This note describes the conventions by which CME Clearing and its clearing member firms round fractional portions of contract prices when computing variation margin amounts on Treasury contract positions.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
