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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: Thursday, December 21, 2017 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 Tuesday, December 26, rates as of: Thursday, December 21, 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 option that do not generate a minimum margin requirement level when margins are calculated using the normal 16 SP 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 SP s 16 scenarios.
2 CC Outright Rates Description ISO Initial ISO NEW ENG MASS HUB DA OP DAILY (IDO) ELECTRICITY - Outright Rates IDO IDO Spec Days 1-10 Decrease USD Hedge/Member Days 1-10 Decrease USD MISO INDIA HUB 5MW OFPK CALDAY DA () Spec Days 1-11 Decrease USD Hedge/Member Days 1-11 Decrease USD Spec Days Decrease USD Hedge/Member Days Decrease USD Spec Days 16+ Decrease USD Hedge/Member Days 16+ Decrease USD MISO INDIA HUB 5MW OFPK CALDAY RT (FTD) FTD FTD Spec Days 1-11 Decrease USD Hedge/Member Days 1-11 Decrease USD MISO INDIA HUB 5MW PK CAL DAYHD () Spec Days 1-11 Decrease USD 2,640 2,400 1,100 1,000 Hedge/Member Days 1-11 Decrease USD 2,400 2,400 1,000 1,000 Spec Days Decrease USD 1,650 1, Hedge/Member Days Decrease USD 1,500 1, Spec Days 16+ Decrease USD 1,650 1, Hedge/Member Days 16+ Decrease USD 1,500 1, MISO INDIA HUB 5MW PK CAL-DAY RT () Spec Days 1-11 Decrease USD 4,620 4,200 1,540 1,400 Hedge/Member Days 1-11 Decrease USD 4,200 4,200 1,400 1,400 Spec Days Decrease USD 1,980 1,800 1,100 1,000 Hedge/Member Days Decrease USD 1,800 1,800 1,000 1,000 Spec Days 16+ Decrease USD 1,980 1,800 1,100 1,000 Hedge/Member Days 16+ Decrease USD 1,800 1,800 1,000 1,000 NYISO ZONE A DA OP DAILY (ZAO) ZAO ZAO Spec Days 1-10 Decrease USD Hedge/Member Days 1-10 Decrease USD NYISO ZONE A LBMP FUT () Spec Days 1-6 Decrease USD 2,420 2,200 1,320 1,200 Hedge/Member Days 1-6 Decrease USD 2,200 2,200 1,200 1,200 Spec Days 7-15 Decrease USD 2,420 2,200 1,320 1,200 Hedge/Member Days 7-15 Decrease USD 2,200 2,200 1,200 1,200 Spec Days 16+ Decrease USD 1,980 1, Page 2 of 9
3 CC Outright Rates Description ISO Initial Hedge/Member Days 16+ Decrease USD 1,800 1, NYISO ZONE G DA OP DAILY (ZGO) ZGO ZGO Spec Days 1-10 Decrease USD Hedge/Member Days 1-10 Decrease USD NYISO ZONE J DA OP DAILY (ZJO) ZJO ZJO Spec Days 1-10 Decrease USD Hedge/Member Days 1-10 Decrease USD ONTARIO OFF-PK CALENDAR DAY FUTURES () Spec Days 1-11 Decrease CAD Hedge/Member Days 1-11 Decrease CAD Spec Days Decrease CAD Hedge/Member Days Decrease CAD Spec Days 16+ Decrease CAD Hedge/Member Days 16+ Decrease CAD PJM AEP DAYTON HUB DA OP DAILY () Spec Days 1-11 Decrease USD Hedge/Member Days 1-11 Decrease USD Spec Days Decrease USD Hedge/Member Days Decrease USD Spec Days 16+ Decrease USD Hedge/Member Days 16+ Decrease USD PJM AEP DAYTON HUB DA PEAK DAILY () Spec Days 1-11 Decrease USD 3,300 3,000 1,320 1,200 Hedge/Member Days 1-11 Decrease USD 3,000 3,000 1,200 1,200 Spec Days Decrease USD 1,760 1, Hedge/Member Days Decrease USD 1,600 1, Spec Days 16+ Decrease USD 2,090 1, Hedge/Member Days 16+ Decrease USD 1,900 1, PJM AEP DAYTON HUB RT OP DAILY () Spec Days 1-10 Decrease USD Hedge/Member Days 1-10 Decrease USD Spec Days Decrease USD Hedge/Member Days Decrease USD Spec Days 16+ Decrease USD Hedge/Member Days 16+ Decrease USD Page 3 of 9
4 CC Outright Rates Description ISO Initial PJM AEP-DAYTON HUB RT PK CALDAY 5MW () Spec Days 1-6 Decrease USD 3,025 2,750 1,100 1,000 Hedge/Member Days 1-6 Decrease USD 2,750 2,750 1,000 1,000 Spec Days 7-15 Decrease USD 1,650 1, Hedge/Member Days 7-15 Decrease USD 1,500 1, Spec Days 16+ Decrease USD 1,705 1, Hedge/Member Days 16+ Decrease USD 1,550 1, PJM DAILY () Spec Days 1-6 Decrease USD 2,200 2, Hedge/Member Days 1-6 Decrease USD 2,000 2, Spec Days 7-14 Decrease USD 1,100 1, Hedge/Member Days 7-14 Decrease USD 1,000 1, Spec Days 15+ Decrease USD 1,100 1, Hedge/Member Days 15+ Decrease USD 1,000 1, PJM N ILLINOIS HUB RT PK CAL DAY5MW () Spec Days 1-6 Decrease USD 2,200 2,000 1,650 1,500 Hedge/Member Days 1-6 Decrease USD 2,000 2,000 1,500 1,500 Spec Days 7-14 Decrease USD 2,200 2,000 1,650 1,500 Hedge/Member Days 7-14 Decrease USD 2,000 2,000 1,500 1,500 Spec Days 15+ Decrease USD 1,650 1, Hedge/Member Days 15+ Decrease USD 1,500 1, PJM NORTERN ILL HUB DA OP DAILY () Spec Days 1-10 Decrease USD Hedge/Member Days 1-10 Decrease USD Spec Days Decrease USD Hedge/Member Days Decrease USD Spec Days 16+ Decrease USD Hedge/Member Days 16+ Decrease USD PJM NORTERN ILL HUB DA PEAK DAILY () Spec Days 1-8 Decrease USD 3,300 3,000 1,210 1,100 Hedge/Member Days 1-8 Decrease USD 3,000 3,000 1,100 1,100 Spec Days 9-15 Decrease USD 2,475 2, Hedge/Member Days 9-15 Decrease USD 2,250 2, Spec Days 16+ Decrease USD 2,200 2, Hedge/Member Days 16+ Decrease USD 2,000 2, Page 4 of 9
5 CC Outright Rates Description ISO Initial PJM NORTERN ILL HUB RT OP DAILY (NOC) NOC NOC NOC NOC Spec Days 1-10 Decrease USD Hedge/Member Days 1-10 Decrease USD Spec Days 16+ Decrease USD Hedge/Member Days 16+ Decrease USD PJM WESTERN HUB DA OP DAILY FUT () Spec Days 1-10 Decrease USD Hedge/Member Days 1-10 Decrease USD Spec Days Decrease USD Hedge/Member Days Decrease USD Spec Days 16+ Decrease USD Hedge/Member Days 16+ Decrease USD PJM WESTERN HUB DA PEAK DAILY () Spec Days 1-10 Decrease USD 2,200 2,000 1,320 1,200 Hedge/Member Days 1-10 Decrease USD 2,000 2,000 1,200 1,200 Spec Days Decrease USD 1,650 1, Hedge/Member Days Decrease USD 1,500 1, Spec Days 16+ Decrease USD 1,650 1, Hedge/Member Days 16+ Decrease USD 1,500 1, PJM WESTERN HUB RT OP DAILY (WOR) WOR WOR Spec Days 1-10 Decrease USD Hedge/Member Days 1-10 Decrease USD Page 5 of 9
