• Performance Bond Requirement Changes - Effective Monday, November 3, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-305
      • Notice Date
      • 30 October 2008
      • Effective Date
      • 03 November 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 Monday, November 3rd, 2008.
       
      NEW MARGIN RATES AND TIERS FOR
       
      NGL Related Contracts
      Commodity Code
      Conway Propane (OPIS) Swap
      W1
      Mont Belvieu Natural Gasoline (OPIS) Swap
      W3
      Mont Belvieu Ethane (OPIS) Swap
      W8
      Mont Belvieu Isobutane (OPIS) Swap
      Y2
      Mont Belvieu Normal Butane (OPIS) Swap
      Z2
      Plastics Related Contracts
      Polypropylene Futures Contract
      P1
      Polyethylene Futures Contract
      P6
       
       
      Outright (Scan) Tiers for W1, W3, W8, Y2, Z2, P1 and P6
      Tiers
      Months
      1
      All Months
       
       
       
       
      Outright (Scan) Margin on W1, W3, W8, Y2, Z2, P1 and P6
      Commodity
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Initial Margin
       
      New
      New
      New
      W1
      $8,500
      $9,350
      $11,475
      W3
      $8,000
      $8,800
      $10,800
      W8
      $6,500
      $7,150
      $8,775
      Y2
      $10,500
      $11,550
      $14,175
      Z2
      $8,500
      $9,350
      $11,475
      P1
      $2,000
      $2,200
      $2,700
      P6
      $2,000
      $2,200
      $2,700
       
       
       
      Intra-Commodity Spread Tiers for W1, W3, W8, Y2, Z2, P1 and P6
      Tiers
      Months
      1
      All Months
       
       
      Intra-Commodity Spread Margins on W1, W3, W8, Y2, Z2, P1 and P6
      Commodity
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Initial Margin
       
      New
      New
      New
      W1
      $850
      $935
      $1,148
      W3
      $800
      $880
      $1,080
      W8
      $650
      $715
      $878
      Y2
      $1,050
      $1,155
      $1,418
      Z2
      $850
      $935
      $1,148
      P1
      $200
      $220
      $270
      P6
      $200
      $220
      $270
       
       
       
      Spot Assessment Margins For P1 and P6
      Commodity
      Clearing Member Assessments
      Member Customer Assessments
      Non-Member Customer Assessments
       
      New
      New
      New
      P1
      $3,000
      $3,300
      $4,050
      P6
      $3,000
      $3,300
      $4,050
       
       
      Note: The spot month assessment will take place in two increments. First, $100 on positions at the close of business on the day preceding termination. Second, the remaining of the spot assessment on positions at the close of business on the day after termination.

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