• Performance Bond Requirement Changes - Effective Wednesday, October 22, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-285
      • Notice Date
      • 21 October 2008
      • Effective Date
      • 22 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 Wednesday, October 22nd, 2008.
       
      INTRA-SPREAD TIER CHANGES FOR CRUDE OIL FUTURES CONTRACT (CL), FINANCIAL CRUDE OIL CONTRACT (WS), CRUDE OIL CALENDAR SWAP (CS), and NYMEX miNY CRUDE OIL CONTRACT (QM)
       
      Note: The revisions are in bold.
      CL/WS/CS Intra -Commodity Spread Tiers
      Tiers
      New
      Old
      1
      1st Nearby
      1st Nearby
      2
      2nd - 13th Nearby
      2nd - 14th Nearby
      3
      14th - 37th Nearby
      15th - 38th Nearby
      4
      Greater than the 37th Nearby
      Greater than the 38th Nearby
       
      NYMEX Division Outright (Scan) Margins on Crude Oil Futures Contract (CL),Financial Crude Oil Contract ( WS) and Crude Oil Calendar Swap (CS)
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      1
      $450
      $450
      $495
      $495
      $608
      $608
      2
      $400
      $400
      $440
      $440
      $540
      $540
      3
      $400
      $300
      $440
      $330
      $540
      $405
      4
      $400
      $300
      $440
      $330
      $540
      $405
       

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