• Performance Bond Requirement Changes – Effective Wednesday, February 18th, 2009

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 09-60
      • Notice Date
      • 17 February 2009
      • Effective Date
      • 18 February 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, February 18th, 2009.
       
      CME Security Futures Outright Rates
       
      Health Care REIT, Inc. (HCN)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      21.00%
      21.00%
      Customer Rate
      NA
      21.00%
      21.00%
       
      Liberty Property Trust (LRY)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      23.00%
      23.00%
      Customer Rate
      NA
      23.00%
      23.00%
       
      Nationwide Health Properties, Inc. (NHP)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      24.00%
      24.00%
      Customer Rate
      NA
      24.00%
      24.00%
       
       
       
       
      iShares S&P Midcap 400 Index Fund (IJH)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      11.00%
      11.00%
      Customer Rate
      NA
      20.00%
      20.00%
       
      Oil Service HOLDRs Trust (OIH)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      26.00%
      26.00%
      Customer Rate
      NA
      26.00%
      26.00%
       
      Synta Pharmaceuticals Corp. (SN8)
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      28.00%
      28.00%
      Customer Rate
      NA
      28.00%
      28.00%
       
       
      CME Security Futures Intra-Commodity Spread Rates
       
      Health Care REIT, Inc. (HCN) - All Months 
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      3.00%
      3.00%
      Customer Rate
      NA
      5.00%
      5.00%
       
       
      Liberty Property Trust (LRY) - All Months 
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      3.00%
      3.00%
      Customer Rate
      NA
      5.00%
      5.00%
       
       
      Nationwide Health Properties, Inc. (NHP) - All Months 
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      3.00%
      3.00%
      Customer Rate
      NA
      5.00%
      5.00%
       
       
      iShares S&P Midcap 400 Index Fund (IJH) - All Months 
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      3.00%
      3.00%
      Customer Rate
      NA
      5.00%
      5.00%
       
       
       
       
      Oil Service HOLDRs Trust (OIH) - All Months 
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      3.00%
      3.00%
      Customer Rate
      NA
      5.00%
      5.00%
       
       
      Synta Pharmaceuticals Corp. (SN8) - All Months 
       
      Rate Type
       
      Change
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      NA
      3.00%
      3.00%
      Customer Rate
      NA
      5.00%
      5.00%
       
      In addition, the Short Option Minimum (SOM) per contract will change for the following products. SOM is a charge that is applied only to portfolios concentrated in short options that do not generate a minimum margin requirement level when margins are calculated using the normal 16 SPAN scenarios.
       
      Product
      Current  SOM
      New  SOM
      30-Year Bond
       $          32
      $20
      10-Year Note
       $          22
      $20
      5-Year Note
       $          17
      $10
      2-Year Note
       $          17
      $17
      Eurodollars
       $          11
      $8
       
       
       
       
       
       
       

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