• Performance Bond Requirements: Fed Funds Outrights and Intra Spreads - Effective Friday, December 10, 2010

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 10-492
      • Notice Date
      • 09 December 2010
      • Effective Date
      • 10 December 2010

    • To receive advanced notification of Performance Bond (margin) changes, through our free automated

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      http://www.cmegroup.com/newsletter/web2lead/web2sf-old.html

       

      and subscribe to the Performance Bond Rates Advisory Notice listserver.

       

      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, December 10 2010.

       

      Current rates as of:

       

      Thursday, December 9, 2010.

       

      In this current advisory there are changes to the Tier Structure.  Below are descriptions of what each change affects:

      The volatility scan range is the change in implied volatility that is used in each of SPAN’s 16 scenarios.

      ChaChanges to Tier Structure:

       

       

      Current Tier Structure

      New Tier Structure

      Tier

      Months

      Months

      1

      1-1

      1-1

      2

      2-4

      2-4

      3

      5+

      5-12

      4

       

      13+

       

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

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