PJM AECO Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
X1
PJM AEP Dayton Hub Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
D7
PJM AEP Dayton Hub Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
R7
PJM APS Zone Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
S4
PJM APS Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
W4
PJM BGE Zone Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
E3
PJM BGE Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
R3
PJM DPL Zone Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
L8
PJM DPL Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
E8
PJM Eastern Hub Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
E9
PJM Eastern Hub Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
F4
PJM JCPL Zone Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
J2
PJM JCPL Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
F2
PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
R8
PJM PEPCO Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
Q8
PJM PPL Zone Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
L5
PJM PPL Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
F5
PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
L6
PJM PSEG Zone Off- Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
W6
PJM Western Hub Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
J4
PJM Western Hub Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract
E4
PJM Western Hub Peak Calendar-Month Real-Time LMP Swap Futures Contract
L1
PJM Western Hub Off-Peak Calendar-Month Real-Time LMP Swap Futures Contract
N9

 


Outright (Scan) Tiers for Y1, X1, S4, W4, E3, R3, L8, E8, E9, F4, J2, F2, R8, Q8, L5, F5, L6 and W6
 
Tiers
New
1 All Months


Outright (Scan) Tiers for R7, L3, E4, N9, D7 and N3
 
Tiers
New
1 1st Nearby
2 2nd - 6th Nearby
3 7th - 11th Nearby
4 Greater than 12th Nearby


Outright (Scan) Tiers for J4 and L1
 
Tiers
New
1 1st Nearby
2 2nd - 4th Nearby
3 5th - 6th Nearby
4 7th - 8th Nearby
5 9th - 10th Nearby
6 11th - 12th Nearby
7 13th - 16th Nearby
8 Greater than 16th Nearby


Outright (Scan) Margin on N3, L3, Y1, X1, D7, R7, S4, W4, E3, R3, L8, E8, E9, F4, J2, F2, R8, Q8, L5, F5, L6, W6, J4, E4, L1, and N9
 
Commodity
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
New
New
N3 - Tier 1 $550.00 $605.00 $742.50
N3 - Tier 2 $450.00 $495.00 $607.50
N3 - Tier 3 $400.00 $440.00 $540.00
N3 - Tier 4 $300.00 $330.00 $405.00
L3 - Tier 1 $15.00 $16.50 $20.25
L3 - Tier 2 $10.00 $11.00 $13.50
L3 - Tier 3 $10.00 $11.00 $13.50
L3 - Tier 4 $5.00 $5.50 $6.75
Y1 $550.00 $605.00 $742.50
X1 $20.00 $22.00 $27.00
D7 - Tier 1 $550.00 $605.00 $742.50
D7 - Tier 2 $450.00 $495.00 $607.50
D7 - Tier 3 $400.00 $440.00 $540.00
D7 - Tier 4 $300.00 $330.00 $405.00
R7 - Tier 1 $15.00 $16.50 $20.25
R7 - Tier 2 $10.00 $11.00 $13.50
R7 - Tier 3 $10.00 $11.00 $13.50
R7 - Tier 4 $5.00 $5.50 $6.75
S4 $450.00 $495.00 $607.50
W4 $15.00 $16.50 $20.25
E3 $550.00 $605.00 $742.50
R3 $20.00 $22.00 $27.00
L8 $750.00 $825.00 $1,012.50
E8 $20.00 $22.00 $27.00
E9 $700.00 $770.00 $945.00
F4 $20.00 $22.00 $27.00
J2 $450.00 $495.00 $607.50
F2 $15.00 $16.50 $20.25
R8 $600.00 $660.00 $810.00
Q8 $20.00 $22.00 $27.00
L5 $500.00 $550.00 $675.00
F5 $15.00 $16.50 $20.25
L6 $450.00 $495.00 $607.50
W6 $15.00 $16.50 $20.25
J4 - Tier 1 $750.00 $825.00 $1,012.50
J4 - Tier 2 $500.00 $550.00 $675.00
J4 - Tier 3 $400.00 $440.00 $540.00
J4 - Tier 4 $250.00 $275.00 $337.50
J4 - Tier 5 $250.00 $275.00 $337.50
J4 - Tier 6 $200.00 $220.00 $270.00
J4 - Tier 7 $200.00 $220.00 $270.00
J4 - Tier 8 $200.00 $220.00 $270.00
E4 - Tier 1 $15.00 $16.50 $20.25
E4 - Tier 2 $10.00 $11.00 $13.50
E4 - Tier 3 $10.00 $11.00 $13.50
E4 - Tier 4 $5.00 $5.50 $6.75
L1 - Tier 1 $750.00 $825.00 $1,012.50
L1 - Tier 2 $500.00 $550.00 $675.00
L1 - Tier 3 $400.00 $440.00 $540.00
L1 - Tier 4 $250.00 $275.00 $337.50
L1 - Tier 5 $250.00 $275.00 $337.50
L1 - Tier 6 $200.00 $220.00 $270.00
L1 - Tier 7 $200.00 $220.00 $270.00
L1 - Tier 8 $200.00 $220.00 $270.00
N9 - Tier 1 $15.00 $16.50 $20.25
N9 - Tier 2 $10.00 $11.00 $13.50
N9 - Tier 3 $10.00 $11.00 $13.50
N9 - Tier 4 $5.00 $5.50 $6.75


