Clearing House Advisory Notices
To | Clearing Member Firms, Chief Financial Officers, Back Office Managers & Margin Managers
From | Clearing House Department
Subject | Concentration Margin Changes Effective 2/23/07
Notice Date | 2007-02-20
Notice Number | 07-47
Effective Date | 2007-02-23
CME will expand its Concentration Margining Program to also include CME currency products on Friday, February 23, 2007, at the RTH cycle. This program allows the Clearing House to charge additional performance bond requirements when firms’ potential market exposures become large relative to the financial resources available to support those exposures. In anticipation of the inclusion of currency products in the Concentration Margining program, Report ID CPBRT99C and Report Name “CONCENTRATION STRESS TEST REPORTS” has been enhanced to display stress test results for currency products. Please see attached advisory for a review of how Concentration Margins are applied