• Change to Margin Parameter for Customer Option Value Aggregation

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 20-344
      • Notice Date
      • 03 September 2020
      • Effective Date
      • 14 September 2020

    • Effective with the end-of-day settlement cycle for Monday, September 14, 2020, CME Clearing will switch from 90% customer net option value aggregation to 100% (full net treatment) option value aggregation, for the determination of performance bond requirements for customer-segregated (CSEG) positions in the base guarantee fund.

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      20-344

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