• Performance Bond Requirement Changes - Effective Thursday, June 12, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-122
      • Notice Date
      • 11 June 2008
      • Effective Date
      • 12 June 2008
    •                                                                                                                                            
      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 after the close of business on Thursday, June 12, 2008.
       
      Revised to reflect the change in the Eurodollar Volatility Scan Range
       
       
      SPAN® MINIMUM PERFORMANCE BOND REQUIREMENTS
       
      CME Agricultural Futures Outright Rates
       
      Goldman Sachs Commodity Index (GI)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $10,500
      $7,000
      $12,000
      $8,000
      Hedge/Member
      Increase
      $7,000
      $7,000
      $8,000
      $8,000
       
      CBOT Agricultural Futures Outright Rates
       
      Corn (CBOT) (C)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Speculative - Old Crop
      Increase
      $1,688
      $1,250
      $2,025
      $1,500
      Hedge/Member - Old Crop
      Increase
      $1,250
      $1,250
      $1,500
      $1,500
      Speculative - New Crop
      Increase
      $1,688
      $1,250
      $2,025
      $1,500
      Hedge/Member - New Crop
      Increase
      $1,250
      $1,250
      $1,500
      $1,500
       
       
       
       
       
       
       
       
      Mini-Corn (CBOT) (YC)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Speculative - Old Crop
      Increase
      $338
      $250
      $405
      $300
      Hedge/Member - Old Crop
      Increase
      $250
      $250
      $300
      $300
      Speculative - New Crop
      Increase
      $338
      $250
      $405
      $300
      Hedge/Member - New Crop
      Increase
      $250
      $250
      $300
      $300
       
      Soybean (CBOT) (S)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Speculative - Old Crop
      Increase
      $4,050
      $3,000
      $4,725
      $3,500
      Hedge/Member - Old Crop
      Increase
      $3,000
      $3,000
      $3,500
      $3,500
      Speculative - New Crop
      Increase
      $4,050
      $3,000
      $4,725
      $3,500
      Hedge/Member - New Crop
      Increase
      $3,000
      $3,000
      $3,500
      $3,500
       
      Mini-Soybean (CBOT) (YK)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Speculative - Old Crop
      Increase
      $810
      $600
      $945
      $700
      Hedge/Member - Old Crop
      Increase
      $600
      $600
      $700
      $700
      Speculative - New Crop
      Increase
      $810
      $600
      $945
      $700
      Hedge/Member - New Crop
      Increase
      $600
      $600
      $700
      $700
       
       
       
       
       
      CBOT Energy Products Outright Rates
       
      CBOT Ethanol Futures (EH)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $3,645
      $2,700
      $4,725
      $3,500
      Hedge/Member
      Increase
      $2,700
      $2,700
      $3,500
      $3,500
       
      In addition, the volatility scan range will change for the following products. The volatility scan range is the change in implied volatility that is used in each of SPAN’s 16 scenarios.
       
      Code    Product Name              Current Volatility Scan Range              New Volatility Scan Range
      ED       Eurodollars                   5.20%                                                   7.0%
       
      Please contact the Risk Management Department at 312-648-3888, if you have any questions regarding these Performance Bond Changes.
       

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.