Chicago Mercantile Exchange

Clearing House Advisory Notice

99-76

August 26, 1999

TO: Clearing House Personnel

ATTN: Back Office Personnel

Margin Managers

Service Bureau Representatives

FROM: Risk Control Department

SUBJECT: Ratification of Performance Bond Requirements Changes

This document can now be received electronically. Send an E-Mail to lists@cme.com with the text "subscribe pbrates" in the body of the message to subscribe.

These requirements will become effective, under Rule 403, at the close of business, Thursday, September 2, 1999.

For a complete listing of all Exchange minimum Performance Bond Requirements, please consult the SPAN® Minimum Performance Bond Requirements.

SPAN ā MINIMUM PERFORMANCE BOND REQUIREMENTS

Agricultural Products, Outrights

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
Live Cattle (Decrease) | $608 | $450 | $540 | $400
Lean Hogs (Decrease) | $1,215 | $900 | $1,080 | $800
Feeder Cattle (Decrease) | $1,013 | $750 | $945 | $700
Frozen Pork Bellies (Decrease) | $1,755 | $1,300 | $1,620 | $1,200
Live Cattle Delivery Month (Decrease) | $675 | $500 | $540 | $400

Agricultural Products, Calendar Spreads

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
Lean Hogs (Decrease) | $778 | $575/MKT | $608 | $450/MKT
Frozen Pork Bellies (Increase) | $675 | $500/MKT | $1,350 | $1,000/MKT
Stocker Cattle (Increase) | $270 | $200/MKT | $338 | $250/MKT
Frozen Pork Bellies Delivery Month (Increase) | $675 | $500/MKT | $1,485 | $1,100/MKT

Agricultural Products, Inter-Commodity Spreads

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
Live Cattle vs. Feeder Cattle (Decrease) | $945 | $700 | $675 | $500
Live Cattle vs. Fresh Pork Bellies (Increase) | $1,350 | $1,000 | $1,418 | $1,050
Live Cattle vs. GSCI (Increase) | $1,200 | $800 | $1,275 | $850
Live Cattle vs. Lean Hogs (Decrease) | $1,350 | $1,000 | $1,013 | $750
Lean Hogs vs. Feeder Cattle (Decrease) | $1,485 | $1,100 | $1,283 | $950
BFP Milk vs. Cheddar Cheese (2:1) (Increase) | $1,890 | $1,400 | $2,565 | $1,900
Stocker Cattle vs. Live Cattle (2:1) (Increase) | $540 | $400/MKT | $642 | $475/MKT

Currency Products, Outrights

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
British Pound (Decrease) | $1,485 | $1,100 | $1,215 | $900
Japanese Yen (Decrease) | $2,430 | $1,800 | $2,268 | $1,680
Brazilian Real (Decrease) | $5,600 | $4,000 | $4,900 | $3,500
Euro FX (Decrease) | $2,160 | $1,600 | $2,106 | $1,560

Currency Products, Calendar Spreads

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
Brazilian Real (Decrease) | $2,800 | $2,000 | $2,100 | $1,500

Currency Products, Inter-Commodity Spreads

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
British Pound vs. Australian Dollar (Decrease) | $1,620 | $1,200 | $1,485 | $1,100
British Pound vs. Japanese Yen (Decrease) | $2,295 | $1,700 | $2,025 | $1,500
Canadian Dollar vs. Australian Dollar (Decrease) | $1,080 | $800 | $945 | $700
Canadian Dollar vs. Deutsche Mark (Increase) | $1,215 | $900 | $1,485 | $1,100
Canadian Dollar vs. Swiss Franc (Increase) | $1,350 | $1,000 | $1,755 | $1,300
Canadian Dollar vs. French Franc (Increase) | $1,317 | $975 | $1,620 | $1,200

Currency Products, Inter-Commodity Spreads, Continued

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
Canadian Dollar vs. New Zealand Dollar (Increase) | $945 | $700 | $1,013 | $750
Canadian Dollar vs. EuroFX (2:1) (Increase) | $2,430 | $1,800 | $2,970 | $2,200
Deutsche Mark vs. Swiss Franc (Decrease) | $472 | $350 | $372 | $275
Japanese Yen vs. Australian Dollar (Decrease) | $2,565 | $1,900 | $2,295 | $1,700
Swiss Franc vs. French Franc (Decrease) | $675 | $500 | $473 | $350
Australian Dollar vs. New Zealand Dollar (Decrease) | $1,080 | $800 | $844 | $625

