• Performance Bond Requirement Changes - Effective Thursday, December 4, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-380
      • Notice Date
      • 03 December 2008
      • Effective Date
      • 04 December 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 Thursday, December 4, 2008.
       
      CBOT Interest Rate Futures Outright Rates
       
      US Long Bond (17)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $3,645
      $2,700
      $4,320
      $3,200
      Hedge/Member
      Increase
      $2,700
      $2,700
      $3,200
      $3,200
       
      10 Year Swap (CBOT) (66)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $2,970
      $2,200
      $3,780
      $2,800
      Hedge/Member
      Increase
      $2,200
      $2,200
      $2,800
      $2,800
       
      In addition, the following Inter-Commodity Spread Ratios will change:
       
      Spread                                                                                     New Ratio
      US Long Bond (17) vs. 10 Year Treasury Note (21)                      3:5
      US Long Bond (17) vs. 5 Year Treasury Note (25)                        2:5
      US Long Bond (17) vs. 2 Year Treasury Note (26)                        1:3
      10 Year Treasury Note (21) vs. 2 Year Treasury Note (26) 1:2
      10 Year Treasury Note (21) vs. 5 Year Treasury Note (25) 2:3
      5 Year Treasury Note (25) vs. 2 Year Treasury Note (26)               4:5

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