UPDATED: Performance Bond Requirements
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- Jasmin Thornton
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1 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 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 after the close of business on Tuesday, March 9, 2010.
2 CME CURRENCY FUTURES - AD/CD FUTURES (AC) AC AC Spec Decrease CAD 7,425 5,500 4,050 3,000 Hedge/Member Decrease CAD 5,500 5,500 3,000 3,000 AD/JY FUTURES (AJ) AJ AJ Spec Decrease JPY 1,350,000 1,000, , ,000 Hedge/Member Decrease JPY 1,000,000 1,000, , ,000 AD/NE CROSS RATE FUTURES (AN) AN AN Spec Decrease NZD 6,750 5,000 4,050 3,000 Hedge/Member Decrease NZD 5,000 5,000 3,000 3,000 AFRICAN RAND FUTURES (RA) RA RA Spec Decrease USD 4,050 3,000 2,700 2,000 Hedge/Member Decrease USD 3,000 3,000 2,000 2,000 AUSTRALIAN DOLLAR FUTURES (AD) AD AD Spec Decrease USD 3,375 2,500 2,430 1,800 Hedge/Member Decrease USD 2,500 2,500 1,800 1,800 BPJY FUTURE (BY) BY BY Spec Decrease JPY 1,350,000 1,000, , ,000 Hedge/Member Decrease JPY 1,000,000 1,000, , ,000 BPSF FUTURE (BF) BF BF Spec Decrease CHF 6,750 5,000 4,050 3,000 Hedge/Member Decrease CHF 5,000 5,000 3,000 3,000 BRITISH POUND FUTURES (BP) BP BP Spec Decrease USD 2,700 2,000 2,160 1,600 Hedge/Member Decrease USD 2,000 2,000 1,600 1,600 CANADIAN DOLLAR FUTURES (CD) CD CD Spec Decrease USD 2,430 1,800 2,025 1,500 Hedge/Member Decrease USD 1,800 1,800 1,500 1,500 CD/JY FUTURES (CY) CY CY Spec Decrease JPY 1,147, , , ,000 Hedge/Member Decrease JPY 850, , , ,000 CZECH KORUNA FUTURES (CZ) CZ CZ Spec Decrease USD 9,450 7,000 6,750 5,000 Hedge/Member Decrease USD 7,000 7,000 5,000 5,000 CZECH KORUNA/EURO FX FUTURES (K) K Spec Decrease EUR 5,400 4,000 4,050 3,000 3/9/2010 Page 2 of 6
3 K Hedge/Member Decrease EUR 4,000 4,000 3,000 3,000 EC/AD CROSS RATE FUTURES (CA) CA CA Spec Decrease AUD 8,775 6,500 5,400 4,000 Hedge/Member Decrease AUD 6,500 6,500 4,000 4,000 EC/CD CROSS RATE FUTURE () Spec Decrease CAD 4,725 3,500 4,050 3,000 Hedge/Member Decrease CAD 3,500 3,500 3,000 3,000 EC/NKR FUTURES (CN) CN CN Spec Decrease NOK 45,900 34,000 27,000 20,000 Hedge/Member Decrease NOK 34,000 34,000 20,000 20,000 EC/SKR CROSS RATE FUTURES (KE) KE KE Spec Decrease SEK 45,900 34,000 27,000 20,000 Hedge/Member Decrease SEK 34,000 34,000 20,000 20,000 E-MICRO AUD/USD FUTURES (M6A) M6A M6A Spec Decrease USD Hedge/Member Decrease USD E-MICRO EUR/USD FUTURES (M6E) M6E M6E Spec Decrease USD Hedge/Member Decrease USD E-MICRO GBP/USD FUTURES (M6B) M6B M6B Spec Decrease USD Hedge/Member Decrease USD E-MINI EURO FX FUTURE (E7) E7 E7 Spec Decrease USD 2,025 1,500 1,688 1,250 Hedge/Member Decrease USD 1,500 1,500 1,250 1,250 E-MINI J-YEN FUTURE (J7) J7 J7 Spec Decrease USD 2,025 1,500 1,890 1,400 Hedge/Member Decrease USD 1,500 1,500 1,400 1,400 EURO FUTURE (EC) EC EC Spec Decrease USD 4,050 3,000 3,375 2,500 Hedge/Member Decrease USD 3,000 3,000 2,500 2,500 EURO FX/BP FUTURE (RP) RP RP Spec Decrease GBP 3,375 2,500 1,890 1,400 Hedge/Member Decrease GBP 2,500 2,500 1,400 1,400 EURO FX/JY FUTURE (RY) RY RY Spec Decrease JPY 810, , , ,000 Hedge/Member Decrease JPY 600, , , ,000 Page 3 of 6
