• Performance Bond Requirement Changes - Effective Monday, January 26, 2009

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 09-26
      • Notice Date
      • 22 January 2009
      • Effective Date
      • 26 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 performance bond requirements for the following products listed below. The rates are effective at the close of business on Monday, January 26th, 2009.
       
      SPAN PARAMETERS FOR FINANCIALLY SETTLED CALENDAR SPREAD OPTIONS CONTRACTS
       
       
      SPAN Parameters for WTI and Brent Crude Oil and Natural Gas Financially Settled Calendar Spread Options Contracts
      Commodity Name
      Option Trading Symbol
      Volatility Scan Range
      Volatility Weight Factor
      Extreme Move Value
      Extreme Move Coverage
      Short Option Minimum
      WTI Crude Oil 1 Month CSO
      7A
      $0.70
      0
      3
      0.33
      $30
      WTI Crude Oil 2 Month CSO
      7B
      $0.70
      0
      3
      0.33
      $30
      WTI Crude Oil 3 Month CSO
      7C
      $0.70
      0
      3
      0.33
      $30
      WTI Crude Oil 6 Month CSO
      7M
      $0.70
      0
      3
      0.33
      $30
      WTI Crude Oil 12 Month CSO
      7Z
      $0.70
      0
      3
      0.33
      $30
      Brent Crude Oil 1 Month CSO
      9C
      $0.70
      0
      3
      0.33
      $30
      Brent Crude Oil 2 Month CSO
      9B
      $0.70
      0
      3
      0.33
      $30
      Brent Crude Oil 3 Month CSO
      9D
      $0.70
      0
      3
      0.33
      $30
      Brent Crude Oil 6 Month CSO
      9L
      $0.70
      0
      3
      0.33
      $30
      Brent Crude Oil 12 Month CSO
      9Y
      $0.70
      0
      3
      0.33
      $30
      Natural Gas 1 Month CSO
      G4
      $0.07
      0
      3
      0.33
      $35
      Natural Gas 2 Month CSO
      G2
      $0.07
      0
      3
      0.33
      $35
      Natural Gas 3 Month CSO
      G3
      $0.07
      0
      3
      0.33
      $35
      Natural Gas 5 Month CSO
      G5
      $0.07
      0
      3
      0.33
      $35
      Natural Gas 6 Month CSO
      G6
      $0.07
      0
      3
      0.33
      $35
      Natural Gas 12 Month CSO
      G7
      $0.07
      0
      3
      0.33
      $35
       

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