• Performance Bond Requirements: Credit Default Swaps- Effective Friday, September 17, 2010

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 10-392
      • Notice Date
      • 15 September 2010
      • Effective Date
      • 17 September 2010
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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, September 17, 2010.




      The CDS products will be margined through the CME multi-factor margin model to assess the risk exposures

      of the products 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.