• Performance Bond Requirements Changes-Effective Tuesday, September 30, 2008

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 08-251
      • Notice Date
      • 29 September 2008
      • Effective Date
      • 30 September 2008
    • To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to: http://www.cmegroup.com/newsletter/web2lead/web2sf-old.html and subscribe to the Performance Bond Rates Advisory Notices 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 are effective with close of business on Tuesday, September 30, 2008.
      Volatility Scan Rages*
                                                      Old Scan Range           New Scan Range
      S&P 500 Stock Index (SP)         5.00%                           7.50%
      E-Mini S&P 500 (ES)                 5.00%                           7.50%
      Nasdaq-100 Index (ND)              4.00%                           6.00%
      E-Mini Nasdaq 100 (NQ)            4.00%                           6.00%
      $25 BIG Dow (DO)                     5.00%                           7.50%
      Dow Jones (11)                         5.00%                           7.50%
      Mini-Dow Jones (YM)                5.00%                           7.50%
      * The volatility scan range is the change in implied volatility that is used in Span’s scenario calculations of performance bond requirements.  Span uses price and implied volatility changes as well as other factors to determine the appropriate performance bond amounts.  This does not affect the outright futures margin requirement, but will generally impact portfolios that include options.