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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 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 |