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
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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, 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

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