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 of Performance Bond (margin) changes, through our free automated mailing list, go to http://www.cmegroup.com/newsletter/web2lead/web2sf-old.html 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 Thursday, June 01, 2017. rates as of: Wednesday, May 31, 2017. 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.
AGRILTURE - CASH CHEESE FUTURES (CSC) CSC CSC CSC CSC Spec Mnth 1 Decrease USD 660 600 605 550 Hedge/Member Mnth 1 Decrease USD 600 600 550 550 Spec Mnths 2-5 Decrease USD 1,650 1,500 1,540 1,400 Hedge/Member Mnths 2-5 Decrease USD 1,500 1,500 1,400 1,400 CLASS III MILK FUTURES (DA) DA DA DA DA DA DA Spec Less than 14 Decrease USD 660 600 605 550 days to expire Hedge/Member Less than 14 Decrease USD 600 600 550 550 days to expire Spec Month 1 Decrease USD 660 600 605 550 Hedge/Member Month 1 Decrease USD 600 600 550 550 Spec Months 2-5 Decrease USD 1,485 1,350 1,375 1,250 Hedge/Member Months 2-5 Decrease USD 1,350 1,350 1,250 1,250 GSCI ER FUTURES (GA) GA GA Spec Decrease USD 1,210 1,100 990 900 Hedge/Member Decrease USD 1,100 1,100 900 900 MLK MID FUTURES (JQ) JQ JQ JQ JQ JQ JQ Spec Less than 14 Decrease USD 330 300 303 275 days to expire Hedge/Member Less than 14 Decrease USD 300 300 275 275 days to expire Spec Month 1 Decrease USD 330 300 303 275 Hedge/Member Month 1 Decrease USD 300 300 275 275 Spec Months 2-5 Decrease USD 743 675 688 625 Hedge/Member Months 2-5 Decrease USD 675 675 625 625 NONFAT DRY MILK FUTURES (NF) NF NF NF NF NF NF Spec Month 1-2 Decrease USD 2,145 1,950 1,925 1,750 Hedge/Member Month 1-2 Decrease USD 1,950 1,950 1,750 1,750 Spec Month 3-4 Decrease USD 2,145 1,950 1,925 1,750 Hedge/Member Month 3-4 Decrease USD 1,950 1,950 1,750 1,750 Spec Month 5+ Decrease USD 1,925 1,750 Hedge/Member Month 5+ Decrease USD 1,750 1,750 S&P-GSCI COMMODITY INDEX FUTURE (GI) GI GI Spec Decrease USD 5,225 4,750 4,895 4,450 Hedge/Member Decrease USD 4,750 4,750 4,450 4,450 Page 2 of 12
EQUITY INDEX - BTIC E-MINI S&P MIDCAP 400 FUT (EMT) EMT EMT Spec Decrease USD 7,370 6,700 7,040 6,400 Hedge/Member Decrease USD 6,700 6,700 6,400 6,400 BTIC ON E-MINI DJIA FUTURES (YMT) YMT YMT Spec Decrease USD 4,125 3,750 3,905 3,550 Hedge/Member Decrease USD 3,750 3,750 3,550 3,550 BTIC ON E-MINI S&P 500 FUTURES (EST) EST EST Spec Decrease USD 5,060 4,600 4,840 4,400 Hedge/Member Decrease USD 4,600 4,600 4,400 4,400 BTIC S&P/ CITIGROUP VALUE FUTURE (SUT) SUT SUT Spec Decrease USD 11,550 10,500 10,450 9,500 Hedge/Member Decrease USD 10,500 10,500 9,500 9,500 E-MINI DJIA FUTURES MARKER (YMI) YMI YMI Spec Decrease USD 4,125 3,750 3,905 3,550 Hedge/Member Decrease USD 3,750 3,750 3,550 3,550 E-MINI DOW ($5) FUTURES (YM) YM YM Spec Decrease USD 4,125 3,750 3,905 3,550 Hedge/Member Decrease USD 3,750 3,750 3,550 3,550 EMINI MIDCAP FUTURES (ME) ME ME Spec Decrease USD 7,370 