• Performance Bond Requirement Changes - CME Energy Futures Super-Intercommodity Scanning Based Spread Rates - Effective Wednesday, June 9, 2010

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 10-243
      • Notice Date
      • 08 June 2010
      • Effective Date
      • 09 June 2010


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      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 Wednesday, June 9, 2010.
       
      CME Energy Futures Super-Intercommodity Scanning Based Spread Rates
       
      Super Scan: Natural Gas (NG) vs. Natural Gas Financial (HP) vs. Natural Gas (NN) - All Months 

       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%
      Customer Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%

       
      Super Scan: European Gasoil Calendar Swap (NYM-GX) vs. European Gasoil Bullet Swap (NYM-BG) - All Months 

       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%
      Customer Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%

       
      Super Scan: Heating Oil (HO) vs. Heating Oil Financial (BH) vs. Heating Oil (MP) vs. Heating Oil Last Day (23) - All Months 

       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%
      Customer Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%

       
      Super Scan: RBOB (RB) vs. RBOB Financial (RT) vs. RBOB (RL) vs. RBOB Last Day (27) - All Months 

       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%
      Customer Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%

        
      Super Scan: Brent Last Day Contract (NYM-BZ) vs. Brent Crude Oil (NYM-BB) vs. Brent Calendar Swap (NYM-CY) - All Months 

       
      Rate Type
       
      Change
      Current
      Initial
      Current
      Maintenance
      New
      Initial
      New
      Maintenance
      Clearing/Member Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%
      Customer Rate
      Decrease
      99.00%
      99.00%
      98.00%
      98.00%

       
      Super scanning based spreads will occur when any combination of two or more of the legs are in a portfolio.
       
       

       

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