• Performance Bond Requirements - Effective Monday, January 26, 2009

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 09-25
      • Notice Date
      • 22 January 2009
      • Effective Date
      • 26 January 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 Monday, January 26th, 2009.
       
      NEW MARGIN RATES AND TIERS FOR FOUR PETROLEUM SWAP Futures Contracts
       
       
      Commodity Name
      Commodity Code
      Chicago Unleaded Gasoline (Platts) Swap
      2C
      Chicago Unleaded Gasoline (Platts) vs. RBOB Spread Swap
      3C
      Chicago ULSD (Platts) Swap
      4C
      Chicago ULSD (Platts) vs. Heating Oil Spread Swap
       5C
       
       
       
      Outright (Scan) Tiers for 2C, 3C, 4C and 5C
      Tiers
      Months
      1
      All Months
       
       
       
       
       
       
       
      Outright (Scan) Margin on 2C, 3C, 4C and 5C
      Commodity
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Initial Margin
       
      New
      New
      New
      2C
      $10,000
      $11,000
      $13,500
      3C
      $3,400
      $3,740
      $4,590
      4C
      $9,000
      $9,900
      $12,150
       5C
      $850
      $935
      $1,148
       
       
      Intra-Commodity Spread Tiers for 2C, 3C, 4C and 5C
      Tiers
      Months
      1
      All Months
       
       
      Intra-Commodity Spread Margins on 2C, 3C, 4C and 5C
      Commodity
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Initial Margin
       
      New
      New
      New
      2C
      $480
      $528
      $648
      3C
      $240
      $264
      $324
      4C
      $480
      $528
      $648
       5C
      $100
      $110
      $135
       

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