6,700 7,040 6,400 Hedge/Member Decrease USD 6,700 6,700 6,400 6,400 E-MINI S&P 500 FUTURES (ES) ES ES Spec Decrease USD 5,060 4,600 4,840 4,400 Hedge/Member Decrease USD 4,600 4,600 4,400 4,400 E-MINI S&P 500 FUTURES MARKER (ESI) ESI ESI Spec Decrease USD 5,060 4,600 4,840 4,400 Hedge/Member Decrease USD 4,600 4,600 4,400 4,400 E-MINI S&P MIDCAP 400 SYNT MARKER (ETT) ETT ETT Spec Decrease USD 7,370 6,700 7,040 6,400 Hedge/Member Decrease USD 6,700 6,700 6,400 6,400 S&P 500 FUTURES (SP) SP SP Spec Decrease USD 25,300 23,000 24,200 22,000 Hedge/Member Decrease USD 23,000 23,000 22,000 22,000 Page 3 of 12
S&P 500 QUARLY DIVIDEND INDEX FUT (SDI) SDI SDI SDI SDI Spec Month 1 Increase USD 132 120 143 130 Hedge/Member Month 1 Increase USD 120 120 130 130 Spec Months 2-4 Increase USD 138 125 143 130 Hedge/Member Months 2-4 Increase USD 125 125 130 130 S&P VALUE INDEX SYNT MARKER (TST) TST TST Spec Decrease USD 11,550 10,500 10,450 9,500 Hedge/Member Decrease USD 10,500 10,500 9,500 9,500 S&P/ CITIGROUP VALUE FUTURES (SU) SU SU Spec Decrease USD 11,550 10,500 10,450 9,500 Hedge/Member Decrease USD 10,500 10,500 9,500 9,500 Page 4 of 12
ETHANOL - CHICAGO ETHANOL FUT () Spec Mth 1 Decrease USD 3,960 3,600 3,300 3,000 Hedge/Member Mth 1 Decrease USD 3,600 3,600 3,000 3,000 Spec Mths 2 Decrease USD 3,080 2,800 2,860 2,600 Hedge/Member Mths 2 Decrease USD 2,800 2,800 2,600 2,600 Spec Mth 3-7 Decrease USD 2,640 2,400 2,420 2,200 Hedge/Member Mth 3-7 Decrease USD 2,400 2,400 2,200 2,200 Spec Mnth 8+ Decrease USD 2,420 2,200 1,980 1,800 Hedge/Member Mnth 8+ Decrease USD 2,200 2,200 1,800 1,800 ETHANOL FUTURES (EH) EH EH EH EH EH EH Spec Month 1 Decrease USD 2,288 2,080 1,980 1,800 Hedge/Member Month 1 Decrease USD 2,080 2,080 1,800 1,800 Spec Month 2 Decrease USD 2,145 1,950 1,760 1,600 Hedge/Member Month 2 Decrease USD 1,950 1,950 1,600 1,600 Spec Month 3+ Decrease USD 1,705 1,550 1,595 1,450 Hedge/Member Month 3+ Decrease USD 1,550 1,550 1,450 1,450 ETHANOL(PL) T2 FOB RTRDM INCL (Z1) Z1 Z1 Z1 Z1 Spec Mnth 1 Decrease EUR 2,640 2,400 2,200 2,000 Hedge/Member Mnth 1 Decrease EUR 2,400 2,400 2,000 2,000 Spec Mnths 2+ Decrease EUR 2,200 2,000 1,540 1,400 Hedge/Member Mnths 2+ Decrease EUR 2,000 2,000 1,400 1,400 NEW YORK ETHANOL FUT () Spec Mth 1 Decrease USD 4,125 3,750 3,520 3,200 Hedge/Member Mth 1 Decrease USD 3,750 3,750 3,200 3,200 Spec Mth 2 Decrease USD 3,850 3,500 3,080 2,800 Hedge/Member Mth 2 Decrease USD 3,500 3,500 2,800 2,800 Spec Mths 3-7 Decrease USD 3,740 3,400 2,970 2,700 Hedge/Member Mths 3-7 Decrease USD 3,400 3,400 2,700 2,700 Spec Mnths 8+ Decrease USD 3,740 3,400 2,970 2,700 Hedge/Member Mnths 8+ Decrease USD 3,400 3,400 2,700 2,700 Page 5 of 12
