13-479
TO:FROM:Clearing Member FirmsChief Financial OfficersBack Office ManagersMargin ManagersSUBJECT:DATE:Friday, October 11, 2013
To receive advanced notification of Performance Bond (margin) changes, through our free automatedmailing list, go to
The rates will be effective after the close of business on
and subscribe to the Performance Bond Rates Advisory Notice listserver.
Current rates as of:
Friday, October 11, 2013.Tuesday, October 15, 2013.
As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago MercantileExchange Inc., Clearing House Risk Management staff approved the performance bond requirements for thefollowing products listed below.
CME ClearingPerformance Bond Requirements
SPAN MINIMUM PERFORMANCE BOND REQUIREMENTS
Outright Rates
NewMaintenanceCurrentMaintenanceCurrentInitialNew InitialISOChangeRate Type DescriptionCC
CRUDE OIL SPREADS - Outright RatesCANADIAN HEAVYCRUDE(NET ENRGY) FUT (WCC)
Spec Decrease USD 2,750 2,500 2,200 2,000Mnths 1-3WCCHedge/Member Decrease USD 2,500 2,500 2,000 2,000Mnths 1-3WCCSpec Decrease USD 1,870 1,700 1,650 1,500Mnths 4-6WCCHedge/Member Decrease USD 1,700 1,700 1,500 1,500Mnths 4-6WCCSpec Decrease USD 1,320 1,200 1,100 1,000Mnths 7+WCCHedge/Member Decrease USD 1,200 1,200 1,000 1,000Mnths 7+WCC
DATED TO FRONTLINE BRENT CLNDR FUT (FY)
Spec Increase USD 165 150 220 200Mnths 4+FYHedge/Member Increase USD 150 150 200 200Mnths 4+FY
ICE BRENT DUBAI FUT (DB)
Spec Increase USD 605 550 825 750Mnth 1DBHedge/Member Increase USD 550 550 750 750Mnth 1DBSpec Increase USD 495 450 633 575Mnths 2-3DBHedge/Member Increase USD 450 450 575 575Mnths 2-3DB
LLS (ARGUS) V WTI FUT (WJ)
Spec Decrease USD 2,860 2,600 1,925 1,750Mnth 1WJHedge/Member Decrease USD 2,600 2,600 1,750 1,750Mnth 1WJ
WTI MIDLAND(ARGUS) VS WTI FINCL FUT (FF)
Spec Decrease USD 3,850 3,500 2,750 2,500FFHedge/Member Decrease USD 3,500 3,500 2,500 2,500FF
WTI-BRENT BULLET FUT (BY)
Spec Increase USD 1,815 1,650 2,035 1,850Mnth 1BYHedge/Member Increase USD 1,650 1,650 1,850 1,850Mnth 1BY
WTI-BRENT CALENDAR FUT (BK)
Spec Increase USD 1,815 1,650 2,035 1,850Mnth 1BKHedge/Member Increase USD 1,650 1,650 1,850 1,850Mnth 1BK
WTS (ARGUS) V WTI TRD MTH FUT (FH)
Spec Decrease USD 3,740 3,400 3,300 3,000Mnth 1FHHedge/Member Decrease USD 3,400 3,400 3,000 3,000Mnth 1FHSpec Decrease USD 2,970 2,700 2,530 2,300Mnths 2-3FHHedge/Member Decrease USD 2,700 2,700 2,300 2,300Mnths 2-3FHSpec Decrease USD 1,870 1,700 1,430 1,300Mnths 4+FHHedge/Member Decrease USD 1,700 1,700 1,300 1,300Mnths 4+FH
Page 2 of 3210/11/2013
20 South Wacker Drive Chicago, IL 60606 Ph.: (312) 648-3888 Fax: (312) 930-3187 cmegroup.com
SPAN MINIMUM PERFORMANCE BOND REQUIREMENTS
Outright Rates
NewMaintenanceCurrentMaintenanceCurrentInitialNew InitialISOChangeRate Type DescriptionCC
ELECTRICITY - Outright RatesMDWST ISO INDIANA HUB 5MWPK CAL MO (PDM)
Spec Increase USD 165 150 220 200Mnths 12+PDMHedge/Member Increase USD 150 150 200 200Mnths 12+PDM
MIDWEST ISO MICHIGAN HUB 5MW PEAK C (HMW)
Spec Increase USD 154 140 176 160Mnth 12+HMWHedge/Member Increase USD 140 140 160 160Mnth 12+HMW
ENVIRONMENTAL - Outright RatesIN DELIVERY MONTH EUA FUTURES (6T)
Spec Decrease EUR 1,265 1,150 990 900Mth 16THedge/Member Decrease EUR 1,150 1,150 900 900Mth 16TSpec Decrease EUR 1,265 1,150 990 900Mths 2+6THedge/Member Decrease EUR 1,150 1,150 900 900Mths 2+6T
Page 3 of 3210/11/2013
20 South Wacker Drive Chicago, IL 60606 Ph.: (312) 648-3888 Fax: (312) 930-3187 cmegroup.com
|