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1 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 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, September 15, rates as of: Thursday, September 14, In this current advisory there are changes to the Short Option Minimum and/or the Volatility Scan Range. Below are descriptions of what each change affects: The Short Option Minimum (SOM) is a charge that is applied only to portfolios concentrated in short options that do not generate a minimum margin requirement level when margins are calculated using the normal 16 SPAN scenarios. The SOM charge per short calls or short puts is a percentage of the outright margin on one underlying futures contract. The volatility scan range is the change in implied volatility that is used in each of SPAN s 16 scenarios.
2 CC Description ISO Outright Rates AGRILTURE - Outright Rates CASH BUER FUTURES (CB) CB CB Spec Month 1 Decrease USD 2,035 1,850 1,650 1,500 Hedge/Member Month 1 Decrease USD 2,035 1,850 1,500 1,500 CASH CHEESE FUTURES () Spec Mnths 2-5 Decrease USD 1,375 1,250 1,210 1,100 Hedge/Member Mnths 2-5 Decrease USD 1,250 1,250 1,100 1,100 Spec Mnths 6+ Decrease USD Hedge/Member Mnths 6+ Decrease USD CLASS III MILK FUTURES () Spec Month 1 Decrease USD Hedge/Member Month 1 Decrease USD Spec Month 1 Decrease USD Hedge/Member Month 1 Decrease USD Spec Months 2-5 Decrease USD 1,210 1,100 1,100 1,000 Hedge/Member Months 2-5 Decrease USD 1,100 1,100 1,000 1,000 Spec Months 6+ Decrease USD Hedge/Member Months 6+ Decrease USD NONFAT DRY MILK FUTURES (NF) NF NF Spec Month 1 Decrease USD 1,375 1,250 1,183 1,075 Hedge/Member Month 1 Decrease USD 1,250 1,250 1,075 1,075 NYMEX COON () Spec Month 1 Increase USD 2,035 1,850 2,310 2,100 Page 2 of 7
3 CC Outright Rates Description ISO Hedge/Member Month 1 Increase USD 1,850 1,850 2,100 2,100 Spec Month 2+ Increase USD 1,650 1,500 1,870 1,700 Hedge/Member Month 2+ Increase USD 1,500 1,500 1,700 1,700 EQUITY INDEX - Outright Rates DJ US REAL ESTATE BTIC (REX) REX REX Spec Decrease USD 1,375 1,250 1,100 1,000 Hedge/Member Decrease USD 1,250 1,250 1,000 1,000 DJ US REAL ESTATE INDEX (JR) JR JR Spec Decrease USD 1,375 1,250 1,100 1,000 Hedge/Member Decrease USD 1,250 1,250 1,000 1,000 DJ US REAL ESTATE SYNTHEIC (DJR) DJR DJR Spec Decrease USD 1,375 1,250 1,100 1,000 Hedge/Member Decrease USD 1,250 1,250 1,000 1,000 EURO 3.5% FUEL OIL SPREAD (FK) PETROLEUM CRACKS AND SPREADS - Outright Rates FK FK Spec Mnths 3-11 Increase USD Hedge/Member Mnths 3-11 Increase USD SINGAPORE GASOIL VS ICE (GA) GA GA Spec Mnth 2 Increase USD Hedge/Member Mnth 2 Increase USD WEATHER - Outright Rates K2 CHICAGO CDD FUTURES (K2) K2 K2 Spec Increase USD 29% 26% 32% 29% Hedge/Member Increase USD 26% 26% 29% 29% Page 3 of 7
4 CC Intra Spreads Description ISO ETHANOL - Intra Spreads Chicago Ethanol (Platts) Swap, Mth 2 vs. Mths 3-7 (CHICAGO ETHANOL FUT) Spec Increase USD Hedge/Member Increase USD Chicago Ethanol (Platts) Swap, Mth 1 vs. Mths 3-7 (CHICAGO ETHANOL FUT) Spec Increase USD Hedge/Member Increase USD Chicago Ethanol (Platts) Swap, Mth 1 vs. Mths 8+ (CHICAGO ETHANOL FUT) Spec Increase USD Hedge/Member Increase USD Chicago Ethanol (Platts) Swap, Mth 2 vs. Mths 8+ (CHICAGO ETHANOL FUT) Spec Increase USD Hedge/Member Increase USD Page 4 of 7
5 Inter-commodity Spread Rates Ratio FX - Inter-commodity Spread Rates GOLD FUTURES (CX-GC - CME) vs JAPANESE YEN (JY - CME) Spread Credit Rate Increase +2:-1 60% 60% 70% 70% GOLD FUTURES (CX-GC - CME) vs SWISS FRANC (SF - CME) Spread Credit Rate Increase +1:-1 40% 40% 60% 60% METALS - Inter-commodity Spread Rates COMEX COPPER (CMX-HG - CME) vs COMEX SILVER (CMX-SI - CME) Spread Credit Rate Decrease +2:-1 35% 35% 0% 0% COMEX GOLD (CMX-GC - CME) vs COMEX SILVER (CMX-SI - CME) Spread Credit Rate Increase +1:-1 67% 67% 75% 75% COMEX GOLD (CMX-GC - CME) vs PLATINUM FUTURES (NYM-PL - CME) Spread Credit Rate Increase +1:-2 58% 58% 65% 65% GOLD FUTURES (CX-GC - CME) vs JAPANESE YEN (JY - CME) Spread Credit Rate Increase +2:-1 60% 60% 70% 70% GOLD FUTURES (CX-GC - CME) vs SWISS FRANC (SF - CME) Spread Credit Rate Increase +1:-1 40% 40% 60% 60% ZINC FUTURES (CX-ZNC - CME) vs GOLD FUTURES (CX-GC - CME) Spread Credit Rate Decrease +1:-1 20% 20% 0% 0% NGL/PETROCHEMICALS - Inter-commodity Spread Rates PROPANE NON-LDH MONT BELVIEU (OPIS) BALMO SWAP FUTURES (NY-1S - CME) vs MONT BELVIEU LDH PROPANE (OPIS) BALMO SWAP FUTURES (NY-8O - CME) Spread Credit Rate +1:-1 75% 75% Page 5 of 7
6 Tier Description Short Option Minimum (SOM) Rate AGRILTURE - Short Option Minimum (SOM) Rate CORN (C, C, CDF, YC, ZCT) - SOM Clearing Member Rate Increase KANSAS WHEAT FUTURES (KET, KW, KW, KWO, MKC) - SOM Clearing Member Rate Increase SOYBEANS (S, S, SBT, SDF, SRS, YK) - SOM Clearing Member Rate Decrease WHEAT (W, W, WDF, YW, ZWT) - SOM Clearing Member Rate Increase Page 67 of 7
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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
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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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. 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: 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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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 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
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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17-399 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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#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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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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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: 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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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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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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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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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
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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17-503 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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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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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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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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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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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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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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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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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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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
WISDOMTREE RULES-BASED METHODOLOGY
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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
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
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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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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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
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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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
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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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
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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, February 09, 2017 To receive advanced notification
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