This change will apply to the following NYMEX and COMEX products. Additionally, the following SOM rates will apply:
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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: Monday, November 29, 2010 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, November 30, rates as of: Monday, November 29, In this current advisory there are changes to the Short Option Minimum. 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 method for calculating SOM charge for the following NYMEX and COMEX products will change based on the following SOM Charge Calculation Max (Short Calls, Short Puts) * SOM Rate (Short Calls + Short Puts) * SOM Rate This change will apply to the following NYMEX and COMEX products. Additionally, the following SOM rates will apply:
2 Initial Initial COAL - CAPP COAL COMBO ON CALENDAR STRIP (NY-8Y) - SOM Clearing Member Rate Decrease CAPP COAL QUARTERLY SWAPTION (NY-61) - SOM Clearing Member Rate Decrease CENTRAL APPALACHIAN COAL FUTURES (NY-QL) - SOM COAL (API 2) CIF ARA (ARGUS/MCCLOSKEY) SWAP FUTURESS (NY-MTF) - SOM COAL (API 4) FOB RICHARDS BAY (ARGUS/MCCLOSKEY) SWAP FUTURES (NY-MFF) - SOM CRUDE OIL - BRENT (ICE) CALENDAR SWAP FUTURES (NY-CY) - SOM Clearing Member Rate Decrease BRENT 1 MONTH CALENDAR COMBO (NY-BD) - SOM BRENT 12 MONTH CALENDAR COMBO (NY-BQ) - SOM BRENT 2 MONTH CALENDAR COMBO (NY-BF) - SOM BRENT 3 MONTH CALENDAR COMBO (NY-BJ) - SOM BRENT 6 MONTH CALENDAR COMBO (NY-BM) - SOM BRENT CRUDE OIL 1 MONTH CSO (NY-2A) - SOM Clearing Member Rate Decrease BRENT CRUDE OIL 12 MONTH CSO (NY-3B) - SOM Clearing Member Rate Increase BRENT CRUDE OIL 2 MONTH CSO (NY-6B) - SOM Clearing Member Rate Increase BRENT CRUDE OIL 3 MONTH CSO (NY-5B) - SOM Clearing Member Rate Increase BRENT CRUDE OIL 6 MONTH CSO (NY-4B) - SOM Clearing Member Rate Increase BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ) - SOM Clearing Member Rate Decrease CRUDE OIL COMBO ON CALENDAR STRIP (NY-8S) - SOM Clearing Member Rate Decrease Page 2 of 8
3 Initial Initial CRUDE OIL COMBO ON QUARTERLY STRIP (NY-8T) - SOM Clearing Member Rate Decrease DUBAI CRUDE OIL (PLATTS) CALENDAR SWAP FUTURES (NY-DC) - SOM ELECTRICITY - ISO NEW ENGLAND INTERNAL HUB PEAK LMP SWAP FUTURES (NY-NI) - SOM Clearing Member Rate Decrease MIDWEST ISO CINERGY HUB PEAK CALENDAR-MONTH LMP SWAP FUTURES (NY-EM) - SOM Clearing Member Rate Decrease NYISO ZONE A PEAK LBMP SWAP FUTURES (NY-KA) - SOM NYISO ZONE G PEAK LBMP SWAP FUTURES (NY-KG) - SOM Clearing Member Rate Decrease NYISO ZONE J PEAK LBMP SWAP FUTURES (NY-KJ) - SOM Clearing Member Rate Decrease PJM AEP DAYTON HUB PEAK CALENDAR-MONTH LMP SWAP FUTURES (NY-VM) - SOM PJM COMBO ON CALENDAR STRIP (NY-28) - SOM Clearing Member Rate Decrease PJM JCPL ZONE PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP FUTURES (NY-J2) - SOM PJM NORTHERN ILLINOIS HUB PEAK CALENDAR-MONTH LMP SWAP FUTURES (NY-UM) - SOM PJM PEAK CALENDAR-MONTH LMP SWAP FUTURES (NY-JM) - SOM PJM PEPCO ZONE PEAK CALENDAR-MONTH DAY-AHEAD LMP SWAP FUTURES (NY-R8) - SOM METALS - COPPER FUTURES (CX-HG) - SOM Clearing Member Rate Decrease GOLD FUTURES (CX-GC) - SOM Clearing Member Rate Decrease PALLADIUM FUTURES (NY-PA) - SOM Clearing Member Rate Increase PLATINUM FUTURES (NY-PL) - SOM SILVER FUTURES (CX-SI) - SOM Clearing Member Rate Decrease Page 3 of 8
4 Initial Initial NATURAL GAS - ALBERTA PIPE SWAP (NY-XI) - SOM CHICAGO CITY GATE PIPE SWAP (NY-XO) - SOM COLUMBIA GAS TCO BASIS SWAP (PLATTS IFERC) FUTURES (NY-TC) - SOM HENRY HUB BASIS SWAP (PLATTS IFERC) FUTURES (NY-HB) - SOM HENRY HUB NATURAL GAS FUTURES (NY-NG) - SOM Clearing Member Rate Decrease HENRY HUB NATURAL GAS PENULTIMATE FINANCIAL FUTURES (NY-HP) - SOM Clearing Member Rate Decrease HOUSTON SHIP CHANNEL BASIS SWAP (PLATTS IFERC) FUTURES (NY-NH) - SOM HOUSTON SHIP CHANNEL PIPE SWAP (NY-XJ) - SOM MICHCON BASIS SWAP (PLATTS IFERC) FUTURES (NY-NF) - SOM Clearing Member Rate Increase NAT GAS 1 MONTH CALENDAR SPREAD (NY-DG) - SOM NAT GAS 12 MONTH CALENDAR SPREAD (NY-DZ) - SOM Clearing Member Rate Decrease NAT GAS 2 MONTH CALENDAR SPREAD (NY-DJ) - SOM Clearing Member Rate Decrease NAT GAS 3 MONTH CALENDAR SPREAD (NY-DS) - SOM NAT GAS 5 MONTH CALENDAR SPREAD (NY-DE) - SOM Clearing Member Rate Decrease NAT GAS 6 MONTH CALENDAR SPREAD (NY-DM) - SOM Clearing Member Rate Decrease NATIONAL BALANCING POINT (NBP) HENRY HUB BASIS SWAP FUTURES (NY-E2) - SOM Clearing Member Rate Increase NATURAL GAS 1 MONTH CSO (NY-G8) - SOM NATURAL GAS 12 MONTH CSO (NY-H6) - SOM NATURAL GAS 2 MONTH CSO (NY-G9) - SOM Page 4 of 8
5 Initial Initial NATURAL GAS 3 MONTH CSO (NY-H9) - SOM NATURAL GAS 5 MONTH CSO (NY-H8) - SOM NATURAL GAS 6 MONTH CSO (NY-H7) - SOM NATURAL GAS COMBO ON CALENDAR STRIP (NY-8P) - SOM Clearing Member Rate Increase NATURAL GAS COMBO ON SUMMER STRIP (NY-8R) - SOM Clearing Member Rate Increase NATURAL GAS COMBO ON WINTER STRIP (NY-8U) - SOM Clearing Member Rate Increase NGPL MID-CON BASIS SWAP (PLATTS IFERC) FUTURES (NY-NL) - SOM Clearing Member Rate Increase NGPL TEXOK BASIS SWAP (PLATTS IFERC) FUTURES (NY-PD) - SOM Clearing Member Rate Increase NORTHERN ROCKIES PIPE SWAP (NY-XR) - SOM PANHANDLE BASIS SWAP (PLATTS IFERC) FUTURES (NY-PH) - SOM PANHANDLE PIPE SWAP (NY-XH) - SOM PGE CITYGATE PIPE SWAP (NY-XQ) - SOM ROCKIES BASIS SWAP (PLATTS IFERC) FUTURES (NY-NR) - SOM SAN JUAN PIPE SWAP (NY-XX) - SOM SOCAL BASIS SWAP (PLATTS IFERC) FUTURES (NY-NS) - SOM SOCAL PIPE SWAP (NY-XN) - SOM TEXAS EASTERN ZONE M-3 BASIS SWAP (PLATTS IFERC) FUTURES (NY-NX) - SOM Clearing Member Rate Increase TRANSCO ZONE 6 PIPE SWAP (NY-XZ) - SOM WAHA BASIS SWAP (PLATTS IFERC) FUTURES (NY-NW) - SOM Clearing Member Rate Increase Page 5 of 8
