The rates will be effective after the close of business on Saturday, January 22, 2011.
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1 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 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 Saturday, January 22, rates as of: Thursday, January 20, 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 Initial INDONESIAN COAL LOSKEY SUBBIT. () COAL - Outright Rates Spec USD 5,500 5,000 Hedge/Member USD 5,000 5,000 GSL50PPM PLTS BARGS FOBRDM VS ICE () PETROLEUM CRACKS AND SPREADS - Outright Rates Spec USD 6,600 6,000 Hedge/Member USD 6,000 6,000 GSL50PPM PLTS BR FOBRDM CRK SP 1000 () Spec USD 22,000 20,000 Hedge/Member USD 20,000 20,000 GSOL50PPM PTS BRGS FOBRDM VS.ICE BL () Spec USD 7,700 7,000 Hedge/Member USD 7,000 7,000 GASL 50PPM(PLATS) BRGS FOBRDM SWAP () REFINED PRODUCTS - Outright Rates Spec USD 44,000 40,000 Hedge/Member USD 40,000 40,000 GASOIL 50PPM(PLTS) BRGS FOBRDAM BLM () Spec USD 52,800 48,000 Hedge/Member USD 48,000 48,000 Page 2 of 5
3 CC Intra Spreads Description ISO Initial COAL - Intra Spreads Indonesian Coal (McCloskey sub-bituminous) Swap Futures All Months (INDONESIAN COAL LOSKEY SUBBIT.) Spec USD 1,100 1,000 Hedge/Member USD 1,000 1,000 REFINED PRODUCTS - Intra Spreads Gasoil 50 ppm (Platts) Barges FOB Rdam (1000mt) BALMO Swap Futures - All Months (GASOIL 50PPM(PLTS) BRGS FOBRDAM BLM) Spec USD 10,560 9,600 Hedge/Member USD 9,600 9,600 Gasoil 50 ppm (Platts) Barges FOB Rdam (1000mt) Swap Futures - All Months (GASL 50PPM(PLATS) BRGS FOBRDM SWAP) Spec USD 8,800 8,000 Hedge/Member USD 8,000 8,000 Gasoil 50 ppm (Platts) Barges FOB Rdam Crack Spread (1,000 mt) Swap Futures - All Months (GSL50PPM PLTS BR FOBRDM CRK SP 1000) Spec USD 4,400 4,000 Hedge/Member USD 4,000 4,000 Gasoil 50 ppm (Platts) Barges FOB Rdam vs. ICE Gasoil (1000mt) BALMO Swap Futures - All Months (GSOL50PPM PTS BRGS FOBRDM VS.ICE BL) Spec USD 1,540 1,400 Hedge/Member USD 1,400 1,400 Gasoil 50 ppm (Platts) Barges FOB Rdam vs. ICE Gasoil (1000mt) Swap Futures - All Months (GSL50PPM PLTS BARGS FOBRDM VS ICE) Spec USD 1,320 1,200 Hedge/Member USD 1,200 1,200 Page 3 of 5
4 Tier Description Short Option Minimum (SOM) Rate Initial COAL - Short Option Minimum (SOM) Rate INDONESIAN COAL (LOSKEY SUB-BITUMINOUS) SWAP FUTURES () - SOM Clearing Member Rate REFINED PRODUCTS - Short Option Minimum (SOM) Rate GASOIL 50 PPM (PLATTS) BARGES FOB RDAM (1000MT) BALMO SWAP FUTURES () - SOM Clearing Member Rate GASOIL 50 PPM (PLATTS) BARGES FOB RDAM (1000MT) SWAP FUTURES () - SOM Clearing Member Rate GASOIL 50 PPM (PLATTS) BARGES FOB RDAM CRACK SPREAD (1,000 MT) SWAP FUTURES () - SOM Clearing Member Rate GASOIL 50 PPM (PLATTS) BARGES FOB RDAM VS. ICE GASOIL (1000MT) BALMO SWAP FUTURES () - SOM Clearing Member Rate GASOIL 50 PPM (PLATTS) BARGES FOB RDAM VS. ICE GASOIL (1000MT) SWAP FUTURES () - SOM Clearing Member Rate Page 4 of 5
5 Volatility Scan (volscan) Rate Tier Description Initial COAL - Volatility Scan (volscan) Rate INDONESIAN COAL (LOSKEY SUB-BITUMINOUS) SWAP FUTURES () - volscan Clearing Member Rate 0.08 REFINED PRODUCTS - Volatility Scan (volscan) Rate GASOIL 50 PPM (PLATTS) BARGES FOB RDAM (1000MT) BALMO SWAP FUTURES () - volscan Clearing Member Rate 0.08 GASOIL 50 PPM (PLATTS) BARGES FOB RDAM (1000MT) SWAP FUTURES () - volscan Clearing Member Rate 0.08 GASOIL 50 PPM (PLATTS) BARGES FOB RDAM CRACK SPREAD (1,000 MT) SWAP FUTURES () - volscan Clearing Member Rate 0.08 GASOIL 50 PPM (PLATTS) BARGES FOB RDAM VS. ICE GASOIL (1000MT) BALMO SWAP FUTURES () - volscan Clearing Member Rate 0.08 GASOIL 50 PPM (PLATTS) BARGES FOB RDAM VS. ICE GASOIL (1000MT) SWAP FUTURES () - volscan Clearing Member Rate 0.08 Page 5 of 5
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
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 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 receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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 receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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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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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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 receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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 receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
#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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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 receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
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 receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
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
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
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
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
UPDATED: Performance Bond Requirements
10-100 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: UPDATED: Performance Bond Requirements DATE: Tuesday, March 09, 2010 To receive
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
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
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
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
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