• 1st Quarter 2012 Eligible Stocks (Data from October 1st thru December 31st, 2011)

      • To
      • Clearing Member Firms; Back Office Managers; Chief Financial Officers
      • From
      • CME Clearing
      • #
      • 12-077
      • Notice Date
      • 24 February 2012
      • Effective Date
      • 24 February 2012
    • CME’s performance bond requirements consist of three tiered amounts. The core performance bond requirement represents that portion of the total performance bond requirement, which must be satisfied using the most liquid forms of collateral. Core collateral includes all types of collateral currently accepted; recognizing the current restriction on the use of Letters of Credit and U.S. Government Agency securities whereby a clearing member may meet the first five million dollars of its core requirement and 50% of the remainder of the core requirement using Letters of Credit and U.S. Government Agencies. Reserve and concentration performance bond requirements are set from time to time and are equal to that portion of the total performance bond requirement, which may be met using reserve and concentration collateral. Reserve and concentration collateral includes all core collateral plus shares of stock eligible for the Stock Program. There is no limitation on the amount of Letters of Credit or U.S. Government Agencies used to satisfy the reserve and concentration performance bond requirements.
      The clearing level performance bond requirements in Stock Index Futures are displayed in the attached advisory notice....
       

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