Chadv09-83 - CME Group

Performance Bond Requirement Changes - Effective March 6, 2009

- To
- Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
- From
- CME Clearing
- #
- 09-83
- Notice Date
- 05 March 2009
- Effective Date
- 06 March 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, March 9, 2009.

MARGIN RATE CHANGES FOR THE CLEARPORT CRUDE OIL AND PETROLEUM RELATED SWAP FUTURES

Note: The revised margins are in bold

CME Clearing House Outright (Scan) Margins for the ClearPort Crude Oil and Petroleum Related Swap Futures Contracts

Contract	Clearing Member / Maintenance Margin		Member Customer Initial Margin		Non-Member Customer Initial Margin
	New	Old	New	Old	New	Old
AR tier1	$60,000	$70,000	$66,000	$77,000	$81,000	$94,500
AR tier2	$55,000	$60,000	$60,500	$66,000	$74,250	$81,000
BZ	$5,500	$6,500	$6,050	$7,150	$7,425	$8,775
CY	$5,500	$6,500	$6,050	$7,150	$7,425	$8,775
BG	$60,000	$65,000	$66,000	$71,500	$81,000	$87,750
CU	$6,000	$6,500	$6,600	$7,150	$8,100	$8,775
EZ	$6,000	$6,500	$6,600	$7,150	$8,100	$8,775
DC	$9,000	$10,000	$9,900	$11,000	$12,150	$13,500
ET	$6,000	$7,000	$6,600	$7,700	$8,100	$9,450
EW tier1	$8,000	$10,000	$8,800	$11,000	$10,800	$13,500
EW tier2	$5,000	$4,000	$5,500	$4,400	$6,750	$5,400
FH	$3,500	$5,000	$3,850	$5,500	$4,725	$6,750
FK	$6,000	$7,500	$6,600	$8,250	$8,100	$10,125
FS	$13,000	$15,000	$14,300	$16,500	$17,550	$20,250
GA	$5,500	$7,000	$6,050	$7,700	$7,425	$9,450
GE	$8,000	$9,500	$8,800	$10,450	$10,800	$12,825
GX tier1	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
GX tier2	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
GX tier3	$45,000	$55,000	$49,500	$60,500	$60,750	$74,250
GX tier4	$45,000	$55,000	$49,500	$60,500	$60,750	$74,250
GZ	$6,500	$8,000	$7,150	$8,800	$8,775	$10,800
HZ	$5,000	$6,500	$5,500	$7,150	$6,750	$8,775
JA	$65,000	$75,000	$71,500	$82,500	$87,750	$101,250
JR	$13,000	$10,000	$14,300	$11,000	$17,550	$13,500
KS	$8,000	$10,000	$8,800	$11,000	$10,800	$13,500
LY	$8,000	$10,000	$8,800	$11,000	$10,800	$13,500
JL	$6,000	$7,000	$6,600	$7,700	$8,100	$9,450
LT tier1	$1,500	$2,500	$1,650	$2,750	$2,025	$3,375
LT tier2	$1,500	$2,500	$1,650	$2,750	$2,025	$3,375
LT tier3	$1,000	$1,000	$1,100	$1,100	$1,350	$1,350
MF	$7,500	$9,000	$8,250	$9,900	$10,125	$12,150
MM	$7,500	$8,500	$8,250	$9,350	$10,125	$11,475
ME tier1	$1,500	$2,500	$1,650	$2,750	$2,025	$3,375
ME tier2	$1,500	$2,000	$1,650	$2,200	$2,025	$2,700
ME tier3	$1,500	$2,000	$1,650	$2,200	$2,025	$2,700
PS	$55,000	$65,000	$60,500	$71,500	$74,250	$87,750
RE	$8,000	$10,000	$8,800	$11,000	$10,800	$13,500
RM tier1	$4,000	$2,500	$4,400	$2,750	$5,400	$3,375
RM tier2	$4,000	$2,500	$4,400	$2,750	$5,400	$3,375
RM tier3	$2,500	$1,500	$2,750	$1,650	$3,375	$2,025
RM tier4	$2,500	$1,500	$2,750	$1,650	$3,375	$2,025
SD	$6,000	$7,500	$6,600	$8,250	$8,100	$10,125
SE	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
SG	$7,500	$9,000	$8,250	$9,900	$10,125	$12,150
SP	$8,000	$9,500	$8,800	$10,450	$10,800	$12,825
TU	$4,000	$5,000	$4,400	$5,500	$5,400	$6,750
TY	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
UA	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
UF	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
UH	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
W1	$7,000	$8,500	$7,700	$9,350	$9,450	$11,475
HI	$9,000	$10,000	$9,900	$11,000	$12,150	$13,500
WK	$3,000	$2,500	$3,300	$2,750	$4,050	$3,375
TJ	$2,500	$3,500	$2,750	$3,850	$3,375	$4,725
PT	$4,500	$5,500	$4,950	$6,050	$6,075	$7,425
W3	$7,000	$8,000	$7,700	$8,800	$9,450	$10,800
W8	$4,500	$6,500	$4,950	$7,150	$6,075	$8,775
Z2	$7,000	$8,500	$7,700	$9,350	$9,450	$11,475

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.

