• Performance Bond Requirement Changes -- Effective Monday, January 12th, 2009

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 09-10
      • Notice Date
      • 09 January 2009
      • Effective Date
      • 12 January 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, January 12th, 2009.
       
      MARGIN RATE CHANGES FOR PJM Electricity Daily Futures (JD), Northern Illinois Hub   Peak Daily Electricity Futures (UD), PJM PEPCO Zone Off-Peak Calendar-Month Swap Futures (Q8), PJM Western Hub Off-Peak Calendar-Month Day-Ahead Swap Futures (E4) and PJM Western Hub Off-Peak Calendar-Month Real-Time Swap Futures (N9)
       
       
       Note: The revised margins are in bold
       
       
      Outright (Scan) Margins For JD, UD, Q8, E4 and N9
      Tiers
      Clearing Member / Maintenance Margin
      Member Customer Initial Margin
      Non-Member Customer Initial Margin
       
      New
      Old
      New
      Old
      New
      Old
      JD
      $2,500
      $3,000
      $2,750
      $3,300
      $3,375
      $4,050
      UD
      $2,000
      $2,500
      $2,200
      $2,750
      $2,700
      $3,375
      Q8
      $35
      $20
      $39
      $22
      $47
      $27
      E4
      $35
      $15
      $39
      $17
      $47
      $20
      N9
      $35
      $15
      $39
      $17
      $47
      $20

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