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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 after the close of business on
Tuesday, December 15, 2009
Current rates as of:
Monday, December 14, 2009
In this current advisory there are changes to the Volatility Scan Range. Below are descriptions of what the change affects:
The volatility scan range is the change in implied volatility that is used in each of SPAN’s 16 scenarios.
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