MARGIN RATE CHANGES FOR THE CLEARPORT CRUDE OIL AND PETROLEUM RELATED SWAP FUTURES

Note: The revised margins are in bold

CME Clearing House Outright (Scan) Margins for the ClearPort Crude Oil and Petroleum Related Swap Futures Contracts

Contract	Clearing Member / Maintenance Margin		Member Customer Initial Margin		Non-Member Customer Initial Margin
	New	Old	New	Old	New	Old
AR tier1	$60,000	$70,000	$66,000	$77,000	$81,000	$94,500
AR tier2	$55,000	$60,000	$60,500	$66,000	$74,250	$81,000
BZ	$5,500	$6,500	$6,050	$7,150	$7,425	$8,775
CY	$5,500	$6,500	$6,050	$7,150	$7,425	$8,775
BG	$60,000	$65,000	$66,000	$71,500	$81,000	$87,750
CU	$6,000	$6,500	$6,600	$7,150	$8,100	$8,775
EZ	$6,000	$6,500	$6,600	$7,150	$8,100	$8,775
DC	$9,000	$10,000	$9,900	$11,000	$12,150	$13,500
ET	$6,000	$7,000	$6,600	$7,700	$8,100	$9,450
EW tier1	$8,000	$10,000	$8,800	$11,000	$10,800	$13,500
EW tier2	$5,000	$4,000	$5,500	$4,400	$6,750	$5,400
FH	$3,500	$5,000	$3,850	$5,500	$4,725	$6,750
FK	$6,000	$7,500	$6,600	$8,250	$8,100	$10,125
FS	$13,000	$15,000	$14,300	$16,500	$17,550	$20,250
GA	$5,500	$7,000	$6,050	$7,700	$7,425	$9,450
GE	$8,000	$9,500	$8,800	$10,450	$10,800	$12,825
GX tier1	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
GX tier2	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
GX tier3	$45,000	$55,000	$49,500	$60,500	$60,750	$74,250
GX tier4	$45,000	$55,000	$49,500	$60,500	$60,750	$74,250
GZ	$6,500	$8,000	$7,150	$8,800	$8,775	$10,800
HZ	$5,000	$6,500	$5,500	$7,150	$6,750	$8,775
JA	$65,000	$75,000	$71,500	$82,500	$87,750	$101,250
JR	$13,000	$10,000	$14,300	$11,000	$17,550	$13,500
KS	$8,000	$10,000	$8,800	$11,000	$10,800	$13,500
LY	$8,000	$10,000	$8,800	$11,000	$10,800	$13,500
JL	$6,000	$7,000	$6,600	$7,700	$8,100	$9,450
LT tier1	$1,500	$2,500	$1,650	$2,750	$2,025	$3,375
LT tier2	$1,500	$2,500	$1,650	$2,750	$2,025	$3,375
LT tier3	$1,000	$1,000	$1,100	$1,100	$1,350	$1,350
MF	$7,500	$9,000	$8,250	$9,900	$10,125	$12,150
MM	$7,500	$8,500	$8,250	$9,350	$10,125	$11,475
ME tier1	$1,500	$2,500	$1,650	$2,750	$2,025	$3,375
ME tier2	$1,500	$2,000	$1,650	$2,200	$2,025	$2,700
ME tier3	$1,500	$2,000	$1,650	$2,200	$2,025	$2,700
PS	$55,000	$65,000	$60,500	$71,500	$74,250	$87,750
RE	$8,000	$10,000	$8,800	$11,000	$10,800	$13,500
RM tier1	$4,000	$2,500	$4,400	$2,750	$5,400	$3,375
RM tier2	$4,000	$2,500	$4,400	$2,750	$5,400	$3,375
RM tier3	$2,500	$1,500	$2,750	$1,650	$3,375	$2,025
RM tier4	$2,500	$1,500	$2,750	$1,650	$3,375	$2,025
SD	$6,000	$7,500	$6,600	$8,250	$8,100	$10,125
SE	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
SG	$7,500	$9,000	$8,250	$9,900	$10,125	$12,150
SP	$8,000	$9,500	$8,800	$10,450	$10,800	$12,825
TU	$4,000	$5,000	$4,400	$5,500	$5,400	$6,750
TY	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
UA	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
UF	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
UH	$50,000	$60,000	$55,000	$66,000	$67,500	$81,000
W1	$7,000	$8,500	$7,700	$9,350	$9,450	$11,475
HI	$9,000	$10,000	$9,900	$11,000	$12,150	$13,500
WK	$3,000	$2,500	$3,300	$2,750	$4,050	$3,375
TJ	$2,500	$3,500	$2,750	$3,850	$3,375	$4,725
PT	$4,500	$5,500	$4,950	$6,050	$6,075	$7,425
W3	$7,000	$8,000	$7,700	$8,800	$9,450	$10,800
W8	$4,500	$6,500	$4,950	$7,150	$6,075	$8,775
Z2	$7,000	$8,500	$7,700	$9,350	$9,450	$11,475

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Performance Bond Requirement Changes - Effective March 6, 2009