• Clarification of HVaR Performance Bond Methodology Implementation for Cleared OTC FX Spot, Forward and Swap Transactions

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6232
      • Notice Date
      • 04 May 2012
      • Effective Date
      • 04 May 2012

    • As you were previously notified in CME Group Special Executive Report, S-6184, dated Tuesday, April 3, 2012, CME is changing its methodology for calculation of the performance bond requirements for Cleared Over-the-Counter ("OTC") Foreign Exchange ("FX") Spot, Forward and Swap Transactions from Standard Portfolio Analysis ("SPAN®") to Historical Value at Risk ("HVaR"). CME is clarifying the implementation schedule as follows:

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

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