FX - AD/CD FUTURES (AC) AC AC Spec Decrease CAD 3,465 3,150 3,190 2,900 Hedge/Member Decrease CAD 3,150 3,150 2,900 2,900 AUSTRALIAN DOLLAR FUTURES (AD) AD AD Spec Decrease USD 1,650 1,500 1,430 1,300 Hedge/Member Decrease USD 1,500 1,500 1,300 1,300 BRITISH POUND FUTURES (BP) BP BP Spec Decrease USD 2,640 2,400 2,310 2,100 Hedge/Member Decrease USD 2,400 2,400 2,100 2,100 CANADIAN DOLLAR FUTURES (CD) CD CD Spec Decrease USD 1,155 1,050 1,045 950 Hedge/Member Decrease USD 1,050 1,050 950 950 CHILEAN PESO/US DOLLAR CLP/USD FUT (CHP) CHP CHP Spec Decrease USD 2,200 2,000 1,760 1,600 Hedge/Member Decrease USD 2,000 2,000 1,600 1,600 EC/AD CROSS RATE FUTURES (CA) CA CA Spec Decrease AUD 3,850 3,500 3,410 3,100 Hedge/Member Decrease AUD 3,500 3,500 3,100 3,100 EC/CD CROSS RATE FUTURE () Spec Decrease CAD 4,400 4,000 3,630 3,300 Hedge/Member Decrease CAD 4,000 4,000 3,300 3,300 EC/SKR CROSS RATE FUTURES (KE) KE KE Spec Decrease SEK 22,000 20,000 18,150 16,500 Hedge/Member Decrease SEK 20,000 20,000 16,500 16,500 E-MICRO AUD/USD FUTURES (M6A) M6A M6A Spec Decrease USD 165 150 143 130 Hedge/Member Decrease USD 150 150 130 130 E-MICRO CAD/USD FUTURES (MCD) MCD MCD Spec Decrease USD 116 105 105 95 Hedge/Member Decrease USD 105 105 95 95 Page 6 of 12
E-MICRO EUR/USD FUTURES (M6E) M6E M6E M6E M6E Spec Month 1 Decrease USD 275 250 231 210 Hedge/Member Month 1 Decrease USD 250 250 210 210 Spec Months 2+ Decrease USD 275 250 231 210 Hedge/Member Months 2+ Decrease USD 250 250 210 210 E-MICRO GBP/USD FUTURES (M6B) M6B M6B Spec Decrease USD 264 240 231 210 Hedge/Member Decrease USD 240 240 210 210 E-MICRO USD/CNH FUTURES (MNH) MNH MNH MNH MNH Spec Months 1-12 Decrease CNH 1,540 1,400 1,320 1,200 Hedge/Member Months 1-12 Decrease CNH 1,400 1,400 1,200 1,200 Spec Months 13+ Decrease CNH 1,925 1,750 1,650 1,500 Hedge/Member Months 13+ Decrease CNH 1,750 1,750 1,500 1,500 E-MINI EURO FX FUTURE (E7) E7 E7 E7 E7 Spec Month 1 Decrease USD 1,375 1,250 1,155 1,050 Hedge/Member Month 1 Decrease USD 1,250 1,250 1,050 1,050 Spec Months 2+ Decrease USD 1,375 1,250 1,155 1,050 Hedge/Member Months 2+ Decrease USD 1,250 1,250 1,050 1,050 EURO FUTURE (EC) EC EC EC EC Spec Month 1 Decrease USD 2,750 2,500 2,310 2,100 Hedge/Member Month 1 Decrease USD 2,500 2,500 2,100 2,100 Spec Months 2+ Decrease USD 2,750 2,500 2,310 2,100 Hedge/Member Months 2+ Decrease USD 2,500 2,500 2,100 2,100 EURO\RENMINBI FUTURE (RME) RME RME Spec Decrease EUR 4,730 4,300 4,070 3,700 Hedge/Member Decrease EUR 4,300 4,300 3,700 3,700 KOREAN WON\U.S. DOLLAR FUTURE (KRW) KRW KRW Spec Decrease USD 3,410 3,100 2,970 2,700 Hedge/Member Decrease USD 3,100 3,100 2,700 2,700 NEW ZEALAND FUTURES (NE) NE NE Spec Decrease USD 1,540 1,400 1,430 1,300 Hedge/Member Decrease USD 1,400 1,400 1,300 1,300 Page 7 of 12
