• Performance Bond Requirements-Effective Wednesday, April 8, 2009

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 09-142
      • Notice Date
      • 07 April 2009
      • Effective Date
      • 08 April 2009
    • 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 Wednesday, April 8, 2009.
       
      INTRA-SPREAD MARGINS FOR CRUDE OIL FUTURES CONTRACT (CL), FINANCIAL CRUDE OIL CONTRACT (WS), CRUDE OIL CALENDAR SWAP (CS), and NYMEX miNY CRUDE OIL CONTRACT (QM)
       
      Note: The revisions are in bold.
       
       
      NYMEX Division Intra-Commodity Spread Margins on Crude Oil Futures Contract (CL),Financial Crude Oil Contract ( WS) and Crude Oil Calendar Swap (CS)
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      1 vs 2
      $750
      $600
      $825
      $660
      $1013
      $810
      1 vs 3
      $750
      $600
      $825
      $660
      $1013
      $810
      1 vs 4
      $750
      $600
      $825
      $660
      $1013
      $810
      2 vs 2
      $625
      $500
      $690
      $550
      $844
      $675
      2 vs 3
      $625
      $500
      $690
      $550
      $844
      $675
      2 vs 4
      $625
      $500
      $690
      $550
      $844
      $675
      3 vs 3
      $500
      $400
      $550
      $440
      $675
      $540
      3 vs 4
      $500
      $400
      $550
      $440
      $675
      $540
      4 vs 4
      $500
      $400
      $550
      $440
      $675
      $540
       
       
      NYMEX Division Intra-Commodity Spread Margins on NYMEY miNY Crude Oil Contract( QM)
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      1 vs 2
      $375
      $300
      $413
      $330
      $507
      $405
      1 vs 3
      $375
      $300
      $413
      $330
      $507
      $405
      1 vs 4
      $375
      $300
      $413
      $330
      $507
      $405
      2 vs 2
      $313
      $250
      $345
      $275
      $422
      $338
      2 vs 3
      $313
      $250
      $345
      $275
      $422
      $338
      2 vs 4
      $313
      $250
      $345
      $275
      $422
      $338
      3 vs 3
      $250
      $200
      $275
      $220
      $338
      $270
      3 vs 4
      $250
      $200
      $275
      $220
      $338
      $270
      4 vs 4
      $250
      $200
      $275
      $220
      $338
      $270
       

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