Performance Bond (Margin) Advisory Notices
To | Clearing Member Firms, Chief Financial Officers, Back Office Managers & Margin Managers
From | Clearing House Department
Subject | Performance Bond Changes Effective 8/29/07
Notice Date | 2007-08-28
Notice Number | 07-202
Effective Date | 2007-08-29
As per the normal review of market volatility to ensure adequate collateral coverage, CME Group Performance Bond staff approved volatility scan range changes for the products listed on the attached advisory. The Volatility Scan range is the amount by which the implied volatility levels are changed for each option during the Span margining process. For those Span margin scenarios that have implied volatility changes, the current implied volatility is moved either up or down by the amount of the Volatility Scan Range. For a futures-only portfolio, the Volatility Scan Range will have no effect. These changes will become effective at the close of business on Wednesday, August 28, 2007. For the full text of this advisory . . .