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
 
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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 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.