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1 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, January 27, 2016 To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to and subscribe to the Performance Bond Rates Advisory Notice 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 will be effective after the close of business on Thursday, January 28, rates as of: Wednesday, January 27, In this current advisory there are changes to the Short Option Minimum and/or the Volatility Scan Range. Below are descriptions of what each change affects: The Short Option Minimum (SOM) is a charge that is applied only to portfolios concentrated in short options that do not generate a minimum margin requirement level when margins are calculated using the normal 16 SPAN scenarios. The SOM charge per short calls or short puts is a percentage of the outright margin on one underlying futures contract. The volatility scan range is the change in implied volatility that is used in each of SPAN s 16 scenarios.
2 COAL API2 F ARA ARG-MLOSKY FUT () COAL - Spec Month 1 Increase USD 2,035 1,850 2,310 2,100 Hedge/Member Month 1 Increase USD 1,850 1,850 2,100 2,100 Spec Mth 2-6 Increase USD 2,008 1,825 2,200 2,000 Hedge/Member Mth 2-6 Increase USD 1,825 1,825 2,000 2,000 Spec Mth 7+ Increase USD 1,650 1,500 1,815 1,650 Hedge/Member Mth 7+ Increase USD 1,500 1,500 1,650 1,650 ELETY - PJM DAYTON DA OFF-PEAK () Spec Mnths 3-11 Increase USD Hedge/Member Mnths 3-11 Increase USD Spec Mnths 12+ Increase USD Hedge/Member Mnths 12+ Increase USD NATURAL GAS - G BASIS () Spec Mnths Decrease USD Hedge/Member Mnths Decrease USD Spec Mnths 33+ USD Hedge/Member Mnths 33+ USD COLUMB GULF MAIINE NG BASIS (5Z) 5Z 5Z Spec Mnths 25+ Increase USD Hedge/Member Mnths 25+ Increase USD COLUMBIA GULF ONSHORE BASIS FUT (GL) GL GL Spec Mnth 1 Decrease USD Hedge/Member Mnth 1 Decrease USD HOUSTON SHIP CHANNEL BASIS FUT () Spec Mnth 2 Decrease USD Hedge/Member Mnth 2 Decrease USD Spec Mnths 3-6 Decrease USD Hedge/Member Mnths 3-6 Decrease USD Spec Mnths Decrease USD Hedge/Member Mnths Decrease USD Spec Mnths 22+ USD Hedge/Member Mnths 22+ USD NGPL MIDCONTINENT BASIS FUT () Page 2 of 5
3 Spec Mnths 3-6 Decrease USD Hedge/Member Mnths 3-6 Decrease USD Spec Mnths Decrease USD Hedge/Member Mnths Decrease USD Spec Mnths 26+ USD Hedge/Member Mnths 26+ USD NORTHWEST PIPELINE BASIS FUT () Spec Mnth 1 Decrease USD Hedge/Member Mnth 1 Decrease USD Spec Mnths 2-6 Decrease USD Hedge/Member Mnths 2-6 Decrease USD Spec Mnths 7-9 Decrease USD Hedge/Member Mnths 7-9 Decrease USD PAANDLE BASIS FUT (PH) PH PH Spec Winter Decrease USD Hedge/Member Winter Decrease USD PERMIAN BASIS FUT (PM) PM PM Spec Mths 13+ Increase USD Hedge/Member Mths 13+ Increase USD SAN JUAN BASIS FUT () Spec Mths 7-12 Increase USD Hedge/Member Mths 7-12 Increase USD Spec Mths 13+ Increase USD Hedge/Member Mths 13+ Increase USD O BASIS FUT () Spec Mnth 1 Decrease USD Hedge/Member Mnth 1 Decrease USD Spec Mnth 2-2 Decrease USD Hedge/Member Mnth 2-2 Decrease USD Spec Mnths 3-7 Decrease USD Hedge/Member Mnths 3-7 Decrease USD Spec Mnths 8-19 Decrease USD Hedge/Member Mnths 8-19 Decrease USD Page 3 of 5
4 TEXAS EASTERN ZONE M-3 BASIS FUT () Spec Mth 1 Decrease USD 1,320 1, Hedge/Member Mth 1 Decrease USD 1,200 1, Spec Mth 2 Decrease USD 1,210 1, Hedge/Member Mth 2 Decrease USD 1,100 1, Spec Summer 2016 Decrease USD Hedge/Member Summer 2016 Decrease USD TEXAS GAS ZONE1 NG BASIS () Spec Mnth 1 Decrease USD Hedge/Member Mnth 1 Decrease USD Spec Mnth 2-2 Decrease USD Hedge/Member Mnth 2-2 Decrease USD Spec Mnths 3-7 Decrease USD Hedge/Member Mnths 3-7 Decrease USD Spec Mnths 8-19 Decrease USD Hedge/Member Mnths 8-19 Decrease USD Spec Mnths 20+ Decrease USD Hedge/Member Mnths 20+ Decrease USD ANSCO ZONE 3 BASIS (CZ) CZ CZ Spec Mths 7-12 Increase USD Hedge/Member Mths 7-12 Increase USD ANSCO ZONE 6 NON NY BASIS FUT (TZ6) TZ6 TZ6 Spec Mnth 2 Decrease USD 1,650 1,500 1,100 1,000 Hedge/Member Mnth 2 Decrease USD 1,500 1,500 1,000 1,000 ANSCO ZONE4 BASIS FUT () Spec Mnths 2-3 Increase USD Hedge/Member Mnths 2-3 Increase USD Spec Mnths 3-7 Decrease USD Hedge/Member Mnths 3-7 Decrease USD Spec Mnths 8-14 Decrease USD Hedge/Member Mnths 8-14 Decrease USD Page 4 of 5
5 Intra Spreads ELETY - Intra Spreads AEP-Dayton Hub Peak Monthly Electricity Futures - Off-Peak - All Months (AEP-DAYTON HUB OFF-PEAK MONTHLY) VP VP Spec Increase USD 2,365 2,150 2,530 2,300 Hedge/Member Increase USD 2,150 2,150 2,300 2,300 Cinergy Hub Off-Peak LMP Swap - All Months (M INDIANA HUB OFF-PEAK MO FUT) EJ EJ Spec Increase USD 2,200 2,000 2,420 2,200 Hedge/Member Increase USD 2,000 2,000 2,200 2,200 Northern Illinois Hub Monthly Electricity Futures - All Months (NORTHERN ILLINOIS HUB MONTHLY) UM UM Spec Increase USD 2,420 2,200 2,503 2,275 Hedge/Member Increase USD 2,200 2,200 2,275 2,275 PJM AEP Dayton Hub Peak Calendar-Month Day-Ahead - All Months (PJM DAYTON DA PEAK) D7 D7 Spec Increase USD Hedge/Member Increase USD NATURAL GAS - Intra Spreads Transcontinental Gas Pipeline Co. (Transco) Zone 4 Basis Swap Futures (Platts IFERC) - All Months (ANSCO ZONE4 BASIS FUT) Spec Increase USD Hedge/Member Increase USD Volatility Scan (volscan) Rate Tier NATURAL GAS - Volatility Scan (volscan) Rate G ROCKIES BASIS SWAP (PLATTS IFERC) FUTURES () - volscan Clearing Member Rate Mnths HOUSTON SHIP CHANNEL BASIS SWAP (PLATTS IFERC) FUTURES (5F, ) - volscan Clearing Member Rate Mnths % NGPL MID-CON BASIS SWAP (PLATTS IFERC) FUTURES (5G, ) - volscan Clearing Member Rate Mnths % Page 5 of 5
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
15-103 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, April 09, 2015 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, June 16, 2017 To receive advanced notification
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CH-ADV-17-454 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Monday, November 27, 2017 To receive
