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1 Chadv TO: Clearing Member Firms Chief Financial Officers Back Office Managers Margin Managers FROM: CME Clearing SUBJECT: Performance Bond Requirements DATE: Tuesday, January 16, 2018 To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to 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 Wednesday, January 17, rates as of: Tuesday, January 16, 2018.

2 SP MINIMUM PERFORM BOND REQUIREMENTS NEW ENG MASS HUB DA OP DAILY () ELECTRICITY - Spec Days 1-10 Increase USD Hedge/Member Days 1-10 Increase USD M INDIA HUB 5MW OFPK CALDAY DA () Spec Days 1-11 Increase USD Hedge/Member Days 1-11 Increase USD Spec Days Increase USD Hedge/Member Days Increase USD M INDIA HUB 5MW OFPK CALDAY RT () Spec Days 1-11 Increase USD Hedge/Member Days 1-11 Increase USD Spec Days Increase USD Hedge/Member Days Increase USD M INDIA HUB 5MW PK CAL DAYHD () Spec Days 1-11 Increase USD 1,100 1,000 2,200 2,000 Hedge/Member Days 1-11 Increase USD 1,000 1,000 2,000 2,000 Spec Days Increase USD ,100 1,000 Hedge/Member Days Increase USD ,000 1,000 Spec Days 16+ Increase USD ,100 1,000 Hedge/Member Days 16+ Increase USD ,000 1,000 M INDIA HUB 5MW PK CAL-DAY RT (PTD) PTD PTD Spec Days 1-11 Increase USD 1,540 1,400 2,200 2,000 Hedge/Member Days 1-11 Increase USD 1,400 1,400 2,000 2,000 NEW ENGLD HUB PEAK DAILY () Spec Days 1-10 Increase USD 3,080 2,800 6,160 5,600 Hedge/Member Days 1-10 Increase USD 2,800 2,800 5,600 5,600 Spec Days Increase USD 3,080 2,800 6,160 5,600 Hedge/Member Days Increase USD 2,800 2,800 5,600 5,600 Page 2 of 7

3 SP MINIMUM PERFORM BOND REQUIREMENTS Spec Days 16+ Increase USD 2,750 2,500 5,500 5,000 Hedge/Member Days 16+ Increase USD 2,500 2,500 5,000 5,000 NEW YORK HUB ZONE J PEAK DAILY () Spec Days 1-8 Increase USD 3,190 2,900 6,380 5,800 Hedge/Member Days 1-8 Increase USD 2,900 2,900 5,800 5,800 Spec Days 9-15 Increase USD 3,190 2,900 6,380 5,800 Hedge/Member Days 9-15 Increase USD 2,900 2,900 5,800 5,800 Spec Days 16+ Increase USD 3,190 2,900 6,380 5,800 Hedge/Member Days 16+ Increase USD 2,900 2,900 5,800 5,800 NY ZONE A DA OP DAILY () Spec Days 1-10 Increase USD Hedge/Member Days 1-10 Increase USD NY ZONE A LBMP FUT () Spec Days 1-6 Increase USD 1,320 1,200 3,960 3,600 Hedge/Member Days 1-6 Increase USD 1,200 1,200 3,600 3,600 Spec Days 7-15 Increase USD 1,320 1,200 3,960 3,600 Hedge/Member Days 7-15 Increase USD 1,200 1,200 3,600 3,600 Spec Days 16+ Increase USD ,640 2,400 Hedge/Member Days 16+ Increase USD ,400 2,400 NY ZONE G DA OP DAILY () Spec Days 1-10 Increase USD Hedge/Member Days 1-10 Increase USD NY ZONE G DAY-AHEAD PK CAL DAY () Spec Increase USD 3,190 2,900 6,380 5,800 Hedge/Member Increase USD 2,900 2,900 5,800 5,800 Spec Increase USD 3,190 2,900 6,380 5,800 Hedge/Member Increase USD 2,900 2,900 5,800 5,800 Spec Increase USD 3,190 2,900 6,380 5,800 Hedge/Member Increase USD 2,900 2,900 5,800 5,800 Page 3 of 7

