• Performance Bond Requirement Changes -- Effective Monday, March 23rd, 2009

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 09-113
      • Notice Date
      • 20 March 2009
      • Effective Date
      • 23 March 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 with the launch of the products Monday, March 23rd, 2009.
       
      CBOT Interest Rate Futures Outright Rates
       
      3 Year Treasury Note Futures (3YR)

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      $1,755
      $1,300
      Customer Rate
      NA
      $1,300
      $1,300

       
      CBOT Interest Rate Futures Intra-Commodity Spread Rates
       
      3 Year Treasury Note Futures (3YR) - All Months 

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      $473
      $350
      Customer Rate
      NA
      $350
      $350

       
       
       
      CBOT Interest Rate Futures Inter-Commodity Spread Rates
       

      3 Year Treasury Note (3YR) vs. Fed Funds (CBOT) (41) Tier 1 (Mos. 1-4) (3:2)
      Rate Type
      Change
      New
       
      Spread Credit Rate
      NA
      45.00%
       

       

       
      3 Year Treasury Note (3YR) vs. Fed Funds (CBOT) (41) Tier 2 (Mos. 5-12) (3:2)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      60.00%
       
      30 Year Bond (17) vs. 3 Year Treasury Note (3YR) (1:3)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      65.00%
       
      10 Year Treasury Note (21) vs. 3 Year Treasury Note (3YR) (1:2)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      80.00%
       
      5 Year Treasury Note (25) vs. 3 Year Treasury Note (3YR) (4:5)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      80.00%
       
      3 Year Treasury Note (3YR) vs. 2 Year Treasury Note (26) (4:5)
      Rate Type
      Change
      New
       
      Spread Credit Rate
      NA
      80.00%
       

       

      3 Year Treasury Note (3YR) vs. Eurodollar (ED) – All Tiers (2:3)
      Rate Type
      Change
      New
       
      Spread Credit Rate
      NA
      65.00%
       

       

      3 Year Treasury Note (3YR) vs. 30 Year Swap (CBOT) (9:2)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      60.00%
       
       
       
      3 Year Treasury Note (3YR) vs. LIBOR (1-Month) (EM) (3:2)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      40.00%
       
      3 Year Note (3YR) vs. CME Lehman Brothers US Aggregate Index (LBA) (1:1)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      50.00%
       
       
       
       
      3 Year Treasury Note (3YR) vs. Mini-Eurodollar (YE) (3:4)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      50.00%
       
      3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 1 (1:5)
      Rate Type
      Change
      New
       
      Spread Credit Rate
      NA
      30.00%
       

       

      3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 2 (1:3)
      Rate Type
      Change
      New
       
      Spread Credit Rate
      NA
      35.00%
       

       

      3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 3 (1:2)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      65.00%
       
      3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 4 (1:1)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      60.00%
       
      3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 5 (5:3)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      60.00%
       
      3 Year Note (3YR) Vs. USD CME Swaps (USD3L) Tier 6 (2:1)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      55.00%
       
      3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 1 (1:5)
      Rate Type
      Change
      New
       
      Spread Credit Rate
      NA
      45.00%
       

       

      3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 2 (1:5)
      Rate Type
      Change
      New
       
      Spread Credit Rate
      NA
      45.00%
       

       

      3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 3 (1:4)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      70.00%
       
      3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 4 (1:2)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      70.00%
       
       
      3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 5 (4:5)
      Rate Type
      Change
      New
      Spread Credit Rate
      NA
      70.00%
       
       
       
      3 Year Note (3YR) Vs. EUR CME Swaps (EUR6E) Tier 6 (3:4)
      Rate Type
      Change
      New
       
      Spread Credit Rate
      NA
      65.00%
       

       
       
      CBOT Interest Rate Scanning Based Spread Rate
       
      Scan Based Treasury Spread: Bond (17) vs. 10 Year (21) vs. 5 Year (25) vs. 3 Year (3YR) vs. 2 Year (26)

      Rate Type
      Change
      Current
      New
      Spread Credit Rate
      No Change
      75%
      75%

       

      Spread Leg
      Current Ratio
      New Ratio
      30 Year Bond
      2
      2
      10 Year Note
      3
      3
      5 Year Note
      5
      5
      3 Year Note
      NA
      6
      2 Year Note
      6
      6

       
       
      CME FX Futures Outright Rates
       
      E-Micro EUR/USD Futures (M6E)

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      $608
      $450
      Customer Rate
      NA
      $450
      $450

       
      E-Micro USD/JPY Futures (M6J)

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      JPY 36,450
      JPY 27,000
      Customer Rate
      NA
      JPY 27,000
      JPY 27,000

       
      E-Micro GBP/USD Futures (M6B)

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      $392
      $290
      Customer Rate
      NA
      $290
      $290

       
       
       
       
       
       
       
       
       
       
      E-Micro USD/CHF Futures (M6S)

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      CHF 513
      CHF 380
      Customer Rate
      NA
      CHF 380
      CHF 380

       
       
       
       
      E-Micro AUD/USD Futures (M6A)

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      $473
      $350
      Customer Rate
      NA
      $350
      $350

       
      E-Micro USD/CAD Futures (M6C)

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      CAD 567
      CAD 420
      Customer Rate
      NA
      CAD 420
      CAD 420

       
      CME FX Futures Intra-Commodity Spread Rates
       
      E-Micro EUR/USD Futures (M6E) - All Months 

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      $20
      $15
      Customer Rate
      NA
      $15
      $15

       
      E-Micro USD/JPY Futures (M6J) - All Months 

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      JPY 1,553
      JPY 1,150
      Customer Rate
      NA
      JPY 1,150
      JPY 1,150

       
      E-Micro GBP/USD Futures (M6B) - All Months 

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      $17
      $13
      Customer Rate
      NA
      $13
      $13

       
      E-Micro USD/CHF Futures (M6S) - All Months 

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      CHF 27
      CHF 20
      Customer Rate
      NA
      CHF 20
      CHF 20

       
       
       
       
      E-Micro AUD/USD Futures (M6A) - All Months 

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      $14
      $10
      Customer Rate
      NA
      $10
      $10

       
       
       
      E-Micro USD/CAD Futures (M6C) - All Months 

       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      CAD 20
      CAD 15
      Customer Rate
      NA
      CAD 15
      CAD 15

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