4 EURO/TURKISH LIRA FUTURES (TRE) TRE TRE Spec Decrease TRY 33,750 25,000 13,500 10,000 Hedge/Member Decrease TRY 25,000 25,000 10,000 10,000 EURO\RENMINBI FUTURE (E) Spec Decrease EUR 4,050 3,000 2,025 1,500 Hedge/Member Decrease EUR 3,000 3,000 1,500 1,500 HUNGARIAN FORINT (USD) FUTURES (FR) FR FR Spec Decrease USD 8,100 6,000 6,075 4,500 Hedge/Member Decrease USD 6,000 6,000 4,500 4,500 HUNGARIAN FORINT/ EURO FX FUTURES (R) R R Spec Decrease EUR 4,050 3,000 2,700 2,000 Hedge/Member Decrease EUR 3,000 3,000 2,000 2,000 ISRAELI SHEKEL FUTURES (IS) IS IS Spec Decrease USD 8,100 6,000 5,400 4,000 Hedge/Member Decrease USD 6,000 6,000 4,000 4,000 JAPANESE YEN FUTURES (JY) JY JY Spec Decrease USD 4,050 3,000 3,780 2,800 Hedge/Member Decrease USD 3,000 3,000 2,800 2,800 JAPANESE YEN\RENMINBI FUTURE (Y) Spec Decrease JPY 675, , , ,000 Hedge/Member Decrease JPY 500, , , ,000 KOREAN WON\U.S. DOLLAR FUTURE (KRW) KR KR Spec Decrease USD 6,075 4,500 4,725 3,500 Hedge/Member Decrease USD 4,500 4,500 3,500 3,500 POLISH ZLOTY FUTURES (PZ) PZ PZ Spec Decrease USD 9,450 7,000 6,750 5,000 Hedge/Member Decrease USD 7,000 7,000 5,000 5,000 POLISH ZLOTY/EURO FX FUTURES (Z) Z Z Spec Decrease EUR 6,750 5,000 4,050 3,000 Hedge/Member Decrease EUR 5,000 5,000 3,000 3,000 SFJY FUTURES (SJ) SJ SJ Spec Decrease JPY 1,012, , , ,000 Hedge/Member Decrease JPY 750, , , ,000 SWISS FRANC FUTURES (SF) SF SF Spec Decrease USD 3,713 2,750 2,700 2,000 Hedge/Member Decrease USD 2,750 2,750 2,000 2,000 Page 4 of 6
5 U.S. DOLLAR TURKISH LIRA FUTURES (TRY) TRY TRY Spec Decrease TRY 42,188 31,250 20,250 15,000 Hedge/Member Decrease TRY 31,250 31,250 15,000 15,000 U.S. DOLLAR\RENMINBI FUTURES (B) Spec Decrease USD 1, , Hedge/Member Decrease USD Page 5 of 6
6 Inter-commodity Spread Rates Ratio CME CURRENCY FUTURES - Inter-commodity Spread Rates CROSS RATE BRITISH POUND/JAPANESE YEN (BY - CME) vs. CROSS RATE EURO FX/BRITISH POUND (RP - CME) (Long/Long) Spread Credit Rate +1:+1 70% 70% CROSS RATE BRITISH POUND/JAPANESE YEN (BY - CME) vs. CROSS RATE EURO FX/JAPANESE YEN (RY - CME) Spread Credit Rate +1:-1 70% 70% CROSS RATE EURO FX/BRITISH POUND (RP - CME) vs. CROSS RATE EURO FX/JAPANESE YEN (RY - CME) Spread Credit Rate +1:-1 70% 70% Page 6 of 6
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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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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
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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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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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
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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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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Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers TO: FROM: CME Clearing SUBJECT:
16-247 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
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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
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