• Performance Bond Requirement Changes - Effective February 23, 2009

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 09-65
      • Notice Date
      • 20 February 2009
      • Effective Date
      • 23 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 Monday, February 23rd, 2009.
       
      OUTRIGHT MARGIN RATE, INTRA-SPREAD MARGIN AND TIER CHANGES FOR CRUDE OIL FUTURES CONTRACT (CL), FINANCIAL CRUDE OIL CONTRACT (WS), CRUDE OIL CALENDAR SWAP (CS), and NYMEX miNY CRUDE OIL CONTRACT (QM)
       
      Note: The revisions are in bold.
       
       
      NYMEX Division Outright (Scan) Margins on Crude Oil Futures Contract (CL),Financial Crude Oil Contract ( WS) and Crude Oil Calendar Swap (CS)
      Contract/Month
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      CL (All Other Months)
      $5,250
      $6,000
      $5,775
      $6,600
      $7,088
      $8,100
      WS (All Other Months)
      $5,250
      $6,000
      $5,775
      $6,600
      $7,088
      $8,100
      CS (All Other Months)
      $5,250
      $6,000
      $5,775
      $6,600
      $7,088
      $8,100
       
       
      NYMEX Division Outright (Scan) Margins on NYMEY miNY Crude Oil Contract( QM)
      Contract/Month
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      QM (All Other Months)
      $2,625
      $3,000
      $2,888
      $3,300
      $3,544
      $4,050
       
       
      NYMEX Division Intra-Commodity Spread Margins on Crude Oil Futures Contract (CL),Financial Crude Oil Contract ( WS) and Crude Oil Calendar Swap (CS)
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      1
      $600
      $500
      $660
      $550
      $810
      $675
      2
      $500
      $500
      $550
      $550
      $675
      $675
      3
      $400
      $400
      $440
      $440
      $540
      $540
      4
      $400
      $400
      $440
      $440
      $540
      $540
       
       
       
      CL/WS/CS Intra -Commodity Spread Tiers
      Tiers
      New
      Old
      1
      1st Nearby
      1st Nearby
      2
      2nd - 9th Nearby
      2nd - 10th Nearby
      3
      10th - 33rd Nearby
      11th - 34th Nearby
      4
      Greater than the 33rd Nearby
      Greater than the 34th Nearby
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       
       

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