• Performance Bond Requirement Changes - NYMEX Crude Tier Changes - Effective Friday, November 20, 2009

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 09-504
      • Notice Date
      • 19 November 2009
      • Effective Date
      • 20 November 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 changes are effective at the close of business on Friday, Nov 20th, 2009.

       

      TIER CHANGES FOR CRUDE OIL FUTURES CONTRACT (CL), FINANCIAL CRUDE OIL CONTRACT (WS), CRUDE OIL CALENDAR SWAP (CS), NYMEX miNY CRUDE OIL CONTRACT (QM), and NYMEX Crude Oil Minute-Marker Future (6C)

       

      Note: The revisions are in bold.

       

       

       

      CL/WS/CS/6C Tiers

      Tiers

      New

      Old

      1

      1st Nearby

      1st Nearby

      2

      2nd – 4th Nearby

      2nd – 4th Nearby

      3

      5th – 12th  Nearby

      5th – 13th  Nearby

      4

      13th – 24th  Nearby

      14th – 25th  Nearby

      5

      25th – 48th  Nearby

      26th – 49th  Nearby

      6

      Greater than the 48th Nearby

      Greater than the 49th Nearby

       

       

      For the PDF version of this advisory, please click here.