Index Products, Inter-Commodity Spreads

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
E-Mini S&P 500 vs. E-Mini NASDAQ 100 (2:3) (Decrease) | $4,590 | $3,400 | $4,320 | $3,200
S&P 500 vs. Nikkei 225 Stock (2:5) (Decrease) | $23,625 | $17,500 | $21,600 | $16,000
S&P 500 vs. NASDAQ 100 Index (2:3) (Decrease) | $22,950 | $17,000 | $21,600 | $16,000
S&P 500 vs. S&P 500 Growth Index (1:2) (Decrease) | $7,875 | $6,300 | $6,875 | $5,500
S&P 500 vs. S&P Growth/S&P Value Index (-1:1:1) (Increase) | $813 | $650 | $1,000 | $800
S&P 500 Growth Index vs. S&P 500 Value Index (Decrease) | $7,125 | $5,700 | $5,625 | $4,500

Interest Rate Products, Outrights

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
One-Month Libor (Increase) | $203 | $150 | $270 | $200
13-Week U.S. T-Bills (Increase) | $237 | $175 | $338 | $250
Euroyen Mo. 2 (Decrease) | „29,700 | „22,000 | „27,000 | „20,000
EuroCanada (Increase) | CAD338 | CAD250 | CAD405 | CAD300

Interest Rate Products, Calendar Spreads

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
13-Week U.S. T-Bills (Increase) | $203 | $150 | $237 | $175
ED Butterfly Mos. 4 - 5 (Decrease) | $237 | $175 | $135 | $100
ED Condor Mos. 4 - 5 (Decrease) | $237 | $175 | $135 | $100
ED Condor Mo. 1 (Skip 2) (Increase) | $372 | $275 | $405 | $300
ED Condor Mo. 2 (Skip 2) (Increase) | $270 | $200 | $304 | $225
ED Condor Mo. 1 (Skip 3) (Increase) | $372 | $275 | $439 | $325
ED Condor Mo. 2 (Skip 3) (Increase) | $270 | $200 | $304 | $225
ED Mos. 1- 8 Consecutive Spreads (Decrease) | $237 | $175 | $169 | $125
EY Butterfly Mos. 8 - Subsequent (Increase) | „40,500 | „30,000 | „67,500 | „50,000
EY Condor Mos. 7 - Subsequent (Increase) | „40,500 | „30,000 | „67,500 | „50,000

Interest Rate Products, Inter-Commodity Spreads

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
Eurodollar vs. 10-Year Japanese Government Bond (15:1) (Decrease) | $6,080 | $4,500 | $4,725 | $3,500
One-Month Libor vs. Euroyen (Increase) | $169 | $125 | $237 | $175
Euroyen vs. Japanese Yen (Decrease) | $2,565 | $1,900 | $2,295 | $1,700

Tier Rate Products, Calendar Spreads, Tier Configuration

Tier configuration is used to calculate the inter-month and delivery month performance bond requirements. Tiers allow for a more precise assessment of risk at the commodity month level. Each tier consists of at least one futures month, and all of the months within a tier are consecutive.

Eurodollar Tier Configuration

Tier | Month(s)
Tier (T1) | 1-4
Tier (T2) | 5-8
Tier (T3) | 9-12
Tier (T4) | 13-16
Tier (T5) | 17-20
Tier (T6) | 21-24
Tier (T7) | 25-28
Tier (T8) | 29-32
Tier (T9) | 33-36
Tier (T10) | 37-40
Tier (T11) | 41-44

*Includes serial months

Interest Rate Products, Calendar Spreads, Continued

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
ED Tier 1 vs. ED Tier 1 (Decrease) | $270 | $200 | $203 | $150
ED Tier 1 vs. ED Tier 2 (Increase) | $372 | $275 | $473 | $350
ED Tier 1 vs. ED Tier 3 (Increase) | $473 | $350 | $574 | $425
ED Tier 1 vs. ED Tier 4 (Increase) | $473 | $350 | $574 | $425
ED Tier 1 vs. ED Tier 5 (Increase) | $473 | $350 | $540 | $400
ED Tier 1 vs. ED Tier 6 (Increase) | $473 | $350 | $540 | $400
ED Tier 1 vs. ED Tier 7 (Increase) | $473 | $350 | $507 | $375
ED Tier 1 vs. ED Tier 8 (Increase) | $473 | $350 | $507 | $375
ED Tier 1 vs. ED Tier 9 (Increase) | $473 | $350 | $507 | $375
ED Tier 1 vs. ED Tier 10 (Increase) | $439 | $325 | $507 | $375
ED Tier 1 vs. ED Tier 11 (Increase) | $439 | $325 | $507 | $375
ED Tier 1 vs. ED Tier Dec '99 (Decrease) | $372 | $275 | $237 | $175
ED Tier 2 vs. ED Tier 2 (Increase) | $270 | $200 | $304 | $225