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17-399 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, October 12, 2017 To receive advanced
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17-474 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, December 07, 2017 To receive advanced
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17-423 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, November 09, 2017 To receive advanced
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14-348 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, September 04, 2014 To receive advanced
The rates will be effective after the close of business on Saturday, January 22, 2011.
11-22 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, January 20, 2011 To receive advanced
The rates will be effective after the close of business on Friday, March 09, 2012.
12-106 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, March 09, 2012 To receive advanced
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18-362 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, September 11, 2018 To receive advanced
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#17-511 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, December 21, 2017 To receive advanced
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19-007 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, January 04, 2019 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, October 11, 2018 To receive advanced notification
This change will apply to the following NYMEX and COMEX products. Additionally, the following SOM rates will apply:
10-480 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Monday, November 29, 2010 To receive advanced
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing. Performance Bond Requirements
12-362 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, August 23, 2012 To receive advanced
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CH Advisory 15-439 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, December 17, 2015 To
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14-494 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, December 19, 2014 To receive advanced
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers. CME Clearing FROM: SUBJECT:
10-415 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, September 30, 2010 To receive advanced
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16-092 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, February 25, 2016 To receive advanced
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing. Performance Bond Requirements
15-030 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, January 29, 2015 To receive advanced
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18-071 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements TE: Thursday, February 15, 2018 To receive advanced
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14-007 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, January 08, 2014 To receive advanced
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17-355 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements TE: Thursday, September 14, 2017 To receive advanced
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17-503 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, December 20, 2017 To receive advanced
The rates will be effective after the close of business on Friday, December 17, 2010.
10-507 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, December 16, 2010 To receive advanced
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11-96 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, March 17, 2011 To receive advanced
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing. Performance Bond Requirements
11-407 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, November 09, 2011 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: C Clearing SUBJECT: CH Adv 15-221: Performance Bond Requirements DATE: Thursday, July 30, 2015 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, May 31, 2017 To receive advanced notification
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ADV: TO: CH ADV 16-237 Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Monday, June 20, 2016 To receive
Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers TO: FROM: CME Clearing SUBJECT:
16-247 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, June 24, 2016 To receive advanced
Special Executive Report
Special Executive Report DATE: March 14, 2012 SER#: 6162 SUBJECT: Reduction of Minimum Price Fluctuation for Certain Natural Gas Products Effective Sunday, April 15, 2012, for trade date Monday, April
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, February 06, 2018 To receive advanced notification
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18-431 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, October 30, 2018 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, March 29, 2018 To receive advanced notification
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, February 09, 2017 To receive advanced notification
Special Executive Report
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10-241 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Friday, June 04, 2010 To receive advanced
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09-267 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Monday, June 22, 2009 To receive advanced
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UPDATED: Performance Bond Requirements
10-100 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: UPDATED: Performance Bond Requirements DATE: Tuesday, March 09, 2010 To receive
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