Intra-Commodity Spread Tiers for Y1, X1, S4, W4, E3, R3, L8, E8, E9, F4, J2, F2, R8, Q8, L5, F5, L6, W6, J4 and L1
Tiers
New
1 All Months


Intra-Commodity Spread Tiers for R7, L3, E4, N9, D7 and N3
Tiers
New
1 1st Nearby
2 2nd - 6th Nearby
3 7th - 11th Nearby
4 Greater than 12th Nearby


Intra-Commodity Spread Margins on N3, L3, Y1, X1, D7, R7, S4, W4, E3, R3, L8, E8, E9, F4, J2, F2, R8, Q8, L5, F5, L6, W6, J4, E4, L1, and N9
 
Commodity
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
New
New
N3 - Tier 1 $50.00 $55.00 $67.50
N3 - Tier 2 $10.00 $11.00 $13.50
N3 - Tier 3 $10.00 $11.00 $13.50
N3 - Tier 4 $10.00 $11.00 $13.50
L3 - Tier 1 $3.00 $3.30 $4.05
L3 - Tier 2 $1.00 $1.10 $1.35
L3 - Tier 3 $1.00 $1.10 $1.35
L3 - Tier 4 $1.00 $1.10 $1.35
Y1 $50.00 $55.00 $67.50
X1 $3.00 $3.30 $4.05
D7 - Tier 1 $50.00 $55.00 $67.50
D7 - Tier 2 $10.00 $11.00 $13.50
D7 - Tier 3 $10.00 $11.00 $13.50
D7 - Tier 4 $10.00 $11.00 $13.50
R7 - Tier 1 $3.00 $3.30 $4.05
R7 - Tier 2 $1.00 $1.10 $1.35
R7 - Tier 3 $1.00 $1.10 $1.35
R7 - Tier 4 $1.00 $1.10 $1.35
S4 $50.00 $55.00 $67.50
W4 $3.00 $3.30 $4.05
E3 $50.00 $55.00 $67.50
R3 $3.00 $3.30 $4.05
L8 $50.00 $55.00 $67.50
E8 $3.00 $3.30 $4.05
E9 $50.00 $55.00 $67.50
F4 $3.00 $3.30 $4.05
J2 $50.00 $55.00 $67.50
F2 $3.00 $3.30 $4.05
R8 $50.00 $55.00 $67.50
Q8 $3.00 $3.30 $4.05
L5 $50.00 $55.00 $67.50
F5 $3.00 $3.30 $4.05
L6 $50.00 $55.00 $67.50
W6 $3.00 $3.30 $4.05
J4 $50.00 $55.00 $67.50
E4 - Tier 1 $3.00 $3.30 $4.05
E4 - Tier 2 $1.00 $1.10 $1.35
E4 - Tier 3 $1.00 $1.10 $1.35
E4 - Tier 4 $1.00 $1.10 $1.35
L1 $50.00 $55.00 $67.50
N9 - Tier 1 $3.00 $3.30 $4.05
N9 - Tier 2 $1.00 $1.10 $1.35
N9 - Tier 3 $1.00 $1.10 $1.35
N9 - Tier 4 $1.00 $1.10 $1.35

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