• Performance Bond Requirement Changes -- Effective Monday, April 20th, 2009

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 09-159
      • Notice Date
      • 17 April 2009
      • Effective Date
      • 20 April 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 these products on April 20th, 2009.
       
      CME Agricultural Futures Outright Rates
       
      Deliverable Non-fat Dry Milk – (GNP)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Spec
      NA
      $1,485
      $1,100
      Hedge/Member
      NA
      $1,100
      $1,100
       
      COMEX Outright Rates
       
      E-mini Gold – (8Q)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Spec
      NA
      $1,800
      $1,333
      Hedge/Member
      NA
      $1,333
      $1,333
       
      E-mini Silver – (6Q)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Spec
      NA
      $1,620
      $1,200
      Hedge/Member
      NA
      $1,200
      $1,200
       
       
      CME Agricultural Futures Intra-Commodity Spread Rates
       
      Deliverable Non-fat Dry Milk – (GNP)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Spec
      NA
      $945
      $700
      Hedge/Member
      NA
      $700
      $700
       
      COMEX Intra-Commodity Spread Rates
       
      E-mini Gold – (8Q)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Spec
      NA
      $23
      $17
      Hedge/Member
      NA
      $17
      $17
       
      E-mini Silver – (6Q)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Spec
      NA
      $41
      $30
      Hedge/Member
      NA
      $30
      $30
       
       
      CME Agricultural Futures Inter-Commodity Spread Rates
       
      Class IV Milk (DK) vs. Deliverable Non-fat Dry Milk – (GNP)
       
      Rate Type
       
      Ratio
      New
      Initial
      New
      Maintenance
      Spread Credit Rate
      +3:-2
      60%
      60%
       
      Milk (DA) vs. Deliverable Non-fat Dry Milk – (GNP)
       
      Rate Type
       
      Ratio
      New
      Initial
      New
      Maintenance
      Spread Credit Rate
      +3:-2
      65%
      65%
       
      COMEX Inter-Commodity Spread Rates
       
      E-mini Gold (8Q) vs. Platinum (PL)
       
      Rate Type
       
      Ratio
      New
      Initial
      New
      Maintenance
      Spread Credit Rate
      +3:-2
      50%
      50%
       
      E-mini Gold (8Q) vs. Silver (SI)
       
      Rate Type
       
      Ratio
      New
      Initial
      New
      Maintenance
      Spread Credit Rate
      +2:-1
      50%
      50%
       
      E-mini Gold (8Q) vs. E-mini Silver (6Q)
       
      Rate Type
       
      Ratio
      New
      Initial
      New
      Maintenance
      Spread Credit Rate
      +2:-5
      50%
      50%
       
      E-mini Silver (6Q) vs. Gold (GC)
       
      Rate Type
       
      Ratio
      New
      Initial
      New
      Maintenance
      Spread Credit Rate
      +15:-2
      50%
      50%
       

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