• Reduction in the Notional Value of Eris Exchange Contracts June 3, 2013

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 13-246
      • Notice Date
      • 24 May 2013
      • Effective Date
      • 24 May 2013
    • Pursuant to Eris Exchange Submission #2013-2013-11 to the Commodity Futures Trading Commission, CME Clearing will reduce the notional value of Eris Exchange Flex and Standard Swap Futures contracts from current $1,000,000 to $100,000 on Monday, June 3, 2013. Additionally, Eris open interest for close of business May, 31, 2013 will be adjusted in clearing to reflect the new notional value. Finally, the margin rates and spread ratios will be amended to reflect this change. To help firms with this process, below are details of the anticipated steps related to this change:
      Eris Open Interest Adjustment:
      At the close of business Friday, May 31, 2013 and following the completion of end of day clearing cycle, CME Clearing will adjust Eris open interest in clearing only. Positions will be multiplied by a factor of 10. Example: A customer with 10 long Eris Standard positions and 5 short Eris Flex positions will receive 100 long Standards and 50 short Flex positions in clearing after the conversion is completed. No clearing confirms or reports will be provided following the adjustments. Firms can check their adjusted positions in CME Positions after 2:00 pm (CST) Sunday, June 2, 2013.
      Margin rates and ratios:
      CME Clearing will modify Performance Bond rates and spread ratios to be effective Monday, June 3, 2013. An updated Performance Bond advisory will be published on Friday, May 31, 2013 to reflect the modified Performance Bond rates and spread ratios.
      For more information, please contact ccs@cmegroup.com or via phone at 312 207 2525.