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
 
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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 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