Chadv08-167 - CME Group

Performance Bond Requirement Changes - Effective Wednesday, July 30, 2008

- To
- Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
- From
- CME Clearing
- #
- 08-167
- Notice Date
- 29 July 2008
- Effective Date
- 30 July 2008

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 after the close of business Wednesday, July 30, 2008.

CME Currency Futures Outright Rates

Australian Dollar (AD)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	$2,025	$1,500	$1,823	$1,350
Hedge/Member	Decrease	$1,500	$1,500	$1,350	$1,350

Canadian Dollar (CD)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	$2,160	$1,600	$1,620	$1,200
Hedge/Member	Decrease	$1,600	$1,600	$1,200	$1,200

Cross Rate Australian Dollar/Canadian Dollar (AC)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	CAD3,645	CAD2,700	CAD3,240	CAD2,400
Hedge/Member	Decrease	CAD2,700	CAD2,700	CAD2,400	CAD2,400

Cross Rate British Pound/Japanese Yen (BY)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	¥742,500	¥550,000	¥675,000	¥500,000
Hedge/Member	Decrease	¥550,000	¥550,000	$500,000	$500,000

Cross Rate British Pound/Swiss Franc (BF)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	CHF6,345	CHF4,700	CHF5,805	CHF4,300
Hedge/Member	Decrease	CHF4,700	CHF4,700	CHF4,300	CHF4,300

Cross Rate Euro FX /Polish Zloty (Z)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Increase	EUR1,620	EUR1,200	EUR1,890	EUR1,400
Hedge/Member	Increase	EUR1,200	EUR1,200	EUR1,400	EUR1,400

Crossrate Euro FX/Czech Koruna (K)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Increase	EUR2,160	EUR1,600	EUR3,510	EUR2,600
Hedge/Member	Increase	EUR1,600	EUR1,600	EUR2,600	EUR2,600

Czech Koruna (CZ)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Increase	$4,995	$3,700	$7,965	$5,900
Hedge/Member	Increase	$3,700	$3,700	$5,900	$5,900

Norwegian Krone (UN)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	$10,800	$8,000	$9,450	$7,000
Hedge/Member	Decrease	$8,000	$8,000	$7,000	$7,000

Polish Zloty (PZ)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	$4,455	$3,300	$4,050	$3,000
Hedge/Member	Decrease	$3,300	$3,300	$3,000	$3,000

Swiss Franc (SF)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	$2,700	$2,000	$2,565	$1,900
Hedge/Member	Decrease	$2,000	$2,000	$1,900	$1,900

FXMS Currency Spot Outright Rates

Australian Dollar Spot (AUDUS)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	$2,025	$1,500	$1,823	$1,350
Hedge/Member	Decrease	$1,500	$1,500	$1,350	$1,350

Canadian Dollar Spot (USDCA)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	CAD2,160	CAD1,600	CAD1,620	CAD1,200
Hedge/Member	Decrease	CAD1,600	CAD1,600	CAD1,200	CAD1,200

Cross Rate British Pound/Japanese Yen Spot (GBPJP)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	¥742,500	¥550,000	¥675,000	¥500,000
Hedge/Member	Decrease	¥550,000	¥550,000	$500,000	$500,000

Swiss Franc Spot (USDCH)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Spec	Decrease	CHF2,811	CHF2,082	CHF2,687	CHF1,990
Hedge/Member	Decrease	CHF2,082	CHF2,082	CHF1,990	CHF1,990

CBOT Agricultural Futures Outright Rates

Wheat (CBOT) (W)

Rate Type	Change	Current Initial	Current Maintenance	New Initial	New Maintenance
Speculative - Old Crop	Decrease	$4,050	$3,000	$3,645	$2,700
Hedge/Member - Old Crop	Decrease	$3,000	$3,000	$2,700	$2,700
Speculative - New Crop	Decrease	$4,050	$3,000	$3,645	$2,700
Hedge/Member - New Crop	Decrease	$3,000	$3,000	$2,700	$2,700
Delivery Month - Spec	Decrease	$4,050	$3,000	$3,645	$2,700
Delivery Month - Hedge/Member	Decrease	$3,000	$3,000	$2,700	$2,700

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Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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Performance Bond Requirement Changes - Effective Wednesday, July 30, 2008