• Performance Bond Requirements: Natural Gas Intraspread Charges; Energy, Metals, and Agriculture Volatility Scans - Effective Friday, April 1, 2011

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 11-117
      • Notice Date
      • 31 March 2011
      • Effective Date
      • 01 April 2011

      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 Notice 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 will be effective after the close of business on Friday, April 01, 2011.


      Current rates as of:


      Thursday, March 31, 2011.


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


      TIER CHANGES FOR Corn (CME-C) Note: The revisions are in bold.






      Oct 2011 – Mar 2011

      Greater than Oct 2011


      Greater than Mar 2011



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