• Performance Bond Requirements - Heating Oil Tier Changes - Effective Monday, November 30, 2009

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 09-529
      • Notice Date
      • 27 November 2009
      • Effective Date
      • 30 November 2009

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      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, Nov 30th, 2009.

       

       

      OUTRIGHT AND INTRA-SPREAD MARGIN RATE, AND TIER CHANGES FOR HEATING OIL (HO), NEW YORK HARBOR HEATING OIL CALENDAR SWAP (MP), HEATING OIL – FINANCIAL CONTRACT (BH) AND NYMEX miNY™ HEATING OIL (QH)

       

       

      Note: The revised margins are in bold

       

       

       

       

       

       

      HO/MP/BH/QH Intra-Commodity Spread and Scan Tiers

      Tiers

      New

      Old

      1

      1st Nearby

      1st Nearby

      2

      2nd Nearby

      2nd Nearby

      3

      3rd Nearby

      3rd – 4th Nearby

      4

      Greater than the 3rd Nearby

      Greater than the 4th Nearby

       

       

       

       For the pdf of this advisory, please click here.

       

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