Addition of Price Alignment Interest to the "Cash Mark-to-Market" Performance Bond Method for Cleared OTC FX Spot, Forward and Swap Transactions, Effective Monday, February 13, 2012

As you were notified in CME Group Special Executive Report, S-5982, dated Tuesday, October 18, 2011, CME Group adopted on Monday, October 31, 2011, "cash mark-to-market" performance bonds for the cleared over-the-counter ("OTC") foreign exchange ("FX") spot, forward and swap transactions. These applied to all then currently listed and future product rollouts now totaling 12 cleared, cash-settlement OTC FX non-deliverable forward ("NDF") and 26 cleared, CME WM/Reuters OTC spot, forward and swaps. Effective Monday, February 13, 2012, this performance bond method will be enhanced by the addition of Price Alignment Interest ("PAI"), which brings CME centrally cleared OTC FX spot, forward and swap transactions in line with typical bilaterally held OTC FX transactions. Please note that these procedures are also consistent with those for CME’s cleared interest-rate swaps and creditdefault swaps.

For the full Special Executive Report, please click here (PDF).