4 SP MINIMUM PERFORM BOND REQUIREMENTS NY ZONE J DA OP DAILY () Spec Days 1-10 Increase USD Hedge/Member Days 1-10 Increase USD PJM AEP DAYTON HUB DA OP DAILY () Spec Days 1-11 Increase USD Hedge/Member Days 1-11 Increase USD Spec Days Increase USD Hedge/Member Days Increase USD PJM AEP DAYTON HUB DA PEAK DAILY () Spec Days 1-11 Increase USD 1,320 1,200 2,640 2,400 Hedge/Member Days 1-11 Increase USD 1,200 1,200 2,400 2,400 Spec Days Increase USD ,430 1,300 Hedge/Member Days Increase USD ,300 1,300 Spec Days 16+ Increase USD ,430 1,300 Hedge/Member Days 16+ Increase USD ,300 1,300 PJM AEP DAYTON HUB RT OP DAILY () Spec Days 1-10 Increase USD Hedge/Member Days 1-10 Increase USD Spec Days Increase USD Hedge/Member Days Increase USD PJM AEP-DAYTON HUB RT PK CALDAY 5MW () Spec Days 1-6 Increase USD 1,100 1,000 1,870 1,700 Hedge/Member Days 1-6 Increase USD 1,000 1,000 1,700 1,700 Spec Days 7-15 Increase USD ,320 1,200 Hedge/Member Days 7-15 Increase USD ,200 1,200 Spec Days 16+ Increase USD ,320 1,200 Hedge/Member Days 16+ Increase USD ,200 1,200 Page 4 of 7

5 SP MINIMUM PERFORM BOND REQUIREMENTS PJM DAILY () Spec Days 1-6 Increase USD ,870 1,700 Hedge/Member Days 1-6 Increase USD ,700 1,700 Spec Days 7-14 Increase USD ,320 1,200 Hedge/Member Days 7-14 Increase USD ,200 1,200 Spec Days 15+ Increase USD ,320 1,200 Hedge/Member Days 15+ Increase USD ,200 1,200 PJM N ILLINOIS HUB RT PK CAL DAY5MW () Spec Days 1-6 Increase USD 1,650 1,500 2,200 2,000 Hedge/Member Days 1-6 Increase USD 1,500 1,500 2,000 2,000 Spec Days 7-14 Increase USD 1,650 1,500 2,200 2,000 Hedge/Member Days 7-14 Increase USD 1,500 1,500 2,000 2,000 Spec Days 15+ Increase USD ,100 1,000 Hedge/Member Days 15+ Increase USD ,000 1,000 PJM NORTERN ILL HUB DA OP DAILY () Spec Days 1-10 Increase USD Hedge/Member Days 1-10 Increase USD Spec Days Increase USD Hedge/Member Days Increase USD PJM NORTERN ILL HUB DA PEAK DAILY () Spec Days 1-8 Increase USD 1,210 1,100 2,200 2,000 Hedge/Member Days 1-8 Increase USD 1,100 1,100 2,000 2,000 Spec Days 9-15 Increase USD ,430 1,300 Hedge/Member Days 9-15 Increase USD ,300 1,300 Spec Days 16+ Increase USD ,430 1,300 Hedge/Member Days 16+ Increase USD ,300 1,300 PJM NORTERN ILL HUB RT OP DAILY () Spec Days 1-10 Increase USD Hedge/Member Days 1-10 Increase USD Spec Days Increase USD Hedge/Member Days Increase USD Page 5 of 7

6 SP MINIMUM PERFORM BOND REQUIREMENTS PJM WESTERN HUB DA OP DAILY FUT () Spec Days 1-10 Increase USD Hedge/Member Days 1-10 Increase USD Spec Days Increase USD Hedge/Member Days Increase USD Spec Days 16+ Increase USD Hedge/Member Days 16+ Increase USD PJM WESTERN HUB DA PEAK DAILY () Spec Days 1-10 Increase USD 1,320 1,200 1,870 1,700 Hedge/Member Days 1-10 Increase USD 1,200 1,200 1,700 1,700 Spec Days Increase USD ,320 1,200 Hedge/Member Days Increase USD ,200 1,200 Spec Days 16+ Increase USD ,320 1,200 Hedge/Member Days 16+ Increase USD ,200 1,200 PJM WESTERN HUB RT OP DAILY () Spec Days 1-10 Increase USD Hedge/Member Days 1-10 Increase USD Spec Days Increase USD Hedge/Member Days Increase USD Spec Days 16+ Increase USD Hedge/Member Days 16+ Increase USD Page 6 of 7

7 SP MINIMUM PERFORM BOND REQUIREMENTS Intra Spreads CRE OIL SPREADS - Intra Spreads CADI LIGHT SWEET OIL (NET ENERGY) INDEX FUTURES (CADI LIGHT SWEET OIL) CIL CIL Spec Increase USD 1,540 1,400 1,870 1,700 Hedge/Member Increase USD 1,400 1,400 1,700 1,700 Page 7 of 7

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