6 Tier Description Short Option Minimum (SOM) Rate Initial ELECTRICITY - Short Option Minimum (SOM) Rate MIDWEST ISO INDIA HUB 5 MW OFF-PEAK CALENDAR-DAY DAY-AHEAD SWAP FUTURES () - SOM Clearing Member Rate Decrease Page 6 of 9
7 Volatility Scan (volscan) Rate Tier Description Initial Page 7 of 9
8 Volatility Scan (volscan) Rate Tier Description Initial CORN (C, C, CDF, YC, ZCT) - volscan AGRICULTURE - Volatility Scan (volscan) Rate Clearing Member Rate Months 6-9 Decrease Clearing Member Rate Months 2-5 Decrease Clearing Member Rate Months 10+ Decrease Decrease FEEDER CATTLE (9F1, FC, FC, GFT) - volscan Decrease Clearing Member Rate Month 2 Decrease Clearing Member Rate Month 3 Decrease Clearing Member Rate Month 4 Decrease Clearing Member Rate Month 5 Decrease Clearing Member Rate Months 6+ Decrease KSAS WHEAT FUTURES (KET, KW, KW, KWO, MKC) - volscan Clearing Member Rate Month1 Decrease Clearing Member Rate Months 2-5 Decrease Clearing Member Rate Months 6+ LE HOG (9H1, HET, LN, LN) - volscan Clearing Member Rate Decrease Clearing Member Rate Decrease Clearing Member Rate Decrease Clearing Member Rate Decrease Clearing Member Rate Decrease Clearing Member Rate Decrease Clearing Member Rate Decrease LIVE CATTLE (9K1, LC, LC, LET) - volscan Clearing Member Rate Month 4 Clearing Member Rate Month 5 Clearing Member Rate Months 6+ OATS (O, O) - volscan Clearing Member Rate Decrease RDOM LENGTH LUMBER (LB, LB) - volscan Clearing Member Rate Decrease ROUGH RICE (14, 14) - volscan Clearing Member Rate Decrease SOYBE MEAL (06, 06, ODF, USDINR, ZMT) - volscan Decrease SOYBE OIL (07, 07, LDF, ZLT) - volscan Decrease Clearing Member Rate Months 2-6 Page 8 of 9
9 Volatility Scan (volscan) Rate Tier Description Initial Clearing Member Rate Months 7+ Decrease SOYBES (S, S, SBT, SDF, SRS, YK) - volscan Decrease WHEAT (W, W, WDF, YW, ZWT) - volscan Decrease Clearing Member Rate Months 2-5 Decrease Page 9 of 9
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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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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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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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16-052 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
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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
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
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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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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
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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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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
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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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. 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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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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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
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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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14-494 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
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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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17-503 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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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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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
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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
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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
Monthly Agricultural Review
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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
Monthly Agricultural Review
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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
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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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
SUBJECT: Performance Bond Requirements Effective Wednesday, September 24 th, 2008
TO: FROM: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers CME Clearing SUBJECT: Performance Bond Requirements Effective Wednesday, September 24 th, 2008 DATE: To receive
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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
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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
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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
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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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
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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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