• Performance Bond Requirement Changes - Effective Friday, October 3, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-264
      • Notice Date
      • 02 October 2008
      • Effective Date
      • 03 October 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 at the close of business on Friday, October 3rd, 2008.
       
      NEW TIER STRUCTURE AND MARGIN RATE CHANGES FOR THE CLEARPORT CRUDE OIL AND PETROLEUM RELATED SWAP FUTURES
       
       
      RG-European Argus Gasoline Crack Spread Swap Futures
      New Tier Structure
      Tiers
      New
      1
      1st – 2nd Nearby
      2
      Greater than 2nd Nearby
       
       
      TP-Gasoil 10ppm Cargoes CIF NWE v. ICE Gasoil Swap
      New Tier Structure
      Tiers
      New
      1
      1st – 2nd Nearby
      2
      3rd - 4th Nearby
      3
      Greater than 4th Nearby
       
       
      Note: The revised margins are in bold
       
       
      CME Clearing House Outright (Scan) Margins for the ClearPort Crude Oil and Petroleum Related Swap Futures Contracts
      Contract
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      AR-Tier1
      $120,000
      $100,000
      $132,000
      $110,000
      $162,000
      $135,000
      AR-Tier2
      $70,000
      $50,000
      $77,000
      $55,000
      $94,500
      $67,500
      BG
      $80,000
      $85,000
      $88,000
      $93,500
      $108,000
      $114,750
      BK
      $1,500
      $1,600
      $1,650
      $1,760
      $2,025
      $2,160
      CU
      $6,000
      $8,000
      $6,600
      $8,800
      $8,100
      $10,800
      DC
      $12,000
      $11,000
      $13,200
      $12,100
      $16,200
      $14,850
      EE
      $7,000
      $8,000
      $7,700
      $8,800
      $9,450
      $10,800
      EF
      $7,000
      $8,000
      $7,700
      $8,800
      $9,450
      $10,800
      EH
      $70,000
      $60,000
      $77,000
      $66,000
      $94,500
      $81,000
      EI
      $3,000
      $4,000
      $3,300
      $4,400
      $4,050
      $5,400
      ET
      $10,000
      $7,000
      $11,000
      $7,700
      $13,500
      $9,450
      EU
      $70,000
      $50,000
      $77,000
      $55,000
      $94,500
      $67,500
      EW-Tier1
      $8,000
      $10,000
      $8,800
      $11,000
      $10,800
      $13,500
      EW-Tier2
      $4,000
      $5,000
      $4,400
      $5,500
      $5,400
      $6,750
      EY
      $5,000
      $6,000
      $5,500
      $6,600
      $6,750
      $8,100
      FI
      $8,000
      $9,000
      $8,800
      $9,900
      $10,800
      $12,150
      FL
      $7,000
      $3,000
      $7,700
      $3,300
      $9,450
      $4,050
      FO
      $8,000
      $9,000
      $8,800
      $9,900
      $10,800
      $12,150
      FS
      $14,000
      $15,000
      $15,400
      $16,500
      $18,900
      $20,250
      GA
      $3,000
      $4,000
      $3,300
      $4,400
      $4,050
      $5,400
      GE
      $11,000
      $6,000
      $12,100
      $6,600
      $14,850
      $8,100
      GT
      $80,000
      $88,000
      $88,000
      $96,800
      $108,000
      $118,800
      GX-Tier1
      $80,000
      $85,000
      $88,000
      $93,500
      $108,000
      $114,750
      GX-Tier2
      $80,000
      $85,000
      $88,000
      $93,500
      $108,000
      $114,750
      GX-Tier3
      $80,000
      $85,000
      $88,000
      $93,500
      $108,000
      $114,750
      GX-Tier4
      $80,000
      $85,000
      $88,000
      $93,500
      $108,000
      $114,750
      HA
      $9,000
      $1,000
      $9,900
      $1,100
      $12,150
      $1,350
      HZ
      $6,500
      $4,500
      $7,150
      $4,950
      $8,775
      $6,075
      JA
      $90,000
      $100,000
      $99,000
      $110,000
