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1 ADV: TO: CH ADV 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 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, June 21, rates as of: Monday, June 20, 2016.
2 CC Intra Spreads Description ISO EQUITY INDEX - Intra Spreads (CONSUMER STAPLES SECTOR TIC) XPT XPT Spec Increase USD Hedge/Member Increase USD (EMINI SP 500 CONS STAPLES SECTOR IX) XAP XAP Spec Increase USD Hedge/Member Increase USD (EMINI SP500- HEALTH CARE SECT INDEX) XAV XAV Spec Increase USD Hedge/Member Increase USD (SP CONS STAPLES SYNTHETIC) 1PT 1PT Spec Increase USD Hedge/Member Increase USD (SP 500 HEALTH CARE SECTOR SYNTHETIC) 1VT 1VT Spec Increase USD Hedge/Member Increase USD (SP 500 HEALTH CARE SECTOR TIC) XVT XVT Spec Increase USD Hedge/Member Increase USD All Months (BTIC EMINI RUSSELL 1000 GROWTH FUT) RGT RGT All Months (BTIC EMINI RUSSELL1000 INDEX FUT) R1T R1T Spec Increase USD Hedge/Member Increase USD All Months (BTIC ON EMINI RUSSELL 1000 VALUE) RVT RVT All Months (EMINI RUSSELL 1000 GROWTH FUT) RSG RSG All Months (EMINI RUSSELL 1000 INDEX FUTURES) RS1 RS1 Spec Increase USD Hedge/Member Increase USD All Months (EMINI RUSSELL 1000 VALUE) Page 2 of 7
3 CC Intra Spreads Description ISO RSV RSV Dow Jones (CBOT) (11) - All Months ($10DOW JONES FUTURES) Spec Increase USD Hedge/Member Increase USD Dow Jones (CBOT) (11) - All Months () DO DO Spec Increase USD 1, ,513 1,375 Hedge/Member Increase USD ,375 1,375 Dow Jones (CBOT) (11) - All Months (BTIC ON E-MINI DJIA FUTURES) YMT YMT Spec Increase USD Hedge/Member Increase USD Dow Jones (CBOT) (11) - All Months (E-MINI DJIA FUTURES MARKER) YMI YMI Spec Increase USD Hedge/Member Increase USD Dow Jones (CBOT) (11) - All Months (E-MINI DOW JONES INDEX) YM YM Spec Increase USD Hedge/Member Increase USD Page 3 of 7
4 CRUDE OIL -. BRENT (ICE) CALENDAR SWAP FUTURES (NY-CY - CME) vs EUROPEAN GASOIL BULLET SWAP FUTURES (NY-BG - CME).. BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY) vs EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX - CME) BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY) vs SINGAPORE GASOIL SWAP (NYM-SG - CME) BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY) vs SINGAPORE JET KEROSENE SWAP (NYM-KS - CME) BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs EUROPEAN GASOIL (ICE) SWAP FUTURES BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs EUROPEAN GASOIL BULLET SWAP Spread Credit Rate Increase +15:-2 60% 60% 75% 75% BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES Page 4 of 7
5 BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs SINGAPORE JET KEROSENE (PLATTS) SWAP BRENT CRUDE OIL PENULTIMATE FINANCIAL FUTURES (NY-BB - CME) vs EUROPEAN GASOIL BULLET SWAP Spread Credit Rate Increase +15:-2 60% 60% 75% 75% CRUDE OIL FINANCIAL FUTURES (NY-WS - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-26 - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES DUBAI CRUDE OIL (PLATTS) CALENDAR SWAP FUTURES (NY-DC - CME) vs JAPAN C&F NAPHTHA (PLATTS) SWAP FUTURES (NY-JA - CME) DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - CME) vs JAPAN C&F NAPHTHA (PLATTS) SWAP (NYM-JA - CME) DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - CME) vs SINGAPORE JET KEROSENE SWAP (NYM-KS - CME) LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs SINGAPORE GASOIL SWAP (NYM-SG - CME) WTI CALENDAR SWAP FUTURES (NY-CS - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES WTI CALENDAR SWAP FUTURES (NY-CS - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES. Page 5 of 7
6 REFINED PRODUCTS -. BRENT (ICE) CALENDAR SWAP FUTURES (NY-CY - CME) vs EUROPEAN GASOIL BULLET SWAP FUTURES (NY-BG - CME).. BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY) vs EUROPEAN GASOIL (ICE) CALENDAR SWAP (NYM-GX - CME) BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY) vs SINGAPORE GASOIL SWAP (NYM-SG - CME) BRENT CRUDE OIL BULLET SWAP FINANCIAL (NYM-BB, BZ, CY) vs SINGAPORE JET KEROSENE SWAP (NYM-KS - CME) BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs EUROPEAN GASOIL (ICE) SWAP FUTURES BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs EUROPEAN GASOIL BULLET SWAP Spread Credit Rate Increase +15:-2 60% 60% 75% 75% Page 6 of 7
7 SPAN MINIMUM PERFORMANCE BOND REQUIREMENTS BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs SINGAPORE JET KEROSENE (PLATTS) SWAP BRENT CRUDE OIL PENULTIMATE FINANCIAL FUTURES (NY-BB - CME) vs EUROPEAN GASOIL BULLET SWAP Spread Credit Rate Increase +15:-2 60% 60% 75% 75% CRUDE OIL FINANCIAL FUTURES (NY-WS - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-26 - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES DUBAI CRUDE OIL (PLATTS) CALENDAR SWAP FUTURES (NY-DC - CME) vs JAPAN C&F NAPHTHA (PLATTS) SWAP FUTURES (NY-JA - CME) DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - CME) vs JAPAN C&F NAPHTHA (PLATTS) SWAP (NYM-JA - CME) DUBAI CRUDE OIL CALENDAR SWAP (NYM-DC - CME) vs SINGAPORE JET KEROSENE SWAP (NYM-KS - CME) LIGHT, SWEET CRUDE OIL FUTURES (NYM-CL, CS, WS) vs SINGAPORE GASOIL SWAP (NYM-SG - CME) WTI CALENDAR SWAP FUTURES (NY-CS - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES WTI CALENDAR SWAP FUTURES (NY-CS - CME) vs SINGAPORE GASOIL (PLATTS) SWAP FUTURES. Page 7 of 7
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 SUBJECT: Performance Bond Requirements DATE: Tuesday, February 06, 2018 To receive advanced notification
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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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
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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
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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
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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: Thursday, October 11, 2018 To receive advanced notification
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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
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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
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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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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
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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
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
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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
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
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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
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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
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
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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, March 29, 2018 To receive advanced notification
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
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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
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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
This change will apply to the following NYMEX and COMEX products. Additionally, the following SOM rates will apply:
10-480 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements: DATE: Monday, November 29, 2010 To receive advanced
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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
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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
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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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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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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
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
Monthly Stock Index Review
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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
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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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To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to
#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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14-007 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Wednesday, January 08, 2014 To receive advanced
Monthly Energy Review
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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
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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
Monthly Stock Index Review
EQUITY October 2011 Monthly Stock Index Review A Global Trading Summary of Stock Index Futures and Options» Highlights» Stats At-a-Glance» ADVs» 20-Day Historical Volatilities» Index Sector Weightings»
TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing. Performance Bond Requirements
12-362 TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Thursday, August 23, 2012 To receive advanced
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