• Performance Bond Requirements - Effective Monday, October 27, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-294
      • Notice Date
      • 27 October 2008
      • Effective Date
      • 27 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 with the launch of the product on Monday, October 27th, 2008.
       
      CME Index Futures Outright Rates
       
      S&P 500 Index (EURO) (EME)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Spec
      NEW
      EUR5,625
      EUR4,500
      Hedge/Member
      NEW
      EUR4,500
      EUR4,500
       
      CME Index Futures Intra-Commodity Spread Rates
       
      S&P 500 Index (EURO) (EME) - All Months 
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Spec
      NEW
      EUR38
      EUR30
      Hedge/Member
      NEW
      EUR30
      EUR30
       
      CME Index Futures Inter-Commodity Spread Rates
       
      S&P 500 Index (EURO) (EME) vs. E-Mini S&P 500 (ES)   (10:13)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Spread Credit Rate
      NEW
      99.00%
      99.00%
       

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