• Performance Bond Requirements - NYMEX and COMEX Short Option Minimum (SOM) Methodology Modification - Effective Tuesday, November 29, 2010

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 10-480
      • Notice Date
      • 29 November 2010
      • Effective Date
      • 30 November 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 Tuesday, November 30, 2010.
        
      Current rates as of:
      Monday, November 29, 2010
       
      In this current advisory there are changes to the Short Option Minimum. 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 method for calculating SOM charge for the following NYMEX and COMEX products will change based on the following
       
       

       

       
      Current
      New
      SOM Charge Calculation
      Max (Short Calls, Short Puts) * SOM Rate
      (Short Calls + Short Puts) * SOM Rate
       
       
      This change will apply to the following NYMEX and COMEX products. Additionally, the following SOM rates will apply:
       

       

       
       

       

       

       

       

       

       

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