New Release Dates for HVaR Performance Bond Methodology Implementation for Several Cleared OTC FX Pair Spot, Forward and Swap Transactions

As you were previously notified in CME Group Special Executive Report, S-6232, dated Friday, May 4, 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 modifying the implementation schedule to delay implementation of Release 4, and combining it with Release 5 for a new implementation date of Monday, July 16, 2012. The following is a recap of the completed implementation schedule to date and the revised schedule for the combined Release of 4 and 5, now slated for Monday, July 16, 2012:

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