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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
Friday, July 8, 2011.
The CDS products will be margined through the CME multi-factor margin model that now utilizes six factors to assess the risk exposures of the products and then aggregates those factors and compares them to portfolio minimum amounts to arrive at the total maintenance margin amount. Initial margin will be calculated at 1.1x the maintenance margin.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.