• PB Requirement Changes--Effective August 3, 2009--RB/RL/RT/QU Intra-Commodity Spread and Scan Tiers

      • To
      • Clearing Member Firms and Back Office Managers
      • From
      • CME Clearing
      • #
      • 09-329
      • Notice Date
      • 31 July 2009
      • Effective Date
      • 03 August 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 rates are effective at the close of business on Monday, August 3rd, 2009.
       
       
      TIER CHANGES FOR NEW YORK HARBOR GASOLINE BLENDSTOCK FUTURES CONTRACT (RB), RBOB GASOLINE – FINANCIAL CONTRACT (RT), RBOB CALENDAR SWAP (RL) AND NYMEX RBOB miNY GASOLINE CONTRACT (QU)
       
      Note: The revised margins are in bold.
       
       
       
       
      RB/RL/RT/QU Intra-Commodity Spread and Scan Tiers
      Tiers
      New
      Old
      1
      1st Nearby
      1st Nearby
      2
      2nd Nearby
      2nd Nearby
      3
      3rd – 7th Nearby
      3rd Nearby
      4
      Greater than the 7th Nearby
      Greater than the 3rd Nearby

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