• Performance Bond Requirement Changes - Effective Thursday, January 23rd, 2009

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 09-32
      • Notice Date
      • 22 January 2009
      • Effective Date
      • 23 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 Friday, January 23rd, 2009.
       
      MARGIN RATE FOR GOLD FUTURES (GC), COMEX miNY GOLD (QO) AND COMEX ASIAN GOLD CONTRACTS (QS)
       
      Note: The revised margins are in bold.
       
      COMEX Division Margins on Gold Futures Contracts
      Clearing and Non-Clearing (Hedge Margin):                       New:   $ 3,999            Old: $ 4,302
       
      Non-Member Customer (Speculative Margin):                       New:   $ 5,399           Old: $ 5,808
       
       
       
       
       
      COMEX Division Margin Rates on miNY (QO) Gold Contacts
       
      Clearing & Non-Clearing (Hedge Margin):                           New: $ 2,000               Old: $ 2,151
                                                                 
      Non-Member Customer (Speculative Margin):                       New: $ 2,699               Old: $ 2,904
       
       
      COMEX Asian Gold Futures Contracts
      Clearing and Non-Clearing (Hedge Margin):                        New: $ 1,286             Old: $ 1,383
       
      Non-Member Customer (Speculative Margin):                       New: $ 1,736            Old: $ 1,867
       
       
       
      Inter Commodity Spread Margins on Gold and Platinum
      Spread
      Ratio
       
       
      Spread Credit
      Combined Full Margin
      Clearing Member/Member/
      Non-Member Spread Charge
      Gold Leg
      Platinum Leg
      Combined
      Hedge Spread Charge
      Gold/Platinum
      1:2
      Old
      $16,302
      $550
      $743
      $3,752
      $11,450
      $15,202
      New
      $15,999
      $550
      $743
      $3,449
      $11,450
      $14,899
       
       
       
      Inter Commodity Spread Margins on Gold and Silver
      Spread
      Ratio
       
      Combined Full Margin
      Clearing Member/Member/Hedge Spread Credit
      Non-Member Spread Credit
      Percentage Credit of Total Outright
      GOLD/SILVER
      2:3
      OLD
       
       
       
       
      $27,804
      $13,902
      $18,768
      50%
       
       
      New
       
       
       
       
      $25,998
      $12,999
      $17,549
      50%
       
       
       
       

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