Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers TO: FROM: CME Clearing SUBJECT:
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1 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, June 24, 2016 To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to 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 as of the intraday cycle on Monday, June 27, rates as of: Friday, June 24, 2016.
2 COAL - EASTERN RAIL DELIVERY CSX COAL FUT (QX) QX QX Spec Decrease USD 3,795 3,450 2,475 2,250 Mths 1 Hedge/Member Decrease USD 3,450 3,450 2,250 2,250 Mths 1 INDONESIAN COAL MLOSKEY SUBBIT. (M) M M Spec Decrease USD 4,400 4,000 2,750 2,500 Mth 1 Hedge/Member Decrease USD 4,000 4,000 2,500 2,500 Mth 1 EQUITY INDEX - $25 DOW JONES FUTURES (DO) DO DO Spec Increase USD 17,875 16,250 19,525 17,750 Hedge/Member Increase USD 16,250 16,250 17,750 17,750 $10 DOW JONES FUTURES (11) Spec Increase USD 7,150 6,500 7,810 7,100 Hedge/Member Increase USD 6,500 6,500 7,100 7,100 BTIC EMINI FTSE 100 INDEX FUTURE (FTT) FTT FTT Spec Increase USD 3,300 3,000 3,630 3,300 Hedge/Member Increase USD 3,000 3,000 3,300 3,300 BTIC EMINI RUSSELL1000 INDEX FUT (R1T) R1T R1T Spec Increase USD 2,420 2,200 2,640 2,400 Hedge/Member Increase USD 2,200 2,200 2,400 2,400 BTIC E-MINI S&P MIDCAP 400 FUT (EMT) EMT EMT Spec Increase USD 6,270 5,700 6,820 6,200 Hedge/Member Increase USD 5,700 5,700 6,200 6,200 BTIC ON E-MINI DJIA FUTURES (YMT) YMT YMT Spec Increase USD 3,575 3,250 3,905 3,550 Hedge/Member Increase USD 3,250 3,250 3,550 3,550 BTIC ON EMINI RUSSELL 1000 VALUE (RVT) RVT RVT Spec Increase USD 2,090 1,900 2,310 2,100 Hedge/Member Increase USD 1,900 1,900 2,100 2,100 CONSUMER STAPLES SECTOR TIC (XPT) XPT XPT Spec Increase USD 1,430 1,300 1,595 1,450 Hedge/Member Increase USD 1,300 1,300 1,450 1,450 E-MINI DJIA FUTURES MARKER (YMI) YMI YMI Spec Increase USD 3,575 3,250 3,905 3,550 Hedge/Member Increase USD 3,250 3,250 3,550 3,550 Page 2 of 8
3 E-MINI DOW JONES INDEX (YM) YM YM Spec Increase USD 3,575 3,250 3,905 3,550 Hedge/Member Increase USD 3,250 3,250 3,550 3,550 E-MINI FTSE 100 INDEX FUTURES (FT1) FT1 FT1 Spec Increase USD 3,300 3,000 3,630 3,300 Hedge/Member Increase USD 3,000 3,000 3,300 3,300 EMINI FTSE 100 VALUE SYN MARKER (FTI) FTI FTI Spec Increase USD 3,300 3,000 3,630 3,300 Hedge/Member Increase USD 3,000 3,000 3,300 3,300 EMINI MIDCAP FUTURES (ME) ME ME Spec Increase USD 6,270 5,700 6,820 6,200 Hedge/Member Increase USD 5,700 5,700 6,200 6,200 E-MINI NIKKEI 225 YEN DENOMINATED (ENY) ENY ENY Spec Increase JPY 102,300 93, , ,000 Hedge/Member Increase JPY 93,000 93, , ,000 EMINI RUSSELL 1000 INDEX FUTURES (RS1) RS1 RS1 Spec Increase USD 2,420 2,200 2,640 2,400 Hedge/Member Increase USD 2,200 2,200 2,400 2,400 EMINI RUSSELL 1000 VALUE (RSV) RSV RSV Spec Increase USD 2,090 1,900 2,310 2,100 Hedge/Member Increase USD 1,900 1,900 2,100 2,100 E-MINI S&P MIDCAP 400 SYNT MARKER (ETT) ETT ETT Spec Increase USD 6,270 5,700 6,820 6,200 Hedge/Member Increase USD 5,700 5,700 6,200 6,200 EMINI SP 500 CONS STAPLES SECTOR IX (XAP) XAP XAP Spec Increase USD 1,430 1,300 1,595 1,450 Hedge/Member Increase USD 1,300 1,300 1,450 1,450 EMINI SP500 - FINANCIAL SECT INDEX (XAF) XAF XAF Spec Increase USD 2,420 2,200 2,750 2,500 Hedge/Member Increase USD 2,200 2,200 2,500 2,500 EMINI SP500- HEALTH CARE SECT INDEX (XAV) XAV XAV Spec Increase USD 2,750 2,500 2,970 2,700 Hedge/Member Increase USD 2,500 2,500 2,700 2,700 Page 3 of 8
4 EMINI SP500 MATERIALS SECTOR INDEX (XAB) XAB XAB EMINI SP500-INDUSTRIAL SECTOR INDEX (XAI) XAI XAI NIKKEI 225 DOLLAR FUTURES (NK) NK NK Spec Increase USD 5,115 4,650 6,050 5,500 Hedge/Member Increase USD 4,650 4,650 5,500 5,500 NIKKEI 225 YEN FUT (N1) N1 N1 Spec Increase JPY 511, , , ,000 Hedge/Member Increase JPY 465, , , ,000 S&P 400 FUTURES (MD) MD MD Spec Increase USD 31,350 28,500 34,100 31,000 Hedge/Member Increase USD 28,500 28,500 31,000 31,000 SP CONS STAPLES SYNTHETIC (1PT) 1PT 1PT Spec Increase USD 1,430 1,300 1,595 1,450 Hedge/Member Increase USD 1,300 1,300 1,450 1,450 SP INDUSTRIAL SEL SECTOR SYNT (1IT) 1IT 1IT SP 500 FINANCIAL SECTOR TIC (XFT) XFT XFT Spec Increase USD 2,420 2,200 2,750 2,500 Hedge/Member Increase USD 2,200 2,200 2,500 2,500 SP 500 FINANCIAL SLCT SEC SYNT (1FT) 1FT 1FT Spec Increase USD 2,420 2,200 2,750 2,500 Hedge/Member Increase USD 2,200 2,200 2,500 2,500 SP 500 HEALTH CARE SECTOR SYNTHETIC (1VT) 1VT 1VT Spec Increase USD 2,750 2,500 2,970 2,700 Hedge/Member Increase USD 2,500 2,500 2,700 2,700 SP 500 HEALTH CARE SECTOR TIC (XVT) XVT XVT Spec Increase USD 2,750 2,500 2,970 2,700 Hedge/Member Increase USD 2,500 2,500 2,700 2,700 Page 4 of 8
