Client  Management Advisory Notices
To Back Office Managers and Service Bureau Representatives
From CME Clearing House and Fixed Income Clearing Corporation (FICC)
Subject New Cross-Margin Participant Agreements for CME and CBOT Products Cleared Through CME Against FICC-eligible Instruments
Notice Date 2003-09-15
Notice Number CMO#0407
Effective Date  

On Friday, January 2, 2004, Chicago Mercantile Exchange Inc. (CME) and the Government Securities Division of Fixed Income Clearing Corporation (FICC) will launch an enhanced cross-margining program. This program will exist between the CME-cleared interest rate products traded at the CME and the Board of Trade of the City of Chicago (CBOT) and those cash interest rate products cleared at the FICC for proprietary (house) positions. It will coincide with the transfer of CBOT Treasury futures and options to be cleared at CME through the CME/CBOT Common Clearing Link.  Details of the cross-margin eligible products are as follows:

ELIGIBLE PRODUCTS: CME-Cleared

CBOT 30 yr Treasury Bond futures and options

CBOT 10 yr Treasury Note futures and options

CBOT 5 yr Treasury Note futures and options

CBOT 2 yr Treasury Note futures and options

CBOT 10 yr Agency Note futures

CBOT 5 yr Agency Note futures

CME Eurodollar futures and options

ELIGIBLE PRODUCTS: FICC-Cleared

All FICC products excluding

STRIPS and

General Collateral Finance (GCF) Repo® Service-Mortgage-Backed Securities (MBS) products

Clearing firms that are members at both CME and FICC are eligible to participate in the program and must sign the Common Member Agreement to be active in the program.  Affiliated companies[1], of which one is a clearing member at CME and the other is a member at FICC, will also be eligible to participate and must sign the Affiliated Members Agreement to be active in the program.

Please view the attached notice for Cross-Margining Participant Agreements, and more details.

[1] The cross-margining agreement between FICC and CME defines "affiliate" to mean, when used in respect of a clearing member of one clearing organization, a clearing member of the other clearing organization that directly or indirectly controls such clearing member, or that is directly or indirectly controlled by or under common control with such clearing member.  Ownership of 50 percent or more of the common stock of the relevant entity will conclusively be deemed control of the entity for purposes of this definition.