• Performance Bond Requirements: FX Vol Scans- Effective Tuesday, May 15, 2012

      • To
      • Clearing Member Firms; Chief Financial Officers; Back Office Managers; Margin Managers
      • From
      • CME Clearing
      • #
      • 12-201
      • Notice Date
      • 14 May 2012
      • Effective Date
      • 15 May 2012
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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, May 15, 2012.

      Current rates as of:

      Monday, May 14, 2012.

      In this current advisory there are changes to the Volatility Scan Range. Below are descriptions of what each 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.