• Performance Bond Requirements: OTC Interest Rate Swaps- Effective Friday, March 11, 2011

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 11-87
      • Notice Date
      • 10 March 2011
      • Effective Date
      • 11 March 2011

    • 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 in New Release (test environment) after the close of business on

       

      Friday, March 11, 2011.

       

      The rates will be effective in Production after the close of business on

       

      Wednesday, March 16, 2011.

       

      MINIMUM PERFORMANCE BOND REQUIREMENTS

       

                                                      CME OTC Interest Rate Swaps

       

      Rate Type

      Change

      Current

      New

      Initial to Maintenance Ratio (Spec)

      Decrease

      1.25

      1.0

      Initial to Maintenance Ratio

      (Member)

      No Change

      1.0

      1.0

       

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

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