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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: Friday, June 16, 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 Monday, June 19, rates as of: Friday, June 16, 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 CC Outright Rates Description ISO AGRICULTURE - Outright Rates CASH BUTTER FUTURES () Spec Months 1-4 Increase USD 1,705 1,550 2,035 1,850 Hedge/Member Months 1-4 Increase USD 1,550 1,550 1,850 1,850 CLASS IV MILK FUTURE () Spec Months 2-5 Increase USD 1, ,210 1,100 Hedge/Member Months 2-5 Increase USD ,100 1,100 ROUGH RICE FUTURES (14) Spec Increase USD , Hedge/Member Increase USD METALS - Outright Rates PALLADIUM FUTURES NYMEX (PA) PA PA Spec Mnth 1 Increase USD 4,950 4,500 6,050 5,500 Hedge/Member Mnth 1 Increase USD 4,500 4,500 5,500 5,500 NATURAL GAS - Outright Rates DOMINION BASIS FUT (PLATTS IFERC) () Spec Mnth 1 Increase USD Hedge/Member Mnth 1 Increase USD Spec Mnth 2 Increase USD Hedge/Member Mnth 2 Increase USD Spec Mnths 3-8 Increase USD Hedge/Member Mnths 3-8 Increase USD Spec Mnths 9-20 Increase USD Hedge/Member Mnths 9-20 Increase USD Spec Mnths 21+ Increase USD Hedge/Member Mnths 21+ Increase USD Page 2 of 7
3 CC Intra Spreads Description ISO AGRICULTURE - Intra Spreads Butter (DB) - Months 1-4 vs Months 5+ (CASH BUTTER FUTURES) Spec Decrease USD 2,574 2,340 2,244 2,040 Hedge/Member Decrease USD 2,340 2,340 2,040 2,040 Class IV Milk () - Month 1 vs. Months 2-5 (CLASS IV MILK FUTURE) Spec Decrease USD 1, Hedge/Member Decrease USD Class IV Milk () - Month 1 vs. Months 6+ (CLASS IV MILK FUTURE) Spec Decrease USD Hedge/Member Decrease USD Class IV Milk () - Months 2-5 vs. Months 2-5 (CLASS IV MILK FUTURE) Spec Decrease USD 1,540 1, Hedge/Member Decrease USD 1,400 1, Class IV Milk () - Months2-5 vs. Months 6+ (CLASS IV MILK FUTURE) Spec Decrease USD 1,650 1, Hedge/Member Decrease USD 1,500 1, Month 7 vs Months 8+ (LEAN HOG FUTURES) Month 7 vs Months 8+ (LEAN HOGS TRADE AT SETTLE) Months 8+ vs Months 8+ (LEAN HOG FUTURES) Months 8+ vs Months 8+ (LEAN HOGS TRADE AT SETTLE) Page 3 of 7
4 Inter-commodity Spread Rates Ratio CRUDE OIL - Inter-commodity Spread Rates CRUDE OIL FINANCIAL FUTURES (NY-WS - CME) vs PALLADIUM FUTURES (NY-PA - CME) LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs PALLADIUM FUTURES (NY-PA - CME) WTI CALENDAR SWAP FUTURES (NY-CS - CME) vs PALLADIUM FUTURES (NY-PA - CME) Spread Credit Rate Decrease +1:+1 25% 25% 0% 0% ELECTRICITY - Inter-commodity Spread Rates PJM Western Hub Day-Ahead Peak Calendar-Month 5 MW Futures CALENDAR-MONTH DA LMP SWAP FUT (NY-W6-CME) (NY-J4-CME) vs PJM PSEG ZONE OFF-PEAK Spread Credit Rate Decrease +1:-1 65% 65% 50% 50% HENRY HUB NATURAL GAS FUTURES (NY-NG - CME) vs PJM NORTHERN ILLINOIS HUB OFF-PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP FUTURES (NY-L3 - CME) HENRY HUB NATURAL GAS FUTURES (NY-NG - CME) vs PJM WESTERN HUB OFF-PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP FUTURES (NY-E4 - CME) PJM NORTHERN ILLINOIS HUB OFF-PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP FUTURES (NY-L3 - CME) vs PJM WESTERN HUB PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP FUTURES (NY-J4 - CME) Spread Credit Rate Decrease +16:-1 79% 79% 64% 64% PJM WESTERN HUB OFF-PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP (NYM-E4 - CME) vs HENRY HUB NATURAL GAS (NYM-NG, NN, HP) Spread Credit Rate Decrease +194:-1 70% 70% 55% 55% Page 4 of 7
5 Inter-commodity Spread Rates Ratio METALS - Inter-commodity Spread Rates ALUMINIUM A-380 ALLOY PLATTS (20 MT) FUTURES (CX-A38 - CME) vs PALLADIUM FUTURES (NY-PA - CME) Spread Credit Rate Decrease +1:-1 30% 30% 0% 0% ALUMINUM FUTURES (CX-ALI - CME) vs PALLADIUM FUTURES (NY-PA - CME) Spread Credit Rate Decrease +1:-1 20% 20% 0% 0% CLEARED OTC LONDON GOLD FORWARDS (COLLATERAL MARGIN) (CX-GB - CME) vs PALLADIUM FUTURES (NY-PA - CME). Spread Credit Rate Decrease +100:-1 30% 30% 0% 0% CRUDE OIL FINANCIAL FUTURES (NY-WS - CME) vs PALLADIUM FUTURES (NY-PA - CME) GOLD FUTURES (CX-GC - CME) vs PALLADIUM FUTURES (NY-PA - CME) Spread Credit Rate Decrease +1:-2 25% 25% 0% 0% IRON ORE FUTURES (NY-TIO - CME) vs PALLADIUM FUTURES (NY-PA - CME) KILO GOLD FUTURES (CX-GCK - CME) vs PALLADIUM FUTURES (NY-PA - CME) Spread Credit Rate Decrease +3:-2 20% 20% 0% 0% LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs PALLADIUM FUTURES (NY-PA - CME) WTI CALENDAR SWAP FUTURES (NY-CS - CME) vs PALLADIUM FUTURES (NY-PA - CME) Spread Credit Rate Decrease +1:+1 25% 25% 0% 0% NATURAL GAS - Inter-commodity Spread Rates HENRY HUB NATURAL GAS FUTURES (NY-NG - CME) vs PJM NORTHERN ILLINOIS HUB OFF-PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP FUTURES (NY-L3 - CME) HENRY HUB NATURAL GAS FUTURES (NY-NG - CME) vs PJM WESTERN HUB OFF-PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP FUTURES (NY-E4 - CME) PJM WESTERN HUB OFF-PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP (NYM-E4 - CME) vs HENRY HUB NATURAL GAS (NYM-NG, NN, HP) Spread Credit Rate Decrease +194:-1 70% 70% 55% 55% Page 5 of 7
6 Tier Description Short Option Minimum (SOM) Rate PALLADIUM FUTURES (LQ, PA, PAO, QT) - SOM METALS - Short Option Minimum (SOM) Rate Clearing Member Rate Increase Page 6 of 7
7 Volatility Scan (volscan) Rate Tier Description PALLADIUM FUTURES (LQ, PA, PAO, QT) - volscan METALS - Volatility Scan (volscan) Rate Clearing Member Rate Mnth 1 Increase Clearing Member Rate Mnth 2-3 Increase Clearing Member Rate Mnth 4+ Increase Page 7 of 7
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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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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
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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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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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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17-474 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
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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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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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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17-355 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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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
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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#17-511 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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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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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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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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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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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
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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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
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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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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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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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
NYMEX and Margining Closely Related Physically-Delivered and Financially-Settled products in SPAN. Table of Contents. Introduction...
TO: FROM: Clearing Member Firms CME Clearing SPAN ADVISORY#: 09-01 DATE: Friday, May 1 st, 2009 SUBJECT: NYMEX and Margining Closely Related Physically-Delivered and Financially-Settled products in SPAN
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
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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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
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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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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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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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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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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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