• Performance Bond Requirements-Effective Monday, August 24, 2009-CME Energy Options Vol Scan Rates

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 09-362
      • Notice Date
      • 21 August 2009
      • Effective Date
      • 24 August 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 changes are effective with the launch of the products on Monday, August 24, 2009.
       
      CME Energy Options Vol Scan Rates
      NYISO Zone A 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option (NYM-9T)
       
       
      New
      Rate Type
      Change
      Initial
      Vol Scan Range
      New
      2.50%
      NYISO Zone G 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option (NYM-9U)
       
       
      New
      Rate Type
      Change
      Initial
      Vol Scan Range
      New
      2.50%
      NYISO Zone J 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option (NYM-9V)
       
       
      New
      Rate Type
      Change
      Initial
      Vol Scan Range
      New
      2.50%
       
       
      CME Energy Options Vol Scan Rates
      NYISO Zone A 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option (NYM-9T)
       
       
      New
      Rate Type
      Change
      Initial
      Short Option Minimum
      New
      $30
      NYISO Zone G 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option (NYM-9U)
       
       
      New
      Rate Type
      Change
      Initial
      Short Option Minimum
      New
      $30
      NYISO Zone J 5 MW Peak Calendar-Month Day-Ahead LBMP Swap Option (NYM-9V)
       
       
      New
      Rate Type
      Change
      Initial
      Short Option Minimum
      New
      $30
       

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