Performance Bond (Margin) Advisory Notices
To | Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
From | CME Clearing
Subject | Performance Bond Requirement Changes - Effective - Monday, November 3, 2008
Notice Date | 2008-10-30
Notice Number | 08-305
Effective Date | 2008-11-03
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 3 rd, 2008. NEW MARGIN RATES AND TIERS FOR
NGL Related Contracts | Commodity Code
Conway Propane (OPIS) Swap | W1
Mont Belvieu Natural Gasoline (OPIS) Swap | W3
Mont Belvieu Ethane (OPIS) Swap | W8
Mont Belvieu Isobutane (OPIS) Swap | Y2
Mont Belvieu Normal Butane (OPIS) Swap | Z2
Plastics Related Contracts
Polypropylene Futures Contract | P1
Polyethylene Futures Contract | P6
Outright (Scan) Tiers for W1, W3, W8, Y2, Z2, P1 and P6
Tiers | Months
1 | All Months
Outright (Scan) Margin on W1, W3, W8, Y2, Z2, P1 and P6
Commodity | Clearing Member / Maintenance Margin | Member Customer Initial Margin | Non-Member Initial Margin
| New | New | New
W1 | $8,500 | $9,350 | $11,475
W3 | $8,000 | $8,800 | $10,800
W8 | $6,500 | $7,150 | $8,775
Y2 | $10,500 | $11,550 | $14,175
Z2 | $8,500 | $9,350 | $11,475
P1 | $2,000 | $2,200 | $2,700
P6 | $2,000 | $2,200 | $2,700
Intra-Commodity Spread Tiers for W1, W3, W8, Y2, Z2, P1 and P6
Tiers | Months
1 | All Months
Intra-Commodity Spread Margins on W1, W3, W8, Y2, Z2, P1 and P6
Commodity | Clearing Member / Maintenance Margin | Member Customer Initial Margin | Non-Member Initial Margin
| New | New | New
W1 | $850 | $935 | $1,148
W3 | $800 | $880 | $1,080
W8 | $650 | $715 | $878
Y2 | $1,050 | $1,155 | $1,418
Z2 | $850 | $935 | $1,148
P1 | $200 | $220 | $270
P6 | $200 | $220 | $270
Spot Assessment Margins For P1 and P6
Commodity | Clearing Member Assessments | Member Customer Assessments | Non-Member Customer Assessments
| New | New | New
P1 | $3,000 | $3,300 | $4,050
P6 | $3,000 | $3,300 | $4,050
Note: The spot month assessment will take place in two increments. First, $100 on positions at the close of business on the day preceding termination. Second, the remaining of the spot assessment on positions at the close of business on the day after termination. Printer Friendly Version...