      $121,500
      $135,000
      JC
      $17,000
      $18,000
      $18,700
      $19,800
      $22,950
      $24,300
      JR
      $14,000
      $15,000
      $15,400
      $16,500
      $18,900
      $20,250
      LT
      $4,000
      $5,000
      $4,400
      $5,500
      $5,400
      $6,750
      MF
      $11,000
      $8,000
      $12,100
      $8,800
      $14,850
      $10,800
      MG
      $5,000
      $6,000
      $5,500
      $6,600
      $6,750
      $8,100
      MQ
      $1,500
      $1,000
      $1,650
      $1,100
      $2,025
      $1,350
      PT
      $6,000
      $5,000
      $6,600
      $5,500
      $8,100
      $6,750
      RG-Tier1
      $8,000
      $4,000
      $8,800
      $4,400
      $10,800
      $5,400
      RG-Tier2
      $5,000
      $4,000
      $5,500
      $4,400
      $6,750
      $5,400
      RH
      $5,000
      $6,000
      $5,500
      $6,600
      $6,750
      $8,100
      RK
      $3,000
      $4,000
      $3,300
      $4,400
      $4,050
      $5,400
      RM-Tier1
      $4,000
      $2,500
      $4,400
      $2,750
      $5,400
      $3,375
      RM-Tier2
      $3,500
      $2,500
      $3,850
      $2,750
      $4,725
      $3,375
      RM-Tier3
      $2,500
      $2,000
      $2,750
      $2,200
      $3,375
      $2,700
      RM-Tier4
      $2,000
      $2,000
      $2,200
      $2,200
      $2,700
      $2,700
      RU-Tier1
      $16,000
      $15,000
      $17,600
      $16,500
      $21,600
      $20,250
      RU-Tier2
      $9,000
      $9,000
      $9,900
      $9,900
      $12,150
      $12,150
      RU-Tier3
      $4,500
      $4,500
      $4,950
      $4,950
      $6,075
      $6,075
      RV-Tier1
      $5,000
      $10,000
      $5,500
      $11,000
      $6,750
      $13,500
      RV-Tier2
      $5,000
      $5,000
      $5,500
      $5,500
      $6,750
      $6,750
      RV-Tier3
      $1,200
      $1,200
      $1,320
      $1,320
      $1,620
      $1,620
      SD
      $10,000
      $6,000
      $11,000
      $6,600
      $13,500
      $8,100
      TP-Tier1
      $11,000
      $10,000
      $12,100
      $11,000
      $14,850
      $13,500
      TP-Tier2
      $10,000
      $10,000
      $11,000
      $11,000
      $13,500
      $13,500
      TP-Tier3
      $5,000
      $10,000
      $5,500
      $11,000
      $6,750
      $13,500
      SE
      $65,000
      $35,000
      $71,500
      $38,500
      $87,750
      $47,250
      TH
      $8,000
      $5,000
      $8,800
      $5,500
      $10,800
      $6,750
      TU
      $8,000
      $10,000
      $8,800
      $11,000
      $10,800
      $13,500
      UA
      $65,000
      $40,000
      $71,500
      $44,000
      $87,750
      $54,000
      UB
      $12,000
      $6,000
      $13,200
      $6,600
      $16,200
      $8,100
      UF
      $60,000
      $45,000
      $66,000
      $49,500
      $81,000
      $60,750
      UH
      $60,000
      $40,000
      $66,000
      $44,000
      $81,000
      $54,000
      UI
      $60,000
      $40,000
      $66,000
      $44,000
      $81,000
      $54,000
      UV
      $60,000
      $40,000
      $66,000
      $44,000
      $81,000
      $54,000
      VL
      $70,000
      $80,000
      $77,000
      $88,000
      $94,500
      $108,000
      WJ
      $1,000
      $600
      $1,100
      $660
      $1,350
      $810
      WQ
      $6,000
      $8,000
      $6,600
      $8,800
      $8,100
      $10,800
      YL-Tier1
      $4,000
      $5,000
      $4,400
      $5,500
      $5,400
      $6,750
      YL-Tier2
      $2,500
      $3,000
      $2,750
      $3,300
      $3,375
      $4,050
      YL-Tier3
      $1,500
      $1,800
      $1,650
      $1,980
      $2,025
      $2,430
       
       

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