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 Monday, August 18, 2008.
Notice Date 2008-08-15
Notice Number 08-185
Effective Date 2008-08-18
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to: www.cme-ch.com/listserve/addlistserve.asp and subscribe to the Performance Bond Rates Advisory Notices listserver.
 
 
As per the normal review of market volatility to ensure adequate collateral coverage, CME Group Performance Bond staff approved volatility scan range changes for the following products listed below. The Volatility Scan range is the amount by which the implied volatility levels are changed for each option during the Span margining process. For those Span margin scenarios that have implied volatility changes, the current implied volatility is moved either up or down by the amount of the Volatility Scan Range. For a futures-only portfolio, the Volatility Scan Range will have no effect. The rates will be effective with the launch of these products on Monday, August 18, 2008.
 
 
 
CME Interest Rate Futures Outright Rates
 
Eurodollar Calendar Spread Options (CME) (SPO)
 
Rate Type
 
Change
New
Initial
New
Maintenance
Speculative - Old Crop
NA
$405
$300
Hedge/Member - Old Crop
NA
$300
$300
 
Volatility Scan Range – $25
Short Option Minimum – 1%
 
The volatility scan range is the change in implied volatility that is used in each of SPAN’s 16 scenarios.