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
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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.