• Performance Bond Requirements-Effective Wednesday, August 13, 2008

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 08-180
      • Notice Date
      • 12 August 2008
      • Effective Date
      • 13 August 2008
    •  
      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 after the close of business Wednesday, August 13, 2008.
       
      CME Currency Futures Outright Rates
       
      Australian Dollar (AD)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,823
      $1,350
      $2,025
      $1,500
      Hedge/Member
      Increase
      $1,350
      $1,350
      $1,500
      $1,500
       
      Canadian Dollar (CD)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,620
      $1,200
      $1,755
      $1,300
      Hedge/Member
      Increase
      $1,200
      $1,200
      $1,300
      $1,300
       
      Czech Koruna (CZ)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $7,965
      $5,900
      $8,910
      $6,600
      Hedge/Member
      Increase
      $5,900
      $5,900
      $6,600
      $6,600
       
      Hungarian Forint (FR)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $5,400
      $4,000
      $6,750
      $5,000
      Hedge/Member
      Increase
      $4,000
      $4,000
      $5,000
      $5,000
       


      New Zealand Dollar (NE)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Decrease
      $1,890
      $1,400
      $1,755
      $1,300
      Hedge/Member
      Decrease
      $1,400
      $1,400
      $1,300
      $1,300
       
      Norwegian Krone (UN)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $9,450
      $7,000
      $9,720
      $7,200
      Hedge/Member
      Increase
      $7,000
      $7,000
      $7,200
      $7,200
       
      FXMS Currency Spot Outright Rates
       
      Australian Dollar Spot (AUDUS)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $1,823
      $1,350
      $2,025
      $1,500
      Hedge/Member
      Increase
      $1,350
      $1,350
      $1,500
      $1,500
       
      Canadian Dollar Spot (USDCA)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      CAD1,620
      CAD1,200
      CAD1,870
      CAD1,385
      Hedge/Member
      Increase
      CAD1,200
      CAD1,200
      CAD1,385
      CAD1,385
       
      New Zealand Dollar Spot (NZDUS)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Decrease
      $1,890
      $1,400
      $1,755
      $1,300
      Hedge/Member
      Decrease
      $1,400
      $1,400
      $1,300
      $1,300
       
      CBOT Energy Products Outright Rates
       
      CBOT Ethanol Futures (EH)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $4,725
      $3,500
      $5,670
      $4,200
      Hedge/Member
      Increase
      $3,500
      $3,500
      $4,200
      $4,200
       
      CBOT OTC Ethanol Forward Month Swap (71)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $2,363
      $1,750
      $2,835
      $2,100
      Hedge/Member
      Increase
      $1,750
      $1,750
      $2,100
      $2,100
       


      CBOT OTC Cash Settled Ethanol Options (76)
       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Spec
      Increase
      $4,725
      $3,500
      $5,670
      $4,200
      Hedge/Member
      Increase
      $3,500
      $3,500
      $4,200
      $4,200
      Please contact the Risk Management Department at 312-648-3888, if you have any questions regarding these Performance Bond Changes.

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