Performance Bond (margin) Advisory Notice
To | Chief Financial Officers, Back Office Managers, Margin Managers
From | Clearing House
Subject | Performance Bond Requirements - June 18, 2001
Effective Date | 06/15/01
Notice Number | 01-44
The Clearing House Performance Bond Staff reviewed price volatility statistics for the Eurodollar, Lumber and Milk contracts and approved the performance bond requirement changes described below. The Milk and Eurodollar requirements will become effective at the close of business Monday, June 18, 2001 . The Lumber requirements will become effective at the close of business on Monday, July 2, 2001 and Monday, July 9, 2001. For a complete listing of all Exchange minimum Performance Bond Requirements, please consult the SPAN� Minimum Performance Bond Requirements. SPAN� MINIMUM PERFORMANCE BOND REQUIREMENTS Agricultural Products, Outrights (Effective Monday, June 18, 2001) BFP Milk (DA) [ Mo. 02-05]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | Increase | $945 | $700 | $1,485 | $1,100
Hedge/Member | Increase | $700 | $700 | $1,100 | $1,100
BFP Milk (DA) [ Mo. 06-12]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | Increase | $945 | $700 | $1,485 | $1,100
Hedge/Member | Increase | $700 | $700 | $1,100 | $1,100
Class IV Milk (DK) [ Mo. 02-05]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Delivery Month � Spec | Increase | $1,080 | $800 | $1,350 | $1,000
Delivery Month - Hedge/Member | Increase | $800 | $800 | $1,000 | $1,000
Class IV Milk (DK) [ Mo. 06-12]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | Increase | $1,080 | $800 | $1,350 | $1,000
Hedge/Member | Increase | $800 | $800 | $1,000 | $1,000
Interest Rate Products, Intra-Commodity Spreads Eurodollar (ED) - All Months Butterfly [ Mo. 8 - Subsequent]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | Decrease | $68 | $50 | $34 | $25
Hedge/Member | Decrease | $50 | $50 | $25 | $25
Eurodollar (ED) - All Months Condor [ Mo. 8 - Subsequent]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | Decrease | $68 | $50 | $34 | $25
Hedge/Member | Decrease | $50 | $50 | $25 | $25
Agricultural Products, Outrights (Effective: Monday, July 2, 2001) Lumber (LB) (Delivery Month)
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Delivery Month � Spec | Increase | $1,950 | $1,300 | $3,300 | $2,200
Delivery Month - Hedge/Member | Increase | $1,300 | $1,300 | $2,200 | $2,200
Effective: Monday, July 9, 2001 Lumber (LB) (Delivery Month)
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Delivery Month � Spec | Increase | $3,300 | $2,200 | $4,950 | $3,300
Delivery Month - Hedge/Member | Increase | $2,200 | $2,200 | $3,300 | $3,300
Short Options 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.
| Current | New
BFP Milk | $20 | $28
Class IV Milk | $20 | $25
This document can be received electronically. Send an e-Mail to lists@cme.com with the text �subscribe pbrates� in the body of the message to subscribe.