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, October 27, 2008
Notice Date | 2008-10-23
Notice Number | 08-288
Effective Date | 2008-10-27
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, October 27, 2008. MARGIN RATE CHANGES FOR THE CLEARPORT PETROLEUM RELATED SWAP FUTURES
New Petroleum Swap Futures | Commodity code
European Jet Kero Rotterdam Calendar Swap | UR
Gasoil 0.1 Cargoes CIF NWE Swap | TW
Gasoil 10ppm Cargoes CIF NWE Swap | TY
Gasoil 0.1 Barges FOB Rdam v. ICE Gasoil Swap | WQ
Outright (Scan) Margins on UR, TW, TY and WQ
Contract | Clearing Member / Maintenance Margin | Member Customer Initial Margin | Non-Member Customer Initial Margin
| New | Old | New | Old | New | Old
UR | $72,500 | $22,000 | $79,750 | $24,200 | $97,875 | $29,700
TW | $72,000 | $41,000 | $79,200 | $45,100 | $97,200 | $55,350
TY | $74,500 | $39,500 | $81,950 | $43,450 | $100,575 | $53,325
WQ | $7,500 | $6,000 | $8,250 | $6,600 | $10,125 | $8,100
Printer Friendly Version...