5 SP 500 INDUSTTRIAL SECTOR TIC (XIT) XIT XIT SP 500 MATERIALS SEL SECTOR SYNTH (1BT) 1BT 1BT SP 500 MATERIALS SEL SECTOR TIC (XBT) XBT XBT Page 5 of 8
6 FX - AD/JY FUTURES (AJ) AJ AJ Spec Increase JPY 715, , , ,000 Hedge/Member Increase JPY 650, , , ,000 BPJY FUTURE (BY) BY BY Spec Increase JPY 825, , , ,000 Hedge/Member Increase JPY 750, , , ,000 BRITISH POUND FUTURES (BP) BP BP Spec Increase USD 2,805 2,550 3,960 3,600 Hedge/Member Increase USD 2,550 2,550 3,600 3,600 E-MICRO EUR/USD FUTURES (M6E) M6E M6E Spec Increase USD Hedge/Member Increase USD E-MICRO GBP/USD FUTURES (M6B) M6B M6B Spec Increase USD Hedge/Member Increase USD E-MICRO JPY/USD (MJY) MJY MJY Spec Increase USD Hedge/Member Increase USD E-MINI EURO FX FUTURE (E7) E7 E7 Spec Increase USD 1,843 1,675 2,021 1,838 Hedge/Member Increase USD 1,675 1,675 1,838 1,838 E-MINI J-YEN FUTURE (J7) J7 J7 Spec Increase USD 1,623 1,475 2,008 1,825 Hedge/Member Increase USD 1,475 1,475 1,825 1,825 EURO FUTURE (EC) EC EC Spec Increase USD 3,685 3,350 4,043 3,675 Hedge/Member Increase USD 3,350 3,350 3,675 3,675 EURO FX/BP FUTURE (RP) RP RP Spec Increase GBP 3,300 3,000 3,933 3,575 Hedge/Member Increase GBP 3,000 3,000 3,575 3,575 JAPANESE YEN FUTURES (JY) JY JY Spec Increase USD 3,245 2,950 4,015 3,650 Hedge/Member Increase USD 2,950 2,950 3,650 3,650 Page 6 of 8
7 SKR/USD CROSS RATE FUTURES (SE) SE SE Spec Increase USD 6,600 6,000 7,150 6,500 Hedge/Member Increase USD 6,000 6,000 6,500 6,500 INTEREST RATES - 10Y TREASURY NOTE FUTURES (21) Spec Increase USD 1,375 1,250 1,485 1,350 Hedge/Member Increase USD 1,250 1,250 1,350 1,350 2 YEAR TREASURY NOTE FUTURES (26) Spec Increase USD Mnth 1 Hedge/Member Increase USD Mnth 1 Spec Mnths 2+ Increase USD Hedge/Member Increase USD Mnths DAY FED FUND FUTURES () Spec Increase USD Month 1 Hedge/Member Increase USD Month 1 Spec Months 2-4 Increase USD Hedge/Member Increase USD Months 2-4 Spec Increase USD Months 5-10 Hedge/Member Increase USD Months 5-10 Spec Months Increase USD Hedge/Member Increase USD Months Spec Increase USD Months 16+ Hedge/Member Months 16+ Increase USD YR U.S. TREASURY BOND FUTURES (17) Spec Month 1 Increase USD 4,015 3,650 4,125 3,750 Hedge/Member Increase USD 3,650 3,650 3,750 3,750 Month 1 Spec Increase USD 4,015 3,650 4,125 3,750 Month 2+ Hedge/Member Increase USD 3,650 3,650 3,750 3,750 Month 2+ 5 YR TREASURY NOTE FUTURES (25) Spec Increase USD Hedge/Member Increase USD LONG TERM U.S. TREASURY BOND FUTURE (UBE) UBE UBE Spec Increase USD 4,840 4,400 5,060 4,600 Hedge/Member Increase USD 4,400 4,400 4,600 4,600 ULTRA 10-YEAR U S TREASURY NOTE FUT (TN) TN TN Spec Increase USD 1,870 1,700 1,980 1,800 Hedge/Member Increase USD 1,700 1,700 1,800 1,800 Page 7 of 8
8 Ratio Inter-commodity Spread Rates COAL - Inter-commodity Spread Rates ALUMINUM FUTURES (CX-ALI - CME) vs COAL (API 2) CIF ARA (ARGUS/MLOSKEY) SWAP FUTURESS (NY-MTF - CME) Spread Credit Rate Decrease +1:-1 30% 30% 20% 20% METALS - Inter-commodity Spread Rates ALUMINUM FUTURES (CX-ALI - CME) vs COAL (API 2) CIF ARA (ARGUS/MLOSKEY) SWAP FUTURESS (NY-MTF - CME) Spread Credit Rate Decrease +1:-1 30% 30% 20% 20% Page 8 of 8
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, February 06, 2018 To receive advanced notification
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
ADV: TO: CH ADV 16-237 Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Monday, June 20, 2016 To receive
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
18-071 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements TE: Thursday, February 15, 2018 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
19-007 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, January 04, 2019 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
16-092 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, February 25, 2016 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, May 31, 2017 To receive advanced notification
UPDATED: Performance Bond Requirements
10-100 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: UPDATED: Performance Bond Requirements DATE: Tuesday, March 09, 2010 To receive
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, March 29, 2018 To receive advanced notification
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing. Performance Bond Requirements
15-030 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, January 29, 2015 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
18-431 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, October 30, 2018 To receive advanced
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, October 11, 2018 To receive advanced notification
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
