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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: Thursday, February 25, 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 Friday, February 26, rates as of: Thursday, February 25, The advisory includes changes to certain products splitting methodology from Split to Modified Split. The specific products can be found on the last page of the advisory. Please refer to Advisory # for more detail regarding the Modified Split methodology.
2 Outright Rates AGRICULTURE - Outright Rates SOYBEAN CRUSH COMBO (31) Spec Old Crop Decrease USD 12,486 11,351 10,550 9,591 Hedge/Member Old Crop Decrease USD 11,351 11,351 9,591 9,591 Spec Crop Decrease USD 12,486 11,351 10,550 9,591 Hedge/Member Crop Decrease USD 11,351 11,351 9,591 9,591 SUGAR 11 FUTURES NYMEX (YO) YO YO Spec Increase USD 1,100 1,000 1,320 1,200 Hedge/Member Increase USD 1,000 1,000 1,200 1,200 CRUDE OIL - Outright Rates LOOP CRUDE OIL STORAGE FUTURES () Spec Mth 1 Increase USD Hedge/Member Mth 1 Increase USD Spec Mths 2-3 Increase USD Hedge/Member Mths 2-3 Increase USD Spec Mths 4+ Increase USD Hedge/Member Mths 4+ Increase USD E-MINI NIKKEI 225 YEN DENOMINATED (ENY) EQUITY INDEX - Outright Rates ENY ENY Spec Increase JPY 110, , , ,000 Hedge/Member Increase JPY 100, , , ,000 NIKKEI 225 DOLLAR FUTURES (NK) NK NK Spec Increase USD 5,500 5,000 6,050 5,500 Hedge/Member Increase USD 5,000 5,000 5,500 5,500 NIKKEI 225 YEN FUT (N1) N1 N1 Spec Increase JPY 550, , , ,000 Hedge/Member Increase JPY 500, , , ,000 Page 2 of 8
3 Outright Rates FX - Outright Rates BRITISH POUND FUTURES (BP) BP BP Spec Increase USD 2,035 1,850 2,255 2,050 Hedge/Member Increase USD 1,850 1,850 2,050 2,050 E-MICRO GBP/USD FUTURES (M6B) M6B M6B Spec Increase USD Hedge/Member Increase USD EURO FX/BP FUTURE (RP) RP RP Spec Increase GBP 2,310 2,100 2,640 2,400 Hedge/Member Increase GBP 2,100 2,100 2,400 2,400 Page 3 of 8
4 Outright Rates METALS - Outright Rates 10 TROY OZ GOLD FUTURES (M) M M M M M M M M M M Spec Mths 1-4 Increase USD Hedge/Member Mths 1-4 Increase USD Spec Mths 5-6 Increase USD Hedge/Member Mths 5-6 Increase USD Spec Mths 7-12 Increase USD Hedge/Member Mths 7-12 Increase USD Spec Mths Increase USD Hedge/Member Mths Increase USD Spec Mths 17+ Increase USD Hedge/Member Mths 17+ Increase USD COMEX 100 GOLD FUTURES () Spec Mths 1-4 Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths 1-4 Increase USD 4,250 4,250 4,500 4,500 Spec Mths 5-6 Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths 5-6 Increase USD 4,250 4,250 4,500 4,500 Spec Mths 7-12 Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths 7-12 Increase USD 4,250 4,250 4,500 4,500 Spec Mths Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths Increase USD 4,250 4,250 4,500 4,500 Spec Mths 17+ Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths 17+ Increase USD 4,250 4,250 4,500 4,500 COMEX 100 GOLD TRADE AT SETTLEMENT (T) T T T T T T T T T T Spec Mths 1-4 Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths 1-4 Increase USD 4,250 4,250 4,500 4,500 Spec Mths 5-6 Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths 5-6 Increase USD 4,250 4,250 4,500 4,500 Spec Mths 7-12 Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths 7-12 Increase USD 4,250 4,250 4,500 4,500 Spec Mths Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths Increase USD 4,250 4,250 4,500 4,500 Spec Mths 17+ Increase USD 4,675 4,250 4,950 4,500 Hedge/Member Mths 17+ Increase USD 4,250 4,250 4,500 4,500 Page 4 of 8
