• Performance Bond Requirement Changes-Effective Friday, February 8, 2008

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 08-18
      • Notice Date
      • 08 February 2008
      • Effective Date
      • 08 February 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 are effective today, Friday, February 08, 2008.
       
      SPAN® MINIMUM PERFORMANCE BOND REQUIREMENTS
                             
      CBOT Agricultural Futures Outright Rates
       
      Wheat (CBOT) (W)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $2,025
      $1,500
      $3,038
      $2,250
      Hedge/Member
      Increase
      $1,500
      $1,500
      $2,250
      $2,250
      Delivery Month - Spec
      Increase
      $2,700
      $2,000
      $4,050
      $3,000
      Delivery Month - Hedge/Member
      Increase
      $2,000
      $2,000
      $3,000
      $3,000
       
      Mini-Wheat (CBOT) (YW)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $405
      $300
      $608
      $450
      Hedge/Member
      Increase
      $300
      $300
      $450
      $450
      Delivery Month - Spec
      Increase
      $540
      $400
      $810
      $600
      Delivery Month - Hedge/Member
      Increase
      $400
      $400
      $600
      $600
       


       
      CBOT Agricultural Futures Intra-Commodity Spread Rates
       
      Wheat (CBOT) (W) - Old Crop Year vs. New Crop Year (July through May)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $2,295
      $1,700
      $3,510
      $2,600
      Hedge/Member
      Increase
      $1,700
      $1,700
      $2,600
      $2,600
       
      Wheat (CBOT) (W) - Wheat 
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $473
      $350
      $945
      $700
      Hedge/Member
      Increase
      $350
      $350
      $700
      $700
       
      Please contact the Risk Management Department at 312-648-3888, if you have any questions regarding these Performance Bond Changes.

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