• Performance Bond Requirement Changes - Effective Thursday, January 8, 2009

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 09-06
      • Notice Date
      • 07 January 2009
      • Effective Date
      • 08 January 2009
    • 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 volatility scan range changes for the following products listed below. The rates are effective at the close of business on Thursday, January 8th, 2009.
       
      Volatility Scan Ranges* --Tradable Futures
      Commodity Name
      Old Scan Range
      New Scan Range
      CRUDE OIL FUTURES (CL)
      5%
      7%
      WTI CALENDAR SWAP FUTURES (CS)
      5%
      7%
      NATURAL GAS FUTURES (NG)
      5%
      7%
      HEATING OIL FUTURES (HO)
      5%
      7%
      NYMEX NEW YORK HARBOR HEATING OIL CALENDAR SWAP FUTURES (MP)
      5%
      7%
      RBOB GAS FUTURES (RB)
      5%
      7%
      RBOB CALENDAR SWAP FUTURES (RL)
      5%
      7%
      BRENT LAST DAY FUTURES (BZ)
      5%
      7%
      Brent (ICE) CALENDAR SWAP FUTURES (CY)
      5%
      7%
      GASOIL BULLET SWAP FUTURES (BG)
      5%
      7%
      GASOIL CALENDAR SWAP FUTURES (GX)
      5%
      7%
      singapore fuel oil 180cst calendar swap futures (ua)
      5%
      7%
      singapore gasoil swap futures (sg)
      5%
      7%
      singapore jet kerosene swap futures (ks)
      5%
      7%
      european 3.5% fuel oil rotterdam calendar swap futures (uv)
      5%
      7%
      Gold Futures (gc)
      2%
      4%
      silver futures (si)
      2%
      4%
      copper futures (hg)
      2%
      4%
      platinum futures (pl)
      2%
      4%
       
       
       
      VOLATILITY SCAN RANGE*—NON TRADABLE SYNTHETIC FUTURES
      Commodity Name
      Old Scan Range
      New Scan Range
      PG&E CITYGATE PIPE FUTUERS (XQ)
      3.5%
      7%
      ALBERTA PIPE FUTUERS (XI)
      3.5%
      7%
      NORTHERN ROCKIES PIPE FUTURES (XR)
      3.5%
      7%
      TRANSCO ZONE 6 PIPE FUTURES (XZ)
      3.5%
      7%
      CHICAGO CITYGATE PIPE FUTURES (XO)
      3.5%
      7%
      HOUSTON SHIP CHANNEL PIPE FUTURES (XJ)
      3.5%
      7%
      SAN JUAN PIPE FUTURES (XX)
      3.5%
      7%
      SOCAL PIPE FUTURES (XN)
      3.5%
      7%
      PANHANDLE PIPE FUTURES (Xh)
      3.5%
      7%
       
       
       
