• Performance Bond Requirements- New Nymex Coal and Petroleum Products - Effective Saturday, September 11, 2010

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 10-382
      • Notice Date
      • 08 September 2010
      • Effective Date
      • 11 September 2010
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      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 will be effective after the close of business on


      Saturday, September 11, 2010.


      Current rates as of:


      Friday, September 10, 2010.


      In this current advisory there are changes to the Short Option Minimum and/or the Volatility Scan Range.  Below are descriptions of what each change affects:


      The Short Option Minimum (SOM) is a charge that is applied only to portfolios concentrated in short options that do not generate a minimum margin requirement level when margins are calculated using the normal 16 SPAN scenarios. The SOM charge per short calls or short puts is a percentage of the outright margin on one underlying futures contract.


      The volatility scan range is the change in implied volatility that is used in each of SPAN’s 16 scenarios.


      For the products listed below, the erosion of current month margin rates will follow a square root of time method.


      Price Scan * SQRT (Calendar Days Remaining/Total Calendar Days in the Month)


      Code                                                                                            Description

      NY-MFF                               COAL (API 4) FOB RICHARDS BAY (ARGUS/MCCLOSKEY) SWAP FUTURES

      NY-MTF                               COAL (API 2) CIF ARA (ARGUS/MCCLOSKEY) SWAP FUTURES

      For the full text of this advisory, please click here.