• Revised: Performance Bond Requirements

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Manager, Margin Managers
      • From
      • CME Clearing
      • #
      • 08-43
      • Notice Date
      • 12 March 2008
      • Effective Date
      • 16 January 2009

    • *Revised to explain the concept of Short Option Minimum*

      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 subscribeto 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. These margins are effective at the close of business on Thursday, March 13, 2008.

      SPAN® MINIMUM PERFORMANCE BOND REQUIREMENTS
       
      CBOT Interest Rate Futures Outright Rates
       
      10 Year Treasury Note (21)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,620
      $1,200
      $1,890
      $1,400
      Hedge/Member
      Increase
      $1,200
      $1,200
      $1,400
      $1,400
       
      5 Year Treasury Note (25)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,215
      $900
      $1,350
      $1,000
      Hedge/Member
      Increase
      $900
      $900
      $1,000
      $1,000
       
      10 Year Swap (CBOT) (66)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $2,025
      $1,500
      $2,160
      $1,600
      Hedge/Member
      Increase
      $1,500
      $1,500
      $1,600
      $1,600
       
      CME Currency Futures Outright Rates
       
      Cross Rate Euro FX /Polish Zloty (Z)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      EUR1,688
      EUR1,250
      EUR1,823
      EUR1,350
      Hedge/Member
      Increase
      EUR1,250
      EUR1,250
      EUR1,350
      EUR1,350
       
      Cross Rate Euro FX/Hungarian Forint (R)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      EUR2,025
      EUR1,500
      EUR2,565
      EUR1,900
      Hedge/Member
      Increase
      EUR1,500
      EUR1,500
      EUR1,900
      EUR1,900
       
      Cross Rate Euro FX/Swiss Franc (RF)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,958
      $1,450
      $2,295
      $1,700
      Hedge/Member
      Increase
      $1,450
      $1,450
      $1,700
      $1,700
       
      FXMS Currency Spot Outright Rates
       
      Cross Rate Euro FX/Swiss Franc Spot (EURCH)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,958
      $1,450
      $2,295
      $1,700
      Hedge/Member
      Increase
      $1,450
      $1,450
      $1,700
      $1,700
       
      CBOT Agricultural Futures Outright Rates
       
      Oats (CBOT) (O)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,283
      $950
      $1,350
      $1,000
      Hedge/Member
      Increase
      $950
      $950
      $1,000
      $1,000
       
      Rough Rice (CBOT) (14)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,215
      $900
      $1,350
      $1,000
      Hedge/Member
      Increase
      $900
      $900
      $1,000
      $1,000
       

      In addition, the Short Option Minimum (SOM) will change for the following products. SOM is a charge that is applied only to portfolios concentrated in short options that do not generate a minimum margin requirement level when margins are calculated using the normal 16 SPAN scenarios. The SOM charge per short calls or short puts is a percentage of the outright margin on one underlying futures contract.

      Code Description Current SOM New SOM
      66 10 Year Swap (CBOT) 0.50% 1.00%
      21 10 Year Treasury Note 0.50% 1.00%
      38 100 oz. Gold Futures 0.50% 1.00%
      26 2 Year Treasury Note 0.50% 1.00%
      I3 30 Year Swap (CBOT) 0.50% 1.00%
      NG 5 Year Swap (CBOT) 0.50% 1.00%
      25 5 Year Treasury Note 0.50% 1.00%
      39 5000 oz. Silver Futures 0.50% 1.00%
      08 Binary Options on Target Fed Funds Rate 0.50% 1.00%
      C Corn 0.50% 1.00%
      64 Dow AIG Index 0.50% 1.00%
      11 Dow Jones 0.50% 1.00%
      ED Eurodollars 1.50% 1.00%
      41 Fed Funds 0.50% 1.00%
      63 Mini- Gold 0.50% 1.00%
      61 Mini- Silver 0.50% 1.00%
      YC Mini-Corn 0.50% 1.00%
      YM Mini-Dow Jones 0.50% 1.00%
      YK Mini-Soybean 0.50% 1.00%
      YW Mini-Wheat 0.50% 1.00%
      O Oats 0.50% 1.00%
      14 Rough Rice 0.50% 1.00%
      30 South American Soybean 0.50% 1.00%
      S Soybean 0.50% 1.00%
      31 Soybean Crush Option Spread 0.50% 1.00%
      07 Soybean Oil 0.50% 1.00%
      06 Soymeal 0.50% 1.00%
      17 US Long Bond 0.50% 1.00%
      W Wheat 0.50% 1.00%

      Please contact the Risk Management Department at 312-648-3888, if you have any questions regarding these Performance Bond Changes.

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