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Performance Bond Requirements-Effective January 23, 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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- #
- 08-08
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- Notice Date
- 22 January 2008
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- Effective Date
- 23 January 2008
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As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Performance Bond staff approved the performance bond requirements for the following products listed below. These margins will become effective at the close of business on Wednesday, January 23, 2008.SPAN® MINIMUM PERFORMANCE BOND REQUIREMENTSCME Interest Rate Futures Outright RatesEurodollar (ED) Mths 01-12Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$878$650$1,013$750Hedge/MemberIncrease$650$650$750$750Eurodollar (ED) Mths 13-44Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$878$650$1,013$750Hedge/MemberIncrease$650$650$750$750LIBOR (1-Month) (EM) Mths 1-4Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$473$350$743$550Hedge/MemberIncrease$350$350$550$550LIBOR (1-Month) (EM) Mths 5-9Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$743$550$1,013$750Hedge/MemberIncrease$550$550$750$750CBOT Interest Rate Futures Outright RatesFed Funds (CBOT) (41)Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceLess than 21 days to expireIncrease$506$375$776$575Less than 14 days to expireIncrease$338$250$540$400Less than 7 days to expireIncrease$169$125$304$225Fed Funds (CBOT) (41) Mths 1-4Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$675$500$1,013$750Hedge/MemberIncrease$500$500$750$750Fed Funds (CBOT) (41) Mths 5-12Rate TypeChangeCurrentInitialCurrentMaintenanceNewInitialNewMaintenanceSpecIncrease$1,013$750$1,350$1,000Hedge/MemberIncrease$750$750$1,000$1,000CME Index Futures Volatility Scan RangesProductChangeCurrentNewS&P 500 (SP)Increase4.0%5.0%S&P 500/Barra Growth (SG)Increase4.0%5.0%S&P 500/Barra Value (SU)Increase4.0%5.0%S&P Midcap 400 (MD)Increase4.0%5.0%S&P Smallcap 600 (SMP)Increase4.0%5.0%Nasdaq 100 (ND)Increase3.0%4.0%Russell 2000 (RL)Increase4.5%5.5%CBOT Stock Index Futures Volatility Scan RangesProductChangeCurrentNewDow JonesIncrease4.0%5.0%Please contact the Risk Management Department at 312-648-3888, if you have any questions regarding these Performance Bond Changes.
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