Interest Rate Products, Calendar Spreads, Continued

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
ED Tier 2 vs. ED Tier 3 (Increase) | $304 | $225 | $338 | $250
ED Tier 2 vs. ED Tier 7 (Increase) | $372 | $275 | $405 | $300
ED Tier 2 vs. ED Tier 8 (Increase) | $372 | $275 | $405 | $300
ED Tier 2 vs. ED Tier 9 (Increase) | $338 | $250 | $405 | $300
ED Tier 2 vs. ED Tier 10 (Increase) | $338 | $250 | $405 | $300
ED Tier 2 vs. ED Tier 11 (Increase) | $338 | $250 | $405 | $300
ED Tier 2 vs. ED Dec '99 (Increase) | $270 | $200 | $473 | $350
ED Tier 3 vs. ED Tier 3 (Increase) | $102 | $75 | $135 | $100
ED Tier 3 vs. ED Tier 5 (Increase) | $237 | $175 | $270 | $200
ED Tier 3 vs. ED Tier 6 (Increase) | $270 | $200 | $338 | $250
ED Tier 3 vs. ED Tier 7 (Increase) | $270 | $200 | $372 | $275
ED Tier 3 vs. ED Tier 8 (Increase) | $270 | $200 | $372 | $275
ED Tier 3 vs. ED Tier 9 (Increase) | $270 | $200 | $372 | $275

Interest Rate Products, Calendar Spreads, Continued

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
ED Tier 3 vs. ED Tier 10 (Increase) | $304 | $225 | $372 | $275
ED Tier 3 vs. ED Tier 11 (Increase) | $338 | $250 | $372 | $275
ED Tier 3 vs. ED Dec '99 (Increase) | $304 | $225 | $574 | $425
ED Tier 4 vs. ED Tier 6 (Increase) | $237 | $175 | $270 | $200
ED Tier 4 vs. ED Tier 7 (Increase) | $237 | $175 | $304 | $225
ED Tier 4 vs. ED Tier 8 (Increase) | $237 | $175 | $304 | $225
ED Tier 4 vs. ED Tier 9 (Increase) | $237 | $175 | $304 | $225
ED Tier 4 vs. ED Tier 10 (Increase) | $270 | $200 | $304 | $225
ED Tier 4 vs. ED Tier 11 (Increase) | $270 | $200 | $304 | $225
ED Tier 4 vs. ED Dec '99 (Increase) | $372 | $275 | $574 | $425
ED Tier 5 vs. ED Dec '99 (Increase) | $405 | $300 | $540 | $400
ED Tier 6 vs. ED Dec '99 (Increase) | $405 | $300 | $540 | $400
ED Tier 7 vs. ED Tier 7 (Decrease) | $68 | $50 | $34 | $25

Interest Rate Products, Calendar Spreads, Continued

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
ED Tier 7 vs. ED Tier 8 (Decrease) | $102 | $75 | $68 | $50
ED Tier 7 vs. ED Dec '99 (Increase) | $372 | $275 | $507 | $375
ED Tier 8 vs. ED Dec '99 (Increase) | $372 | $275 | $507 | $375
ED Tier 9 vs. ED Dec '99 (Increase) | $338 | $250 | $507 | $375
ED Tier 10 vs. ED Dec '99 (Increase) | $338 | $250 | $507 | $375
ED Tier 11 vs. ED Dec '99 (Increase) | $338 | $250 | $507 | $375

2. The Performance Bond Committee also reviewed price volatility statistics for the E-mini Japanese Yen and E-Mini Euro FX contracts and approved the performance bond requirement changes described below. These requirements will become effective, under Rule 403, with the launch of these contracts on October 7, 1999, but is still subject to additional committee review.

Currency Products, Outrights

| CURRENT | NEW
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
E-Mini Japanese Yen | N/A | N/A | $1,134 | $840
E-Mini EuroFX | N/A | N/A | $1,053 | $780

Currency Products, Calendar Spreads

| CURRENT | PROPOSED
Commodity | Speculative Initial | Maintenance & Hedge/Member | Speculative Initial | Maintenance & Hedge/Member
E-Mini Japanese Yen vs. E-Mini EuroFX | N/A | N/A | $1,485 | $1,100

Short Option Minimum

Short Option Minimum Changes

Under the Span Performance Bond methodology, performance bond requirements on short option contracts change on a day to day basis as the volatility of the underlying contract changes. The short option minimum is simply an indication of the minimum performance bond requirements, which is imposed on short option positions. In most cases, the SPAN performance bond requirements on short option positions will exceed the short option minimum. Please consult with your clearing member firm or the Clearing House for specific details on SPAN Short Option Minimum Performance Bond.

Commodity | Current | New
Live Cattle | $12 | $10
Lean Hogs | $23 | $20
Feeder Cattle | $19 | $18
Pork Bellies | $33 | $30
British Pound | $28 | $23
Japanese Yen | $45 | $42
Brazilian Real | $100 | $88
EuroFX | $40 | $39
Libor | $4 | $5
T-Bills | $5 | $7
EuroCanada | CAD7 | CAD8

Please contact the Risk Control Department at (312)648-3888, if you have any questions regarding these performance bond changes.