• Performance Bond Requirements: ERIS Inter-Commodity Spread Credits- Effective Wednesday, May 28, 2014

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 14-207
      • Notice Date
      • 27 May 2014
      • Effective Date
      • 28 May 2014

    • To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to

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      As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management staff approved the performance bond requirements for the following products listed below.

      The rates will be effective after the close of business on

      Wednesday, May 28, 2014.

      Current rates as of:

      Tuesday, May 27, 2014.

      The following ERIS vs. Eurodollar  BFCC spreads will be expired:

      Spread

      Old

      New

      5yr ERIS vs. ED (all contracts)

      30%

      See below

      10yr ERIS vs. ED (all contracts)

      30%

      See below

      30yr ERIS vs. ED (all contracts)

      20%

      See below

      New ERIS vs. Eurodollar contract-level spreads are listed in subsequent pages.







      For the full text of this advisory, please click here.

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