• Performance Bond Requirements - CDS Products Launch - Effective Tuesday, December 15, 2009

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 09-553
      • Notice Date
      • 14 December 2009
      • Effective Date
      • 15 December 2009
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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


      Tuesday, December 15, 2009.


      The CDS products will be margined through the CME multi-factor margin model that utilized seven 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. 



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