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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, December 19, 2014 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 Friday, December 19, rates as of: Thursday, December 18, 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 Short Option Minimum (SOM) Rate ELECTRICITY - Short Option Minimum (SOM) Rate PJM PEAK CALENDAR-MONTH LMP SWAP FUTURES (JM, JO, PML) - SOM Clearing Member Rate Increase NGL/PETROCHEMICALS - Short Option Minimum (SOM) Rate CONWAY PROPANE 5 DECIMALS (OPIS) SWAP FUTURES (8K, CPR, W1) - SOM Clearing Member Rate Increase Page 2 of 9
3 AGRICULTURE - FEEDER CATTLE (9F1, FC, FC) - volscan Clearing Member Rate Mnths 2+ Page 3 of 9
4 CRUDE OIL - BRENT (ICE) CALENDAR SWAP FUTURES (BA, CY, IBS) - volscan Increase Increase BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (BB, BE, BZ, BZL, BZS, BZT, IBS, OS, OSW) - volscan Increase Increase BRENT CRUDE OIL PENULTIMATE FINANCIAL FUTURES (BB, BBT, MBZ, ODB, SBB) - volscan Increase Increase CRUDE OIL FINANCIAL FUTURES (MCL, QM, WS) - volscan Increase Increase Clearing Member Rate Mnth4 Clearing Member Rate Mnth5 Increase Clearing Member Rate Mnth6 Clearing Member Rate Mnth7 Increase Clearing Member Rate Mnth9 Increase CRUDE OIL LAST DAY FINANCIAL FUTURES (26, S26) - volscan Increase Increase Clearing Member Rate Mnth4 Clearing Member Rate Mnth5 Increase Clearing Member Rate Mnth6 Clearing Member Rate Mnth7 Increase Clearing Member Rate Mnth9 Increase Page 4 of 9
5 DATED BRENT (PLATTS) CALENDAR SWAP FUTURES (DBP, UB) - volscan Clearing Member Rate Mths 1-6 Increase LIGHT SWEET CRUDE OIL FUTURES (C01, C02, C03, C04, C05, C06, C07, C08, C09, C10, C11, C12, C13, C14, C15, C16, C17, C18, C19, C20, C21, C22, C23, C24, C25, C26, C27, C28, C29, C30, C31, CD, CL, CLL, CLS, CLT, LC, LM1, LM2, LM3, LM4, LM5, LO, LOW, XC, XCT) - volscan Increase Increase Clearing Member Rate Mnth4 Clearing Member Rate Mnth5 Increase Clearing Member Rate Mnth6 Clearing Member Rate Mnth7 Increase Clearing Member Rate Mnth9 Increase WTI CALENDAR SWAP FUTURES (AO, CS) - volscan Increase Increase Clearing Member Rate Mnth4 Clearing Member Rate Mnth5 Increase Clearing Member Rate Mnth6 Clearing Member Rate Mnth7 Increase Clearing Member Rate Mnth9 Increase Page 5 of 9
6 ELECTRICITY - PJM PEAK CALENDAR-MONTH LMP SWAP FUTURES (JM, JO, PML) - volscan Increase Increase Clearing Member Rate Mnths 4-5 Increase Clearing Member Rate Mnths 6-11 Clearing Member Rate Mnths Increase Clearing Member Rate Mnth 3 Increase Clearing Member Rate Mnths 24+ EURO FX (E7, EC, EC, M6E, YT) - volscan FX - Clearing Member Rate Increase Page 6 of 9
7 NATURAL GAS - HENRY HUB NATURAL GAS FUTURES (HHQ, KD, LN, LNW, MNG, NG, NGT, ON, ONW, U01, U02, U03, U04, U05, U06, U07, U08, U09, U10, U11, U12, U13, U14, U15, U16, U17, U18, U19, U20, U21, U22, U23, U24, U25, U26, U27, U28, U29, U30, U31) - volscan Increase Clearing Member Rate Mth 2 Increase Clearing Member Rate Winter 2014/2015 Increase HENRY HUB NATURAL GAS PENULTIMATE FINANCIAL FUTURES (E7, HH, HP, NP, QG) - volscan Clearing Member Rate Mth 2 Increase Increase Clearing Member Rate Winter 2014/2015 Increase NORTHERN ROCKIES PIPE SWAP (XR, ZR) - volscan -1 Increase Increase NYMEX NATURAL GAS (H.HUB LTD) FUT (E7, HH, HHT, NN, NNT) - volscan Increase Clearing Member Rate Mth 2 Increase Clearing Member Rate Winter 2014/2015 Increase PG&E CITYGATE NATURAL GAS (PLATTS IFERC) FIXED PRICE FUTURES (CW, XQ) - volscan -1 Increase Increase Clearing Member Rate Mnths 3+ SAN JUAN PIPE SWAP (PJ, XX) - volscan -1 Increase Increase Clearing Member Rate Mnths 3+ Increase SOCAL PIPE SWAP (XN, ZN) - volscan Increase Increase Clearing Member Rate Mnths 3-6 Increase Clearing Member Rate Mnths 7-12 Clearing Member Rate Mnths 13+ Page 7 of 9
8 NGL/PETROCHEMICALS - CONWAY PROPANE 5 DECIMALS (OPIS) SWAP FUTURES (8K, CPR, W1) - volscan Increase Clearing Member Rate Mth 2 MONT BELVIEU LDH PROPANE 5 DECIMALS (OPIS) SWAP FUTURES (4H, 4K, 81, B0, G1, PT) - volscan Clearing Member Rate Mth 2-3 Increase Clearing Member Rate Mth 4+ MONT BELVIEU NORMAL BUTANE 5 DECIMALS (OPIS) SWAP FUTURES (4H, 4K, D0, D1, Z2) - volscan Increase Clearing Member Rate Mnths 2-6 Increase Page 8 of 9