6 Initial Initial NGL/PETROCHEMICALS - CONWAY PROPANE 5 DECIMALS (OPIS) SWAP FUTURES (NY-8K) - SOM MONT BELVIEU ETHANE 5 DECIMALS (OPIS) SWAP FUTURES (NY-C0) - SOM Clearing Member Rate Increase MONT BELVIEU NORMAL BUTANE 5 DECIMALS (OPIS) SWAP FUTURES (NY-D0) - SOM PETROLEUM CRACKS AND SPREADS - EUROPEAN GASOIL CRACK SPREAD SWAP FUTURES (NY-GZ) - SOM Clearing Member Rate Decrease HEATING OIL CRACK SPREAD SWAP FUTURES (NY-HK) - SOM RBOB CRACK SPREAD (NY-ZX) - SOM RBOB GASOLINE CRACK SPREAD SWAP FUTURES (NY-RM) - SOM WTI-BRENT (ICE) BULLET SWAP FUTURES (NY-BY) - SOM Page 6 of 8
7 Initial Initial REFINED PRODUCTS - EIA FLAT TAX ON-HIGHWAY DIESEL SWAP FUTURES (NY-A5) - SOM EUROPEAN 3.5% FUEL OIL (PLATTS) BARGES FOB RDAM CALENDAR SWAP FUTURES (NY-UV) - SOM Clearing Member Rate Decrease EUROPEAN GASOIL (ICE) SWAP FUTURES (NY-GX) - SOM Clearing Member Rate Decrease EUROPEAN GASOIL BULLET SWAP FUTURES (NY-BG) - SOM Clearing Member Rate Increase EUROPEAN JET KEROSENE (PLATTS) CARGOES CIF NWE CALENDAR SWAP FUTURES (NY-UJ) - SOM Clearing Member Rate Decrease GASOIL 1 MONTH CSO (NY-GUS) - SOM GASOIL 12 MONTH CSO (NY-GLS) - SOM GASOIL 2 MONTH CSO (NY-GWS) - SOM GASOIL 3 MONTH CSO (NY-GYS) - SOM GASOIL 6 MONTH CSO (NY-GVS) - SOM GULF COAST NO. 6 FUEL OIL 3.0% (PLATTS) SWAP FUTURES (NY-MF) - SOM HEATING OIL 1 MONTH CSO (NY-GH) - SOM HEATING OIL 12 MONTH CSO (NY-AK) - SOM HEATING OIL 2 MONTH CSO (NY-GK) - SOM HEATING OIL 3 MONTH CSO (NY-GM) - SOM HEATING OIL 6 MONTH CSO (NY-GF) - SOM HEATING OIL CALENDAR SWAP FUTURES (NY-MP) - SOM Clearing Member Rate Decrease HEATING/CRUDE SPREAD COMBO (NY-HC) - SOM NEW YORK HARBOR NO. 2 HEATING OIL FUTURES (NY-HO) - SOM Clearing Member Rate Decrease Page 7 of 8
8 Initial Initial RBOB 1 MONTH CSO (NY-ZI) - SOM RBOB 2 MONTH CSO (NY-ZJ) - SOM RBOB 3 MONTH CSO (NY-ZK) - SOM RBOB 6 MONTH CSO (NY-ZL) - SOM RBOB GASOLINE CALENDAR SWAP FUTURES (NY-RL) - SOM Clearing Member Rate Decrease RBOB GASOLINE FUTURES (NY-RB) - SOM Clearing Member Rate Decrease SINGAPORE FUEL OIL 180 CST (PLATTS) CALENDAR SWAP FUTURES (NY-UA) - SOM Clearing Member Rate Decrease SINGAPORE GASOIL (PLATTS) SWAP FUTURES (NY-SG) - SOM SINGAPORE JET KEROSENE (PLATTS) SWAP FUTURES (NY-KS) - SOM Page 8 of 8
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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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.
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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
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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