14-348 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, September 04, 2014 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
15-103 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, April 09, 2015 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
17-355 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements TE: Thursday, September 14, 2017 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
17-474 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, December 07, 2017 To receive advanced
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18-362 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, September 11, 2018 To receive advanced
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09-267 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Monday, June 22, 2009 To receive advanced
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CH-ADV-17-454 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Monday, November 27, 2017 To receive
The rates will be effective after the close of business on Friday, March 09, 2012.
12-106 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, March 09, 2012 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, June 16, 2017 To receive advanced notification
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
17-399 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, October 12, 2017 To receive advanced
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing. Performance Bond Requirements
11-407 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, November 09, 2011 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
10-241 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Friday, June 04, 2010 To receive advanced
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16-052 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, January 27, 2016 To receive advanced
CME Exchange ADV Report - Monthly July 2018 Page 1 of 6
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CME Exchange Open Interest Report - Monthly
CME Exchange Report - Monthly Interest Rate Futures 1-MONTH EURODOLLAR 201 2,881-93.0% 353-43.1% EURODOLLARS 14,045,418 12,672,724 10.8% 14,239,640-1.4% SOFR 33,538 0-30,181 11.1% Interest Rate Options
The rates will be effective after the close of business on Saturday, January 22, 2011.
11-22 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, January 20, 2011 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
17-503 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, December 20, 2017 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
CH Advisory 15-439 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, December 17, 2015 To
CME Exchange Volume Report - Monthly
Interest Rate Futures 1-MONTH EURODOLLAR 1,282 8,012-84.0% 5,552-76.9% 14,511 15,993-9.3% EURODOLLARS 54,086,440 51,369,120 5.3% 87,329,250-38.1% 301,761,099 243,992,551 23.7% Interest Rate Options EURODOLLARS
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
17-423 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, November 09, 2017 To receive advanced
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SUBJECT: Performance Bond Requirements Effective Wednesday, September 24 th, 2008
TO: FROM: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers CME Clearing SUBJECT: Performance Bond Requirements Effective Wednesday, September 24 th, 2008 DATE: To receive
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TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: C Clearing SUBJECT: CH Adv 15-221: Performance Bond Requirements DATE: Thursday, July 30, 2015 To receive advanced
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, February 09, 2017 To receive advanced notification
The rates will be effective after the close of business on Friday, December 17, 2010.
10-507 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, December 16, 2010 To receive advanced
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers. CME Clearing FROM: SUBJECT:
10-415 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, September 30, 2010 To receive advanced
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To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
14-494 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Friday, December 19, 2014 To receive advanced
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#17-511 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, December 21, 2017 To receive advanced
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11-96 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Thursday, March 17, 2011 To receive advanced
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