Performance Bond (margin) Advisory Notice
To | Chief Financial Officers, Back Office Managers, Margin Managers
From | Clearing House
Subject | Performance Bond Requirements - June 12, 2001
Effective Date | 06/12/01
Notice Number | 01-43
The Clearing House Performance Bond Staff reviewed price volatility statistics for the Eurodollar Contract and approved the performance bond requirements changes described below. These requirement changes will become effective Tuesday, June 12, 2001. SPAN� MINIMUM PERFORMANCE BOND REQUIREMENTS Interest Rate Products, Intra-Commodity Spreads Eurodollar (ED) - Tier 4 vs. Tier 4 [Months 13-16 vs. Months 13-16]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Intra-Commodity Spread � Spec | Decrease | $237 | $175 | $135 | $100
Intra-Commodity Spread � Hedge | Decrease | $175 | $175 | $100 | $100
Intra-Commodity Spread � Member | Decrease | $175 | $175 | $100 | $100
Eurodollar (ED) - Tier 4 vs. Tier 5 [Months 13-16 vs. Months 17-20]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Intra-Commodity Spread � Spec | Decrease | $304 | $225 | $203 | $150
Intra-Commodity Spread � Hedge | Decrease | $225 | $225 | $150 | $150
Intra-Commodity Spread � Member | Decrease | $225 | $225 | $150 | $150
Eurodollar (ED) - Tier 4 vs. Tier 6 [Months 13-16 vs. Months 21-24]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Intra-Commodity Spread � Spec | Decrease | $372 | $275 | $270 | $200
Intra-Commodity Spread � Hedge | Decrease | $275 | $275 | $200 | $200
Intra-Commodity Spread � Member | Decrease | $275 | $275 | $200 | $200
Eurodollar (ED) - Tier 4 vs. Tier 7 [Months 13-16 vs. Months 25-28]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Intra-Commodity Spread � Spec | Decrease | $405 | $300 | $304 | $225
Intra-Commodity Spread � Hedge | Decrease | $300 | $300 | $225 | $225
Intra-Commodity Spread � Member | Decrease | $300 | $300 | $225 | $225
Eurodollar (ED) - Tier 4 vs. Tier 8 [Months 13-16 vs. Months 29-32]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Intra-Commodity Spread � Spec | Decrease | $473 | $350 | $405 | $300
Intra-Commodity Spread � Hedge | Decrease | $350 | $350 | $300 | $300
Intra-Commodity Spread � Member | Decrease | $350 | $350 | $300 | $300
Eurodollar (ED) - Tier 4 vs. Tier 9 [Months 13-16 vs. Months 33-36]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Intra-Commodity Spread � Spec | Decrease | $540 | $400 | $473 | $350
Intra-Commodity Spread � Hedge | Decrease | $400 | $400 | $350 | $350
Intra-Commodity Spread � Member | Decrease | $400 | $400 | $350 | $350
Eurodollar (ED) - Tier 4 vs. Tier 10 [Months 13-16 vs. Months 37-40]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Intra-Commodity Spread � Spec | Decrease | $642 | $475 | $574 | $425
Intra-Commodity Spread � Hedge | Decrease | $475 | $475 | $425 | $425
Intra-Commodity Spread � Member | Decrease | $475 | $475 | $425 | $425
Eurodollar (ED) - Tier 4 vs. Tier 11 [Months 13-16 vs. Months 41-44]
Rate Type | Change | Current Initial | Current Maintenance | New Initial | New Maintenance
Intra-Commodity Spread � Spec | Decrease | $743 | $550 | $675 | $500
Intra-Commodity Spread � Hedge | Decrease | $550 | $550 | $500 | $500
Intra-Commodity Spread - Member | Decrease | $550 | $550 | $500 | $500
Please contact the Risk Management Department at 312-648-3888, if you have any questions regarding these performance bond changes. 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.