• Performance Bond Requirements-Effective Thursday, August 20, 2009-TIER CHANGES FOR CRUDE OIL FUTURES CONTRACT (CL), FINANCIAL CRUDE OIL CONTRACT (WS), CRUDE OIL CALENDAR SWAP (CS), NYMEX miNY CRUDE OIL CONTRACT (QM), and NYMEX Crude Oil Minute-Marker Future (6C)

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 09-358
      • Notice Date
      • 20 August 2009
      • Effective Date
      • 20 August 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 changes are effective at the close of business on Thursday, August 20, 2009.
       
      TIER CHANGES FOR CRUDE OIL FUTURES CONTRACT (CL), FINANCIAL CRUDE OIL CONTRACT (WS), CRUDE OIL CALENDAR SWAP (CS), NYMEX miNY CRUDE OIL CONTRACT (QM), and NYMEX Crude Oil Minute-Marker Future (6C)
       
      Note: The revisions are in bold.
       
       
       
      CL/WS/CS/6C Intra -Commodity Spread Tiers
      Tiers
      New
      Old
      1
      1st Nearby
      1st Nearby
      2
      2nd - 3rd Nearby
      2nd - 4th Nearby
      3
      4th – 15th Nearby
      5th – 16th Nearby
      4
      16th – 27th Nearby
      17th – 28th Nearby
      5
      28th – 51st Nearby
      29th – 52nd Nearby
      6
      Greater than the 51st Nearby
      Greater than the 52nd Nearby