• Performance Bond Requirements-Effective Friday, September 12, 2008

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 08-222
      • Notice Date
      • 12 September 2008
      • Effective Date
      • 12 September 2008
    • 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 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., Clearing House Risk Management staff approved the performance bond requirements for the following products listed below. The rates are effective at the close of business on Friday, September 12, 2008.
       
      MARGIN RATE AND TIER CHANGES FOR Gulf Coast Gasoline Calendar Swap (GS), Up-Down Gulf Coast ULSD vs NYMEX HO Spread Swap (LT), Gulf Coast Jet Fuel vs. New York Harbor No. 2 Heating Oil Spread Swap Futures (Platts) (ME), Gulf Coast Unleaded 87 Gasoline Crack Spread Calendar Swap (Platts) (RU), RBOB Up-Down Calendar Swap (RV), No. 2 Heating Oil Up-Down Spread Calendar Swap Futures (Platts) (UT), and Up-Down Gulf Coast LSD vs NYMEX HO Spread Swap (YL)
       
       
      Note: The revised margins are in bold
       
       
      GS, LT, ME, RU, RV, UT, and YL Scan Tiers
      Tiers
      New
      Old
      1
      1st Nearby
      All months
      2
      2nd Nearby
      N/A
      3
      Greater than 2nd Nearby
      N/A
       
       
      NYMEX Division Outright (Scan) Margins on GS, LT, ME, RU, RV, UT, and YL
      Contract
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      GS-Tier 1
      $18,000
      $12,000
      $19,800
      $13,200
      $24,300
      $16,200
      GS-Tier 2
      $12,000
      N/A
      $13,200
      N/A
      $16,200
      N/A
      GS-Tier 3
      $10,000
      N/A
      $11,000
      N/A
      $13,500
      N/A
      LT-Tier 1
      $5,000
      $1,500
      $5,500
      $1,650
      $6,750
      $2,025
      LT-Tier 2
      $3,000
      N/A
      $3,300
      N/A
      $4,050
      N/A
      LT-Tier 3
      $1,500
      N/A
      $1,650
      N/A
      $2,025
      N/A
      ME-Tier 1
      $5,000
      $1,500
      $5,500
      $1,650
      $6,750
      $2,025
      ME-Tier 2
      $3,000
      N/A
      $3,300
      N/A
      $4,050
      N/A
      ME-Tier 3
      $1,500
      N/A
      $1,650
      N/A
      $2,025
      N/A
      RU-Tier 1
      $15,000
      $4,500
      $16,500
      $4,950
      $20,250
      $6,075
      RU-Tier 2
      $9,000
      N/A
      $9,900
      N/A
      $12,150
      N/A
      RU-Tier 3
      $4,500
      N/A
      $4,950
      N/A
      $6,075
      N/A
      RV-Tier 1
      $10,000
      $1,200
      $11,000
      $1,320
      $13,500
      $1,620
      RV-Tier 2
      $5,000
      N/A
      $5,500
      N/A
      $6,750
      N/A
      RV-Tier 3
      $1,200
      N/A
      $1,320
      N/A
      $1,620
      N/A
      UT-Tier 1
      $5,000
      $1,200
      $5,500
      $1,320
      $6,750
      $1,620
      UT-Tier 2
      $3,000
      N/A
      $3,300
      N/A
      $4,050
      N/A
      UT-Tier 3
      $1,200
      N/A
      $1,320
      N/A
      $1,620
      N/A
      YL-Tier 1
      $5,000
      $1,800
      $5,500
      $1,980
      $6,750
      $2,430
      YL-Tier 2
      $3,000
      N/A
      $3,300
      N/A
      $4,050
      N/A
      YL-Tier 3
      $1,800
      N/A
      $1,980
      N/A
      $2,430
      N/A

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.