9 REFINED PRODUCTS - EUROPEAN 1% FUEL OIL (PLATTS) BARGES FOB RDAM CALENDAR SWAP FUTURES (EFB, T0, UH) - volscan Increase GULF COAST JET FUEL (PLATTS) CALENDAR SWAP FUTURES (GE, GVR) - volscan Increase RBOB GASOLINE CALENDAR SWAP FUTURES (RA, RL) - volscan Increase Clearing Member Rate Winter 2014/2015 Clearing Member Rate Summer 2015 Increase Clearing Member Rate Winter 2015/2016+ Increase RBOB GASOLINE FINANCIAL FUTURES (QU, RT) - volscan Increase Clearing Member Rate Winter 2014/2015 Clearing Member Rate Summer 2015 Increase Clearing Member Rate Winter 2015/2016+ Increase RBOB GASOLINE FUTURES (3RB, 4RB, OB, RB, RBL, RBP, RBS, RBT, RF) - volscan Increase Clearing Member Rate Winter 2014/2015 Clearing Member Rate Summer 2015 Increase Clearing Member Rate Winter 2015/2016+ Increase RBOB GASOLINE LAST DAY FINANCIAL FUTURES (27, S27) - volscan Increase Clearing Member Rate Winter 2014/2015 Clearing Member Rate Summer 2015 Increase Clearing Member Rate Winter 2015/2016+ Increase SINGAPORE GASOIL (PLATTS) SWAP FUTURES (M2, MSG, SG) - volscan Increase Clearing Member Rate Mnths 2-6 Increase Clearing Member Rate Mnths 7+ SINGAPORE JET KEROSENE (PLATTS) SWAP FUTURES (KS, N2) - volscan Increase Clearing Member Rate Mnths 2-6 Increase Clearing Member Rate Mnths 7+ Page 9 of 9
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
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
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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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17-399 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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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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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: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, June 16, 2017 To receive advanced notification
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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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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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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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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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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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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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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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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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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
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
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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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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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
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-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
MARKET REGULATION ADVISORY NOTICE
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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
Special Executive Report
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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
MARKET REGULATION ADVISORY NOTICE
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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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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
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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, March 29, 2018 To receive advanced notification
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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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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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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: Tuesday, February 06, 2018 To receive advanced notification
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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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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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