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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, October 12, 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 Friday, October 13, rates as of: Thursday, October 12, 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 AGRICULTURE - CME DRY WHEY FUTURES (DY) DY DY Spec Month 3+ Increase USD 1,210 1,100 1,430 1,300 Hedge/Member Month 3+ Increase USD 1,100 1,100 1,300 1,300 NYMEX COCOA (CJ) CJ CJ Spec Decrease USD 1,980 1,800 1,430 1,300 Hedge/Member Decrease USD 1,800 1,800 1,300 1,300 CRUDE OIL SPREADS - ARGUS LLS VS. WTI (ARG) TRD M (E5) E5 E5 E5 E5 Spec Mnth 1 Increase USD Hedge/Member Mnth 1 Increase USD Spec Mnths 2-4 Increase USD Hedge/Member Mnths 2-4 Increase USD NATURAL GAS - ALGONQUIN CITYGATES BASIS (B4) B4 B4 B4 B4 Spec Mnth 1 Increase USD 2,200 2,000 2,530 2,300 Hedge/Member Mnth 1 Increase USD 2,000 2,000 2,300 2,300 Spec Mnth 2 Increase USD 1,320 1,200 1,815 1,650 Hedge/Member Mnth 2 Increase USD 1,200 1,200 1,650 1,650 ANR LOUISIANA BASIS FUT () Spec Mth 1 Increase USD Hedge/Member Mth 1 Increase USD Spec Mths 2-5 Increase USD Hedge/Member Mths 2-5 Increase USD Spec Mths 6+ Increase USD Hedge/Member Mths 6+ Increase USD CHICAGO BASIS FUT (NB) NB NB Spec Mnths 2+ Increase USD Hedge/Member Mnths 2+ Increase USD CIG BASIS (CI) CI CI Spec Mnth 1 Increase USD Hedge/Member Mnth 1 Increase USD FLORIDA GAS ZONE3 BASIS FUT () Spec Mnth 1 Increase USD Hedge/Member Mnth 1 Increase USD Page 2 of 8
3 Spec Mnth 2 Increase USD Hedge/Member Mnth 2 Increase USD Spec Mnths 3-6 Increase USD Hedge/Member Mnths 3-6 Increase USD Spec Mnths 7-12 Increase USD Hedge/Member Mnths 7-12 Increase USD Spec Mnths 13+ Increase USD Hedge/Member Mnths 13+ Increase USD NORTHERN NATURAL GAS DEMAR BASIS FU (PE) PE PE PE PE Spec Mnths 2-5 Increase USD Hedge/Member Mnths 2-5 Increase USD Spec Mnths 6+ Increase USD Hedge/Member Mnths 6+ Increase USD PANHALE BASIS FUT () Spec Mnth 2 Increase USD Hedge/Member Mnth 2 Increase USD Spec Winter Increase USD /2017 Hedge/Member Winter Increase USD /2017 Spec Winter Increase USD Hedge/Member Winter Increase USD Spec APR Increase USD Hedge/Member APR Increase USD SUMAS BASIS FUT () Spec Mnths 6-14 Increase USD Hedge/Member Mnths 6-14 Increase USD Spec Mnths Increase USD Hedge/Member Mnths Increase USD Spec Mnths 35+ Increase USD Hedge/Member Mnths 35+ Increase USD Page 3 of 8
4 O BASIS FUT () Spec Mnth 1 Increase USD Hedge/Member Mnth 1 Increase USD Spec Mnth 2-2 Increase USD Hedge/Member Mnth 2-2 Increase USD Spec Mnths 3-7 Increase USD Hedge/Member Mnths 3-7 Increase USD Spec Mnths 8-19 Increase USD Hedge/Member Mnths 8-19 Increase USD Spec Mnths 20+ Increase USD Hedge/Member Mnths 20+ Increase USD TENNESSEE ZONE 0 BASIS FUT (NQ) NQ NQ Spec Mnths 2+ Increase USD Hedge/Member Mnths 2+ Increase USD TEXAS EASTERN ZONE M-3 BASIS FUT (NX) NX NX NX NX Spec Mth 1 Increase USD Hedge/Member Mth 1 Increase USD Spec Mth 2 Increase USD Hedge/Member Mth 2 Increase USD TRANSCO ZONE 6 BASIS FUT (NZ) NZ NZ NZ NZ Spec Mnth 1 Increase USD 1,100 1,000 1,320 1,200 Hedge/Member Mnth 1 Increase USD 1,000 1,000 1,200 1,200 Spec Mnth 2 Increase USD Hedge/Member Mnth 2 Increase USD Page 4 of 8
5 TRANSCO ZONE 6 NON NY BASIS FUT () Spec Mnth 1 Increase USD Hedge/Member Mnth 1 Increase USD Spec Mnth 2 Increase USD Hedge/Member Mnth 2 Increase USD Spec Winter Increase USD /2017 Hedge/Member Winter Increase USD /2017 Spec Winter Increase USD /2018 Hedge/Member Winter Increase USD /2018 Spec Summer 2018 Increase USD Hedge/Member Summer 2018 Increase USD Spec Winter Increase USD /2019 Hedge/Member Winter Increase USD /2019 Spec APR Increase USD Hedge/Member APR Increase USD VENTURA BASIS FUT (PF) PF PF PF PF Spec Mnths 2-5 Increase USD Hedge/Member Mnths 2-5 Increase USD Spec Mnths 6+ Increase USD Hedge/Member Mnths 6+ Increase USD WAHA TEXAS BASIS FUT () Spec Mnth 1 Increase USD Hedge/Member Mnth 1 Increase USD Spec Mnth 2 Increase USD Hedge/Member Mnth 2 Increase USD Spec Mnths 3-6 Increase USD Hedge/Member Mnths 3-6 Increase USD Spec Mnths 7-12 Increase USD Hedge/Member Mnths 7-12 Increase USD Spec Mnths Increase USD Hedge/Member Mnths Increase USD Spec Mnths 34+ Increase USD Hedge/Member Mnths 34+ Increase USD Page 5 of 8
6 EURO 3.5% FUEL OIL SPREAD (FK) PETROLEUM CRACKS A SPREADS - FK FK Spec Mnths 3-11 Increase USD , Hedge/Member Mnths 3-11 Increase USD Page 6 of 8
7 REFINED PRODUCTS - EUROPEAN GASOIL ICE FUTURE (7F) 7F 7F 7F 7F Spec Mnth 1 Increase USD 1,980 1,800 2,200 2,000 Hedge/Member Mnth 1 Increase USD 1,800 1,800 2,000 2,000 Spec Mnths 2-6 Increase USD 1,925 1,750 2,090 1,900 Hedge/Member Mnths 2-6 Increase USD 1,750 1,750 1,900 1,900 EUROPEAN GASOIL ICE TAS FUTURE (7FT) 7FT 7FT 7FT 7FT Spec Mnth 1 Increase USD 1,980 1,800 2,200 2,000 Hedge/Member Mnth 1 Increase USD 1,800 1,800 2,000 2,000 Spec Mnths 2-6 Increase USD 1,925 1,750 2,090 1,900 Hedge/Member Mnths 2-6 Increase USD 1,750 1,750 1,900 1,900 GASOIL BULLET FUT (BG) BG BG BG BG Spec Mnth 1 Increase USD 19,800 18,000 22,000 20,000 Hedge/Member Mnth 1 Increase USD 18,000 18,000 20,000 20,000 Spec Mnths 2-6 Increase USD 19,250 17,500 20,900 19,000 Hedge/Member Mnths 2-6 Increase USD 17,500 