Performance Bond (Margin) Advisory Notices
To Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
From CME Clearing
Subject Performance Bond Requirement Changes Effective November 24, 2008
Notice Date 2008-11-21
Notice Number 08-358
Effective Date 2008-11-24
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 at the close of business on Monday, November 24 th, 2008.
 
SPAN PARAMETERS FOR Central Appalachian Coal Option
 
 
 
SPAN Parameters for New Central Appalachian Coal Option Contract
Commodity Name
Option Trading Symbol
Volatility Scan Range
Volatility Weight Factor
Extreme Move Value
Extreme Move Coverage
Short Option Minimum
Central Appalachian Coal Option
C1
5
0
3
0.33
$40