       
      Short Option Minimum
       
       
      Commodity Name
      Old Short Option Minimum
      New Short Option Minimum
      NATURAL GAS AMERICAN STYLE OPTIONS (ON)
      $30
      $35
      NATURAL GAS 1-MONTH CALENDAR SPREAD OPTIONS (IA)
      $30
      $35
      NATURAL GAS 2-MONTH CALENDAR SPREAD OPTIONS (IB)
      $30
      $35
      NATURAL GAS 3-MONTH CALENDAR SPREAD OPTIONS (IC)
      $30
      $35
      NATURAL GAS 5-MONTH CALENDAR SPREAD OPTIONS (IE)
      $30
      $35
      NATURAL GAS 6-MONTH CALENDAR SPREAD OPTIONS (IM)
      $30
      $35
      NATURAL GAS 12-MONTH CALENDAR SPREAD OPTIONS (IZ)
      $30
      $35
      NATURAL GAS EUROPEAN STYLE OPTIONS (LN)
      $30
      $35
      NATURAL GAS DAILY OPTIONS (KD)
      $30
      $35
      PG&E CITYGATE PIPE OPTIONS (CW)
      $15
      $20
      ALBERTA PIPE OPTIONS (PI)
      $15
      $20
      NORTHERN ROCKIES PIPE OPTIONS (ZR)
      $15
      $20
      TRANSCO ZONE 6 PIPE OPTIONS (TZ)
      $10
      $20
      ChICAGO CITY GATE PIPE OPTIONS (PY)
      $15
      $20
      HOUSTON SHIP CHANNEL PIPE OPTIONS (PK)
      $15
      $20
      SAN JUAN PIPE OPTIONS (PJ)
      $15
      $20
      SOCAL PIPE OPTIONS (ZN)
      $15
      $20
      PANHANDLE PIPE OPTIONS (PU)
      $15
      $20
      LIGHT SWEET CRUDE OIL OPTIONS (LO)
      $25
      $30
      LIGHT SWEET CRUDE OIL EUROPREAN-STYLE OPTIONS (LC)
      $25
      $30
      LIGHT SWEET CRUDE OIL AVERAGE PRICE OPTIONS (AO)
      $25
      $30
      DAILY CRUDE OIL OPTIONS (CD)
      $25
      $30
      BRENT CRUDE OIL OPTIONS (OS)
      $25
      $30
      BRENT CRUDE OIL EUROPREAN-STYLE OPTIONS (BE)
      $25
      $30
      WTI-BRENT CRUDE OIL SPREAD OPTIONS (BV)
      $25
      $30
      BRENT CRUDE OIL AVERAGE PRICE OPTIONS (BA)
      $25
      $30
      WTI CRUDE 1-MONTH CALENDAR SPREAD OPTIONS (WA)
      $25
      $30
      WTI CRUDE 2-MONTH CALENDAR SPREAD OPTIONS (WB)
      $25
      $30
      WTI CRUDE 3-MONTH CALENDAR SPREAD OPTIONS (WC)
      $25
      $30
      WTI CRUDE 6-MONTH CALENDAR SPREAD OPTIONS (WM)
      $25
      $30
      WTI CRUDE 12-MONTH CALENDAR SPREAD OPTIONS (WZ)
      $25
      $30
      RBOB GASOLINE OPTIONS (OB)
      $25
      $30
      RBOB GASOLINE EUROPEAN-STYLE OPTIONS (RF)
      $25
      $30
      RBOB GASOLINE AVERAGE PRICE OPTIONS (RA)
      $25
      $30
      HEATING OIL OPTIONS (OH)
      $25
      $30
      HEATING OIL EUROPEAN-STYLE OPTIONS (LB)
      $25
      $30
      HEATING OIL AVERAGE PRICE OPTIONS (AT)
      $25
      $30
      GASOIL AVERAGE PRICE OPTIONS (F7)
      $50
      $55
      GASOIL EUROPEAN-STYLE OPTIONS (F8)
      $50
      $55
      SINGAPORE FUEL OIL 180cst AVERAGE PRICE OPTIONS (C5)
      $10
      $15
      SINGAPORE GASOIL AVERAGE PRICE OPTIONS (M2)
      $10
      $15
      SINGAPORE JET FUEL KEROSENE AVERAGE PRICE OPTIONS (N2)
      $10
       
      $15
      european 3.5% fuel oil rotterdam calendar swap AVERAGE PRICE OPTIONS (Q6)
      $100
      $105
      HEATING OIL CRACK SPREAD OPTIONS (CH)
      $25
      $30
      RBOB GASOLINE CRACK SPREAD OPTIONS (RX)
      $25
      $30
      GOLD OPTIONS (OG)
      $10
      $15
      SILVER OPTIONS (SO)
      $10
      $15
      COPPER OPTIONS (HX)
      $10
      $15
      PLATINUM OPTIONS (PO)
      $10
      $15
       
       
      * 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.    

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