• Performance Bond Requirements - NYMEX NGL and Petroleum Products Outright and Intra rates and COMEX Rate Changes - Effective Tuesday, December 15, 2009

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 09-560
      • Notice Date
      • 14 December 2009
      • Effective Date
      • 15 December 2009
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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.




      For the full text of this advisory, please click here.