• Revisions to the Concentration Margin Program

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers
      • From
      • CME Clearing
      • #
      • 17-053
      • Notice Date
      • 03 February 2017
      • Effective Date
      • 06 February 2017
    • Effective at the end-of-day settlement cycle on February 6, 2017, CME Clearing will enact revisions to its concentration margin program as detailed below. To enhance the stability of concentration margin charges, CME Clearing has deemed it appropriate to enhance the current program to apply an Adjusted Net Capital (“ANC”) threshold rather than an Excess ANC threshold. Concentration margin tiered add-ons are presently determined by assessing the calculated stress loss relative to Excess ANC, average historical variation margin payments, and an absolute dollar value threshold. There will be a negligible impact on the amount of concentration margin on deposit as a result of this change.

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      17-053