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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: Tuesday, September 11, 2018 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 Wednesday, September 12, rates as of: Tuesday, September 11, 2018.
2 Outright Rates AGRICULTURE - Outright Rates LEAN HOG FUTURES () Spec Mnth 1 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 1 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 2 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 2 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 3 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 3 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 4 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 4 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 5 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 5 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 6 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 6 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 7 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 7 Increase USD 1,200 1,200 1,350 1,350 Spec Mnths 8+ Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnths 8+ Increase USD 1,200 1,200 1,350 1,350 LEAN HOGS TRADE AT SETTLE () Spec Mnth 1 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 1 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 2 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 2 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 3 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 3 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 4 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 4 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 5 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 5 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 6 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 6 Increase USD 1,200 1,200 1,350 1,350 Spec Mnth 7 Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnth 7 Increase USD 1,200 1,200 1,350 1,350 Spec Mnths 8+ Increase USD 1,320 1,200 1,485 1,350 Hedge/Member Mnths 8+ Increase USD 1,200 1,200 1,350 1,350 Page 2 of 5
3 Outright Rates ENVIRONMENTAL - Outright Rates IN DELIVERY MONTH EUA FUTURES () Spec Mth 1 Increase EUR 1,100 1,000 1,540 1,400 Hedge/Member Mth 1 Increase EUR 1,000 1,000 1,400 1,400 Spec Mths 2+ Increase EUR 1,100 1,000 1,540 1,400 Hedge/Member Mths 2+ Increase EUR 1,000 1,000 1,400 1,400 Page 3 of 5
4 Intra Spreads FX - Intra Spreads Brazilian Real () - Tier 1 vs. Tier 1 (AZILIAN REAL FUTURES) Spec Increase USD Hedge/Member Increase USD Brazilian Real () - Tier 1 vs. Tier 2 (AZILIAN REAL FUTURES) Brazilian Real () - Tier 2 vs. Tier 2 (AZILIAN REAL FUTURES) Spec Increase USD Hedge/Member Increase USD Brazilian Real () - Tier 3 vs. Tier 3 (AZILIAN REAL FUTURES) Brazilian Real () - Tier 4 vs. Tier 4 (AZILIAN REAL FUTURES) Page 4 of 5
5 Inter-commodity Spread Rates Ratio CRUDE OIL - Inter-commodity Spread Rates DUTCH TTF NATURAL GAS (USD/MMBTU) (ICIS HEREN) FRONT MONTH FUTURES (NY-TTE - CME) vs LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) Spread Credit Rate Decrease +1:-2 40% 40% 35% 35% DUTCH TTF NATURAL GAS CALENDAR MONTH FUTURES (NY-TTF - CME) vs LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) Spread Credit Rate Decrease +2:-1 40% 40% 35% 35% NATURAL GAS - Inter-commodity Spread Rates DUTCH TTF NATURAL GAS (USD/MMBTU) (ICIS HEREN) FRONT MONTH FUTURES (NY-TTE - CME) vs HENRY HUB NATURAL GAS FUTURES (NY-NG - CME) Spread Credit Rate Decrease +1:-1 10% 10% 0% 0% DUTCH TTF NATURAL GAS (USD/MMBTU) (ICIS HEREN) FRONT MONTH FUTURES (NY-TTE - CME) vs LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) Spread Credit Rate Decrease +1:-2 40% 40% 35% 35% DUTCH TTF NATURAL GAS CALENDAR MONTH FUTURES (NY-TTF - CME) vs HENRY HUB NATURAL GAS FUTURES (NY-NG - CME) Spread Credit Rate Decrease +4:-1 30% 30% 0% 0% DUTCH TTF NATURAL GAS CALENDAR MONTH FUTURES (NY-TTF - CME) vs LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) Spread Credit Rate Decrease +2:-1 40% 40% 35% 35% HENRY HUB NATURAL GAS FUTURES (NY-NG - CME) vs UK NBP NATURAL GAS (USD/MMBTU) (ICIS HEREN) FRONT MONTH FUTURES (NY-NBP - CME) Spread Credit Rate Decrease +1:-1 22% 22% 0% 0% UK NBP NATURAL GAS CALENDAR MONTH FUTURES (NY-UKG - CME) vs HENRY HUB NATURAL GAS FUTURES (NY-NG - CME) Spread Credit Rate Decrease +10:-3 30% 30% 0% 0% Page 5 of 5
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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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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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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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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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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
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
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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
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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17-474 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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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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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. 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
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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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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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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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: 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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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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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
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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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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#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
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
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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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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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: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, February 06, 2018 To receive advanced notification
NYMEX and Margining Closely Related Physically-Delivered and Financially-Settled products in SPAN. Table of Contents. Introduction...
TO: FROM: Clearing Member Firms CME Clearing SPAN ADVISORY#: 09-01 DATE: Friday, May 1 st, 2009 SUBJECT: NYMEX and Margining Closely Related Physically-Delivered and Financially-Settled products in SPAN
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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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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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
Special Executive Report
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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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09-359 TO: FROM: SUBJECT: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers CME Clearing Performance Bond Requirement s DATE: August 20, 2009 To receive advanced notification
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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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