• Performance Bond Requirement Changes - Effective Wednesday, November 19, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-349
      • Notice Date
      • 18 November 2008
      • Effective Date
      • 19 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 after the close of business  Wednesday, November 19th, 2008.
       
       
      CBOT Interest Rate Futures Inter-Commodity Spread Rates
       
      US Long Bond (17) vs. 10 Year Treasury Note (21) vs. 5 Year Treasury Note (25) vs. 2 Year Treasury Note (26) Scan Based Spread (2:3:5:6)*
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spread Credit Rate
      Decrease
      80.00%
      80.00%
      75.00%
      75.00%
       
      CME Currency Futures Outright Rates
       
      Cross Rate Euro FX/Canadian Dollar (CC)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      CAD6,075
      CAD4,500
      CAD7,155
      CAD5,300
      Hedge/Member
      Increase
      CAD4,500
      CAD4,500
      CAD5,300
      CAD5,300
       
      Cross Rate Euro FX/Swiss Franc (RF)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      CHF3,645
      CHF2,700
      CHF4,455
      CHF3,300
      Hedge/Member
      Increase
      CHF2,700
      CHF2,700
      CHF3,300
      CHF3,300
       


      Cross Rate EuroFX/British Pound (RP)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      £2,025
      £1,500
      £3,105
      £2,300
      Hedge/Member
      Increase
      £1,500
      £1,500
      £2,300
      £2,300
       
      Russian Ruble (RU)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $4,950
      $3,300
      $5,400
      $3,600
      Hedge/Member
      Increase
      $3,300
      $3,300
      $3,600
      $3,600
       
      *In addition, the following spread ratio will change:
       
      US Long Bond (17) vs. 10 Year Treasury Note (21) vs. 5 Year Treasury Note (25) vs. 2 Year Treasury Note (26) Scan Based Spread
       
      Old Ratio                      New Ratio
      3:5:7:8                          2:3:5:6

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.