RU RUSSIAN RUBLE FUTURES (RU) RU RU RU RU Spec Contracts Decrease USD 4,400 4,000 3,960 3,600 17-20 Hedge/Member Contracts Decrease USD 4,000 4,000 3,600 3,600 17-20 Spec Contracts 21+ Decrease USD 4,400 4,000 3,960 3,600 Hedge/Member Contracts 21+ Decrease USD 4,000 4,000 3,600 3,600 SKR/USD CROSS RATE FUTURES (SE) SE SE Spec Decrease USD 5,610 5,100 5,170 4,700 Hedge/Member Decrease USD 5,100 5,100 4,700 4,700 U.S. DOLLAR\RENMINBI FUTURES (RMB) RMB RMB RMB RMB Spec Mnth 1 Decrease USD 2,750 2,500 2,475 2,250 Hedge/Member Mnth 1 Decrease USD 2,500 2,500 2,250 2,250 Spec Mnths 2+ Decrease USD 2,750 2,500 2,475 2,250 Hedge/Member Mnths 2+ Decrease USD 2,500 2,500 2,250 2,250 USD/CNH FUTURES (CNH) CNH CNH CNH CNH Spec Months 1-12 Decrease CNH 15,400 14,000 13,200 12,000 Hedge/Member Months 1-12 Decrease CNH 14,000 14,000 12,000 12,000 Spec Months 13+ Decrease CNH 19,250 17,500 16,500 15,000 Hedge/Member Months 13+ Decrease CNH 17,500 17,500 15,000 15,000 Page 8 of 12
METALS - GOLD KILO FUTURES () Spec Mnth1 Decrease USD 1,486 1,351 1,398 1,271 Hedge/Member Mnth1 Decrease USD 1,351 1,351 1,271 1,271 Spec Mnth2 Decrease USD 1,486 1,351 1,398 1,271 Hedge/Member Mnth2 Decrease USD 1,351 1,351 1,271 1,271 Spec Mnth3 Decrease USD 1,486 1,351 1,398 1,271 Hedge/Member Mnth3 Decrease USD 1,351 1,351 1,271 1,271 Spec Mnth4 Decrease USD 1,486 1,351 1,398 1,271 Hedge/Member Mnth4 Decrease USD 1,351 1,351 1,271 1,271 Spec Mnth5 Decrease USD 1,486 1,351 1,398 1,271 Hedge/Member Mnth5 Decrease USD 1,351 1,351 1,271 1,271 Spec Mnth6 Decrease USD 1,486 1,351 1,398 1,271 Hedge/Member Mnth6 Decrease USD 1,351 1,351 1,271 1,271 Spec Mnth7 Decrease USD 1,486 1,351 1,398 1,271 Hedge/Member Mnth7 Decrease USD 1,351 1,351 1,271 1,271 Spec Mnth8+ Decrease USD 1,486 1,351 1,398 1,271 Hedge/Member Mnth8+ Decrease USD 1,351 1,351 1,271 1,271 LONDON SPOT GOLD FUTURES (GSP) GSP GSP Spec All Contracts Decrease USD 4,620 4,200 4,345 3,950 Hedge/Member All Contracts Decrease USD 4,200 4,200 3,950 3,950 Page 9 of 12
Inter-commodity Spread Rates Ratio CRUDE OIL - Inter-commodity Spread Rates BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs CANADIAN DOLLAR (CD - CME) Spread Credit Rate +1:-1 30% 30% BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs NORWEGIAN KRONE (UN - CME) Spread Credit Rate +4:-1 40% 40% BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs RUSSIAN RUBLE (RU - CME) Spread Credit Rate +1:-1 25% 25% LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs CANADIAN DOLLAR (CD - CME) Spread Credit Rate +1:-1 30% 30% LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs NORWEGIAN KRONE (UN - CME) Spread Credit Rate +4:-1 40% 40% LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs RUSSIAN RUBLE (RU - CME) Spread Credit Rate +1:-1 25% 25% LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs S&P SELECT SECTOR - ENERGY (XAE - CME) Spread Credit Rate +1:-1 55% 55% ELECTRICITY - Inter-commodity Spread Rates Super Scan: L3 vs. B6 Spread Credit Rate -1:-1 99% 99% Super Scan: N3 vs. B3 Spread Credit Rate -1:-1 99% 99% EQUITY INDEX - Inter-commodity Spread Rates COPPER FUTURES (CX-HG - CME) vs S&P SELECT SECTOR - INDUSTRIAL (XAI - CME) Spread Credit Rate +1:-1 45% 45% COPPER FUTURES (CX-HG - CME) vs S&P SELECT SECTOR - MATERIALS (XAB - CME) Spread Credit Rate +1:-1 45% 45% LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs S&P SELECT SECTOR - ENERGY (XAE - CME) Spread Credit Rate +1:-1 55% 55% NEW YORK HARBOR NO. 2 HEATING OIL FUTURES (NY-HO - CME) vs S&P SELECT SECTOR - ENERGY (XAE - CME) Spread Credit Rate +1:-1 45% 45% RBOB GASOLINE FUTURES (NY-RB - CME) vs S&P SELECT SECTOR - ENERGY (XAE - CME) Spread Credit Rate +1:-1 45% 45% Page 10 of 12
Inter-commodity Spread Rates Ratio FX - Inter-commodity Spread Rates BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs CANADIAN DOLLAR (CD - CME) Spread Credit Rate +1:-1 30% 30% BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs NORWEGIAN KRONE (UN - CME) Spread Credit Rate +4:-1 40% 40% BRENT CRUDE OIL LAST DAY FINANCIAL FUTURES (NY-BZ - CME) vs RUSSIAN RUBLE (RU - CME) Spread Credit Rate +1:-1 25% 25% LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs CANADIAN DOLLAR (CD - CME) Spread Credit Rate +1:-1 30% 30% LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs NORWEGIAN KRONE (UN - CME) Spread Credit Rate +4:-1 40% 40% LIGHT SWEET CRUDE OIL FUTURES (NY-CL - CME) vs RUSSIAN RUBLE (RU - CME) Spread Credit Rate +1:-1 25% 25% METALS - Inter-commodity Spread Rates COMEX SILVER (CMX-SI - CME) vs PLATINUM FUTURES (NYM-PL - CME) Spread Credit Rate Decrease +1:-2 70% 70% 67% 67% COPPER FUTURES (CX-HG - CME) vs S&P SELECT SECTOR - INDUSTRIAL (XAI - CME) Spread Credit Rate +1:-1 45% 45% COPPER FUTURES (CX-HG - CME) vs S&P SELECT SECTOR - MATERIALS (XAB - CME) Spread Credit Rate +1:-1 45% 45% PLATINUM FUTURES (NYM-PL - CME) vs PALLADIUM (NYM-PA - CME) Spread Credit Rate Decrease +2:-1 53% 53% 48% 48% REFINED PRODUCTS - Inter-commodity Spread Rates NEW YORK HARBOR NO. 2 HEATING OIL FUTURES (NY-HO - CME) vs S&P SELECT SECTOR - ENERGY (XAE - CME) Spread Credit Rate +1:-1 45% 45% RBOB GASOLINE FUTURES (NY-RB - CME) vs S&P SELECT SECTOR - ENERGY (XAE - CME) Spread Credit Rate +1:-1 45% 45% SINGAPORE GASOIL (PLATTS) SWAP FUTURES (NY-SG - CME) vs EIA FLAT TAX ON-HIGHWAY DIESEL SWAP FUTURES (NY-A5 - CME) Spread Credit Rate Decrease +1:-1 70% 70% 60% 60% SINGAPORE JET KEROSENE (PLATTS) SWAP FUTURES (NY-KS - CME) vs GULF COAST NO. 6 FUEL OIL 3.0% (PLATTS) SWAP FUTURES (NY-UV - CME) Spread Credit Rate Decrease +2:-15 60% 60% 50% 50% Page 11 of 12
Volatility Scan (volscan) Rate Tier CASH SETTLED CHEESE (CSC, CSC) - volscan AGRILTURE - Volatility Scan (volscan) Rate Clearing Member Rate Mnths 6+ Decrease 0.025 0.020 MILK CLASS III (9M1, DA, DA, JQ, JQ) - volscan Clearing Member Rate Months 6+ Decrease 0.025 0.020 NONFAT DRY MILK (NF, NF) - volscan Clearing Member Rate Month 3-4 Decrease 0.030 Clearing Member Rate Month 5+ Decrease 0.030 0.020 0.025 Page 12 of 12