multi-trillion plan to save the eurozone , page-27

tazmac,

I think that the margin hike has been on the cards since early August.

If you look at a recent chart you will notice that daily ranges (a good indicator of volatility) started to increase in early August - about the time of the S&P downgrade - and that has continued to increase til now.

CME use a proprietry system called SPAN to calculate these margins. SPAN parameters are calculated using a time series of recent close to close price observations. CME does not change the margin daily, but waits for changing market conditions to become established. With each additional day of higher volatility and greated potential loss in the event of clearing member default, they would have considered increasing the margin. Eventually on one of two things has happened:
(a) A scheduled (monthly) review comes around, or
(b) Between scheduled reviews the CME risk managers judge that volatility has increased to a point CME was undercolateralised, and review the margins.

Almost certainly, some of the price observations included in that calculation were drawn from a period when the price of gold was rising!

If you go onto the CME website, you can find explanations of the methodolgy.



Sorry for the long winded account, but I did some BA work on such systems in the past and have looked "under the hood".