5 Outright Rates E-MINI GOLD FUTURES () Spec Mths 1-4 Increase USD 2,338 2,125 2,475 2,250 Hedge/Member Mths 1-4 Increase USD 2,125 2,125 2,250 2,250 Spec Mths 5-6 Increase USD 2,338 2,125 2,475 2,250 Hedge/Member Mths 5-6 Increase USD 2,125 2,125 2,250 2,250 Spec Mths 7-12 Increase USD 2,338 2,125 2,475 2,250 Hedge/Member Mths 7-12 Increase USD 2,125 2,125 2,250 2,250 Spec Mths Increase USD 2,338 2,125 2,475 2,250 Hedge/Member Mths Increase USD 2,125 2,125 2,250 2,250 Spec Mths 17+ Increase USD 2,338 2,125 2,475 2,250 Hedge/Member Mths 17+ Increase USD 2,125 2,125 2,250 2,250 PLATINUM FUTURES NYMEX (PL) PL PL PL PL Spec Mths 1 Increase USD 2,090 1,900 2,310 2,100 Hedge/Member Mths 1 Increase USD 1,900 1,900 2,100 2,100 Spec Mths 2+ Increase USD 2,090 1,900 2,310 2,100 Hedge/Member Mths 2+ Increase USD 1,900 1,900 2,100 2,100 Page 5 of 8
6 Intra Spreads Lean Hogs () - Tier 1 vs Tier 1 (LEAN HOG FUTURES) AGRICULTURE - Intra Spreads Spec Decrease USD 1,320 1,200 1, Hedge/Member Decrease USD 1,200 1, Lean Hogs () - Tier 1 vs Tier 1 (LEAN HOGS TRADE AT SETTLE) Spec Decrease USD 1,320 1,200 1, Hedge/Member Decrease USD 1,200 1, Lean Hogs () - Tier 1 vs Tier 2 (LEAN HOG FUTURES) Spec Decrease USD 1,540 1,400 1,210 1,100 Hedge/Member Decrease USD 1,400 1,400 1,100 1,100 Lean Hogs () - Tier 1 vs Tier 2 (LEAN HOGS TRADE AT SETTLE) Spec Decrease USD 1,540 1,400 1,210 1,100 Hedge/Member Decrease USD 1,400 1,400 1,100 1,100 Lean Hogs () - Tier 2 vs Tier 2 (LEAN HOG FUTURES) Spec Decrease USD 1,430 1,300 1,100 1,000 Hedge/Member Decrease USD 1,300 1,300 1,000 1,000 Lean Hogs () - Tier 2 vs Tier 2 (LEAN HOGS TRADE AT SETTLE) Spec Decrease USD 1,430 1,300 1,100 1,000 Hedge/Member Decrease USD 1,300 1,300 1,000 1,000 NYMEX Cotton - All Months (NYMEX COTTON) TT TT Spec Increase USD Hedge/Member Increase USD All Months (LOOP CRUDE OIL STORAGE FUTURES) CRUDE OIL - Intra Spreads Spec Increase USD Hedge/Member Increase USD Page 6 of 8
7 Intra Spreads FX - Intra Spreads British Pound (BP) - Contracts 1-4 vs. 1-4 (BRITISH POUND FUTURES) BP BP Spec Increase USD Hedge/Member Increase USD British Pound (BP) - Contracts 1-4 vs. 1-4 (E-MICRO GBP/USD FUTURES) M6B M6B Spec Increase USD Hedge/Member Increase USD Euro FX (EC) - Contracts 1-4 vs. 1-4 (E-MICRO EUR/USD FUTURES) M6E M6E Spec Increase USD Hedge/Member Increase USD Euro FX (EC) - Contracts 1-4 vs. 1-4 (E-MINI EURO FX FUTURE) E7 E7 Spec Increase USD Hedge/Member Increase USD Euro FX (EC) - Contracts 1-4 vs. 1-4 (EURO FUTURE) EC EC Spec Increase USD Hedge/Member Increase USD Japanese Yen (JY) - Contract 1-4 vs. 5-8 (E-MICRO JPY/USD) MJY MJY Spec Increase USD Hedge/Member Increase USD Japanese Yen (JY) - Contract 1-4 vs. 5-8 (E-MINI J-YEN FUTURE) J7 J7 Spec Increase USD Hedge/Member Increase USD Japanese Yen (JY) - Contract 1-4 vs. 5-8 (JAPANESE YEN FUTURES) JY JY Spec Increase USD Hedge/Member Increase USD Mexican Peso (MP) - All Months (MEXICAN PESO FUTURES) MP MP Spec Decrease USD Hedge/Member Decrease USD Swiss Franc (SF) - Contracts 1-4 vs. 1-4 (E-MICRO CHF/USD FUTURES) MSF MSF Spec Decrease USD Hedge/Member Decrease USD Swiss Franc (SF) - Contracts 1-4 vs. 1-4 (SWISS FRANC FUTURES) SF SF Spec Decrease USD Hedge/Member Decrease USD Page 7 of 8
8 Intra Spreads METALS - Intra Spreads Aluminum MW US Transaction Premium Platts (25MT) Swap Futures - All Months (ALUMINUM MW TRANS PREM PLATTS SWAPS) AUP AUP Spec Increase USD Hedge/Member Increase USD Inter-commodity Spread Rates Ratio NATURAL GAS - Inter-commodity Spread Rates HOUSTON SHIP CHANNEL BASIS SWAP (PLATTS IFERC) FUTURES (NY-NH - CME) vs NGPL TEXOK BASIS SWAP (PLATTS IFERC) FUTURES (NY-PD - CME) Spread Credit Rate Decrease +1:-1 50% 50% 30% 30% NGL/PETROCHEMICALS - Inter-commodity Spread Rates PROPANE NON-LDH MONT BELVIEU (OPIS) SWAP FUTURES (NY-1R - CME) vs CONWAY NORMAL BUTANE (OPIS) SWAP FUTURES (NY-8M - CME) Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% Splitting Methodology Name Splitting Splitting 6OA PJM WEST HUB REAL-TIME PK 5 MW OPT Split Modified Split 6J NATURAL GAS OPTIONS CAL FUT STRP Split Modified Split FZ HEATING OIL 12 MONTH CSO Split Modified Split AC BRENT 3 MONTHS CALENDAR OPTIONS Split Modified Split G4 NATURAL GAS 1 M CSO FIN Split Modified Split G2 NATURAL GAS 2 M CSO FIN Split Modified Split FA NY HARBOR ULSD 1 MO CAL SPRD OPT Split Modified Split GXA GASOIL 1 MO CAL SPREAD OPTION Split Modified Split G7 NATURAL GAS 12 M CSO FIN Split Modified Split G6 NATURAL GAS 6 M CSO FIN Split Modified Split G5 NATURAL GAS 5 M CSO FIN Split Modified Split G3 NATURAL GAS 3 M CSO FIN Split Modified Split XCW CORN-WHEAT INTER CADR SPRD OPTION Split Modified Split Page 8 of 8
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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
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
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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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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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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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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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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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
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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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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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
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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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
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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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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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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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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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
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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
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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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
Messaging Efficiency Program Q Daily Raw Messaging Tier Product Group Benchmarks
Efficiency Program Tier Product Description Commodity Futures Products >20k >40k >60k ZC CBOT Corn Futures & Spreads 150:1 100:1 50:1 ZS CBOT Soybean Futures & Spreads 165:1 110:1 55:1 ZW CBOT Chicago
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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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
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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
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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
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: 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
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
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
WISDOMTREE RULES-BASED METHODOLOGY
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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
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
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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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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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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
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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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