• Performance Bond Requirement Changes: Effective Wednesday, July 22, 2009

      • To
      • Clearing Member Firms, Chief Financial Officers, Back Office Managers, and Margin Managers
      • From
      • CME Clearing
      • #
      • 09-311
      • Notice Date
      • 22 July 2009
      • Effective Date
      • 22 July 2009
    • 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 changes are effective at the close of business on Wednesday, July 22nd, 2009.

       

      TIER CHANGES FOR CRUDE OIL FUTURES CONTRACT (CL), FINANCIAL CRUDE OIL CONTRACT (WS), CRUDE OIL CALENDAR SWAP (CS), NYMEX miNY CRUDE OIL CONTRACT (QM), and NYMEX Crude Oil Minute-Marker Future (6C)

       

      Note: The revisions are in bold.

       

       

       

      CL/WS/CS/6C Intra -Commodity Spread Tiers

      Tiers

      New

      Old

      1

      1st Nearby

      1st Nearby

      2

      2nd -  4th Nearby

      2nd -  5th Nearby

      3

      5th – 16th  Nearby

      6th – 17th  Nearby

      4

      17th – 28th  Nearby

      18th – 29th  Nearby

      5

      29th – 52nd  Nearby

      30th – 53rd  Nearby

      6

      Greater than the 52nd Nearby

      Greater than the 53rd Nearby