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 17, 2008
Notice Date | 2008-11-14
Notice Number | 08-347
Effective Date | 2008-11-17
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 17 th, 2008.
Contract Name | Symbol
Gasoil (ICE) Mini Calendar Swap | QA
Outright (Scan) Margins on QA
Contract | Clearing Member / Maintenance Margin | Member Customer Initial Margin | Non-Member Customer Initial Margin
| New | Old | New | Old | New | Old
QA-Tier 1 | $7,000 | $4,000 | $7,700 | $4,400 | $9,450 | $5,400
QA-Tier 2 | $7,000 | $3,500 | $7,700 | $3,850 | $9,450 | $4,725
QA-Tier 3 | $7,000 | $3,000 | $7,700 | $3,300 | $9,450 | $4,050
QA-Tier 4 | $7,000 | $2,500 | $7,700 | $2,750 | $9,450 | $3,375
Beginning on the close of business day of November 17, 2008, the margin rate of Gasoil (ICE) Mini Calendar Swap Contract (QA) will be reported under the Business Function Combined Commodity (BFCC) Code of European Gasoil (ICE) Calendar Swap (GX). Any margin rates, tier structures, and spread credits related to GX will be applied to QA. For the printer friendly version...