• Performance Bond Requirements-Effective January 28, 2008

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 08-10
      • Notice Date
      • 25 January 2008
      • Effective Date
      • 28 January 2008
    • To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to: https://www.cme-ch.com/listserve/addlistserve.asp 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., 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 Monday, January 28, 2008.
       
      SPAN® MINIMUM PERFORMANCE BOND REQUIREMENTS
       
       
      CBOT Interest Rate Futures Outright Rates
       
      5 Year Treasury Note (25)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,013
      $750
      $1,215
      $900
      Hedge/Member
      Increase
      $750
      $750
      $900
      $900
       
      2 Year Treasury Note (26)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $945
      $700
      $1,080
      $800
      Hedge/Member
      Increase
      $700
      $700
      $800
      $800
       


      CME Currency Futures Outright Rates
       
      Cross Rate Euro FX/Swiss Franc (RF)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      CHF1,755
      CHF1,300
      $1,958
      $1,450
      Hedge/Member
      Increase
      CHF1,300
      CHF1,300
      $1,450
      $1,450
       
      Euro FX (EC)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $2,565
      $1,900
      $2,835
      $2,100
      Hedge/Member
      Increase
      $1,900
      $1,900
      $2,100
      $2,100
       
      E-Mini Euro FX (E7)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,283
      $950
      $1,418
      $1,050
      Hedge/Member
      Increase
      $950
      $950
      $1,050
      $1,050
       
      Polish Zloty (PZ)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $4,185
      $3,100
      $4,725
      $3,500
      Hedge/Member
      Increase
      $3,100
      $3,100
      $3,500
      $3,500
       
      Swedish Krona (SE)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $5,400
      $4,000
      $5,940
      $4,400
      Hedge/Member
      Increase
      $4,000
      $4,000
      $4,400
      $4,400
       
      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
      CHF1,755
      CHF1,300
      $1,958
      $1,450
      Hedge/Member
      Increase
      CHF1,300
      CHF1,300
      $1,450
      $1,450
       
      Euro FX Spot (EURUS)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $2,565
      $1,900
      $2,835
      $2,100
      Hedge/Member
      Increase
      $1,900
      $1,900
      $2,100
      $2,100


      CBOT Agricultural Futures Outright Rates
       
      Corn (CBOT) (C)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Speculative - Old Crop
      Increase
      $1,283
      $950
      $1,350
      $1,000
      Hedge/Member - Old Crop
      Increase
      $950
      $950
      $1,000
      $1,000
      Speculative - New Crop
      Increase
      $1,283
      $950
      $1,350
      $1,000
      Hedge/Member - New Crop
      Increase
      $950
      $950
      $1,000
      $1,000
       
      Mini-Corn (CBOT) (YC)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Speculative - Old Crop
      Increase
      $216
      $160
      $270
      $200
      Hedge/Member - Old Crop
      Increase
      $160
      $160
      $200
      $200
      Speculative - New Crop
      Increase
      $216
      $160
      $270
      $200
      Hedge/Member - New Crop
      Increase
      $160
      $160
      $200
      $200
       
      Soybean (CBOT) (S)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Speculative - Old Crop
      Increase
      $2,700
      $2,000
      $2,970
      $2,200
      Hedge/Member - Old Crop
      Increase
      $2,000
      $2,000
      $2,200
      $2,200
      Speculative - New Crop
      Increase
      $2,700
      $2,000
      $2,970
      $2,200
      Hedge/Member - New Crop
      Increase
      $2,000
      $2,000
      $2,200
      $2,200
       
      Mini-Soybean (CBOT) (YK)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Speculative - Old Crop
      Increase
      $540
      $400
      $594
      $440
      Hedge/Member - Old Crop
      Increase
      $400
      $400
      $440
      $440
      Speculative - New Crop
      Increase
      $540
      $400
      $594
      $440
      Hedge/Member - New Crop
      Increase
      $400
      $400
      $440
      $440
       
      Soybean Oil (CBOT) (07)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Speculative - Old Crop
      Increase
      $1,215
      $900
      $1,620
      $1,200
      Hedge/Member - Old Crop
      Increase
      $900
      $900
      $1,200
      $1,200
      Speculative - New Crop
      Increase
      $1,215
      $900
      $1,620
      $1,200
      Hedge/Member - New Crop
      Increase
      $900
      $900
      $1,200
      $1,200
       
      Please contact the Risk Management Department at 312-648-3888, if you have any questions regarding these Performance Bond Changes.

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