Initial Margin Rates are set by CME Clearing, Using HVAR with a 5-Day VAR.
|
Maturity |
Pay Fixed Margin |
Receive Fixed Margin |
|
2 yr |
0.26% | 0.36% |
|
5 yr |
1.25% | 1.93% |
|
10 yr |
3.11% | 4.25% |
Margin levels shown as a % of notional as of May 01, 2012