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 Thursday, December 4, 2008
Notice Date | 2008-12-03
Notice Number | 08-380
Effective Date | 2008-12-04
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 Thursday, December 4, 2008. CBOT Interest Rate Futures Outright Rates US Long Bond (17)
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | Increase | $3,645 | $2,700 | $4,320 | $3,200
Hedge/Member | Increase | $2,700 | $2,700 | $3,200 | $3,200
10 Year Swap (CBOT) (66)
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | Increase | $2,970 | $2,200 | $3,780 | $2,800
Hedge/Member | Increase | $2,200 | $2,200 | $2,800 | $2,800
In addition, the following Inter-Commodity Spread Ratios will change: Spread New Ratio US Long Bond (17) vs. 10 Year Treasury Note (21) 3:5 US Long Bond (17) vs. 5 Year Treasury Note (25) 2:5 US Long Bond (17) vs. 2 Year Treasury Note (26) 1:3 10 Year Treasury Note (21) vs. 2 Year Treasury Note (26) 1:2 10 Year Treasury Note (21) vs. 5 Year Treasury Note (25) 2:3 5 Year Treasury Note (25) vs. 2 Year Treasury Note (26) 4:5 For the printer friendly version...