• Performance Bond Requirements: Agriculture, Equity Index, and Natural Gas Outrights; Agriculture, Natural Gas, and Refined Products Intra-Commodity Spread Charges; Agriculture and Refined Products Inter-Commodity Spread Credits; Interest Rates Splitting Methodology- Effective Thursday, April 2, 2015

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 15-098
      • Notice Date
      • 01 April 2015
      • Effective Date
      • 02 April 2015

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

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      and subscribe to the Performance Bond Rates Advisory Notice listserver.

      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

      Thursday, April 2, 2015.

      Current rates as of:

      Wednesday, April 1, 2015.

      The following products below have changes to the splitting methodology applied, as specified within this Advisory:

      -       BU2: 2-Yr Eurodollar Bundle Futures

      -       BU3: 3-Yr Eurodollar Bundle Futures

      -       BU5: 5-Yr Eurodollar Bundle Futures

       

      Please refer to Advisory #12-259 for more detail regarding the Modified Split methodology.

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

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