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Performance Bond Requirement Changes - Effective Wednesday, December 24, 2008
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- To
- Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
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- From
- CME Clearing
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- #
- 08-409
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- Notice Date
- 23 December 2008
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- Effective Date
- 24 December 2008
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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, December 24th, 2008.CME Currency Futures Outright RatesBritish Pound (BP)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$4,590$3,400$3,915$2,900Hedge/MemberDecrease$3,400$3,400$2,900$2,900Cross Rate British Pound/Swiss Franc (BF)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncreaseCHF8,640CHF6,400CHF12,420CHF9,200Hedge/MemberIncreaseCHF6,400CHF6,400CHF9,200CHF9,200Cross Rate Euro FX /Polish Zloty (Z)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecreaseEUR6,615EUR4,900EUR5,400EUR4,000Hedge/MemberDecreaseEUR4,900EUR4,900EUR4,000EUR4,000Cross Rate Euro FX/Swedish Krona (KE)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncreaseSEK25,650SEK19,000SEK37,800SEK28,000Hedge/MemberIncreaseSEK19,000SEK19,000SEK28,000SEK28,000Cross Rate EuroFX/British Pound (RP)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease£3,645£2,700£4,050£3,000Hedge/MemberIncrease£2,700£2,700£3,000£3,000Czech Koruna (CZ)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$11,610$8,600$7,020$5,200Hedge/MemberDecrease$8,600$8,600$5,200$5,200Euro FX (EC)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$6,075$4,500$6,345$4,700Hedge/MemberIncrease$4,500$4,500$4,700$4,700E-Mini Euro FX (E7)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$3,038$2,250$3,173$2,350Hedge/MemberIncrease$2,250$2,250$2,350$2,350Japanese Yen (JY)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$6,075$4,500$4,860$3,600Hedge/MemberDecrease$4,500$4,500$3,600$3,600E-Mini Japanese Yen (J7)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$3,038$2,250$2,430$1,800Hedge/MemberDecrease$2,250$2,250$1,800$1,800Polish Zloty (PZ)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$13,500$10,000$11,475$8,500Hedge/MemberDecrease$10,000$10,000$8,500$8,500Swedish Krona (SE)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$11,610$8,600$17,550$13,000Hedge/MemberIncrease$8,600$8,600$13,000$13,000Swiss Franc (SF)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$3,105$2,300$4,725$3,500Hedge/MemberIncrease$2,300$2,300$3,500$3,500To 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, December 24th, 2008.CME Currency Futures Outright RatesBritish Pound (BP)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$4,590$3,400$3,915$2,900Hedge/MemberDecrease$3,400$3,400$2,900$2,900Cross Rate British Pound/Swiss Franc (BF)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncreaseCHF8,640CHF6,400CHF12,420CHF9,200Hedge/MemberIncreaseCHF6,400CHF6,400CHF9,200CHF9,200Cross Rate Euro FX /Polish Zloty (Z)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecreaseEUR6,615EUR4,900EUR5,400EUR4,000Hedge/MemberDecreaseEUR4,900EUR4,900EUR4,000EUR4,000Cross Rate Euro FX/Swedish Krona (KE)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncreaseSEK25,650SEK19,000SEK37,800SEK28,000Hedge/MemberIncreaseSEK19,000SEK19,000SEK28,000SEK28,000Cross Rate EuroFX/British Pound (RP)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease£3,645£2,700£4,050£3,000Hedge/MemberIncrease£2,700£2,700£3,000£3,000Czech Koruna (CZ)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$11,610$8,600$7,020$5,200Hedge/MemberDecrease$8,600$8,600$5,200$5,200Euro FX (EC)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$6,075$4,500$6,345$4,700Hedge/MemberIncrease$4,500$4,500$4,700$4,700E-Mini Euro FX (E7)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$3,038$2,250$3,173$2,350Hedge/MemberIncrease$2,250$2,250$2,350$2,350Japanese Yen (JY)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$6,075$4,500$4,860$3,600Hedge/MemberDecrease$4,500$4,500$3,600$3,600E-Mini Japanese Yen (J7)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$3,038$2,250$2,430$1,800Hedge/MemberDecrease$2,250$2,250$1,800$1,800Polish Zloty (PZ)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecDecrease$13,500$10,000$11,475$8,500Hedge/MemberDecrease$10,000$10,000$8,500$8,500Swedish Krona (SE)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$11,610$8,600$17,550$13,000Hedge/MemberIncrease$8,600$8,600$13,000$13,000Swiss Franc (SF)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$3,105$2,300$4,725$3,500Hedge/MemberIncrease$2,300$2,300$3,500$3,500
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