• Performance Bond Requirements - Change to Margin Erosion Methodology - Effective Monday, November 30, 2009

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 09-531
      • Notice Date
      • 27 November 2009
      • Effective Date
      • 30 November 2009

    • To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to: http://www.cmegroup.com/newsletter/web2lead/web2sf-old.html and subscribe to the Performance Bond Rates Advisory Notices listserver.

       

      For the products listed below, the erosion of current month margin rates will be modified to follow a straight line method instead of a square root of time method.

       

      Old Method

       

      Price Scan * SQRT (Calendar Days Remaining/Total Calendar Days in the Month)

       

      New Method

       

      Price Scan * (Calendar Days Remaining/Total Calendar Days in the Month)

       

      The rates are effective at the close of business on Monday, Nov 30th, 2009.

       

      For the full text of this advisory, please click here.

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