17,500 19,000 19,000 MINI SINGAPORE GASOIL PLATS FUTURES (MSG) MSG MSG MSG MSG Spec Mnth 1 Increase USD Hedge/Member Mnth 1 Increase USD Spec Mnths 2-6 Increase USD Hedge/Member Mnths 2-6 Increase USD SINGAPORE GASOIL FUT (SG) SG SG SG SG Spec Mnth 1 Increase USD 2,530 2,300 2,750 2,500 Hedge/Member Mnth 1 Increase USD 2,300 2,300 2,500 2,500 Spec Mnths 2-6 Increase USD 2,420 2,200 2,860 2,600 Hedge/Member Mnths 2-6 Increase USD 2,200 2,200 2,600 2,600 SYNTHETIC GASOIL BULLET FUT (SBG) SBG SBG SBG SBG Spec Mnth 1 Increase USD 19,800 18,000 22,000 20,000 Hedge/Member Mnth 1 Increase USD 18,000 18,000 20,000 20,000 Spec Mnths 2-6 Increase USD 19,250 17,500 20,900 19,000 Hedge/Member Mnths 2-6 Increase USD 17,500 17,500 19,000 19,000 SYNTHETIC SINGAPORE GASOIL FUT (SSG) SSG SSG SSG SSG Spec Mnth 1 Increase USD 2,530 2,300 2,750 2,500 Hedge/Member Mnth 1 Increase USD 2,300 2,300 2,500 2,500 Spec Mnths 2-6 Increase USD 2,420 2,200 2,860 2,600 Hedge/Member Mnths 2-6 Increase USD 2,200 2,200 2,600 2,600 Page 7 of 8
8 Inter-commodity Spread Rates Ratio REFINED PRODUCTS - Inter-commodity Spread Rates GASOIL 0.1 (PLATTS) BARGES FOB RDAM SWAP FUTURES (NY-VL - CME) vs GASOIL 0.1 (PLATTS) CARGOES CIF E SWAP FUTURES (NY-TW - CME) Spread Credit Rate Increase +1:-1 75% 75% 95% 95% Volatility Scan (volscan) Rate Tier ETHANOL - Volatility Scan (volscan) Rate CHICAGO ETHANOL (PLATTS) SWAP FUTURES (CU, CVR) - volscan Clearing Member Rate Mth 1 Increase Clearing Member Rate Mths 2 Increase Clearing Member Rate Mth 3-7 Increase Clearing Member Rate Mnth 8+ Increase IRON ORE FUTURES (ICT, TIO) - volscan METALS - Volatility Scan (volscan) Rate Clearing Member Rate Mnth 1 Increase Clearing Member Rate Mnth 2-4 Increase REFINED PRODUCTS - Volatility Scan (volscan) Rate GULF COAST JET FUEL (PLATTS) CALEAR SWAP FUTURES (GE, GVR) - volscan Clearing Member Rate Mnths 2-6 Increase Clearing Member Rate Mnths 7+ Increase SINGAPORE FUEL OIL 380 CST (PLATTS) SWAP FUTURES (8H, MTS, SE) - volscan Clearing Member Rate Mnths 7+ Decrease Clearing Member Rate Mnths 2-6 Decrease SINGAPORE GASOIL (PLATTS) SWAP FUTURES (M2, MSG, SG, SSG) - volscan Clearing Member Rate Mnths 2-6 Decrease SINGAPORE JET KEROSENE (PLATTS) SWAP FUTURES (KS, N2, SKS) - volscan Clearing Member Rate Mnths 2-6 Decrease Page 8 of 8
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
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
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
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
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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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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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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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
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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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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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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14-348 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
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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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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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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: 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
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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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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, October 11, 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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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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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
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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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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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
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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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
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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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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
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: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, February 06, 2018 To receive advanced notification
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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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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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