• Performance Bond Requirement Changes Effective November 24, 2008

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 08-358
      • Notice Date
      • 21 November 2008
      • Effective Date
      • 24 November 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 at the close of business on Monday, November 24th, 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

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