As you were previously notified in CME Group Special Executive Report, S-6232, dated Friday, May 4, 2012, CME is changing its methodology for calculation of the performance bond requirements for Cleared Over-the-Counter ("OTC") Foreign Exchange ("FX") Spot, Forward and Swap Transactions from Standard Portfolio Analysis (“SPAN®”) to Historical Value at Risk ("HVaR"). CME is modifying the implementation schedule to delay implementation of Release 4, and combining it with Release 5 for a new implementation date of Monday, July 16, 2012. The following is a recap of the completed implementation schedule to date and the revised schedule for the combined Release of 4 and 5, now slated for Monday, July 16, 2012:
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