Performance Bond (margin) Advisory Notice
To | Chief Financial Officers, Back Office Managers, Margin Managers
From | Clearing House
Subject | Performance Bond Requirements - June 21, 2001
Effective Date | 06/07/01
Notice Number | 01-40
The Clearing House Performance Bond Staff reviewed price volatility statistics for the new MEFF Stock Index Futures contracts and approved the performance bond requirements described below. These requirements will become effective with the launch of these contracts on June 21, 2001 . SPAN� MINIMUM PERFORMANCE BOND REQUIREMENTS Index Products, Outrights S&P Europe 350
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR2,125 | EUR1,700
Hedge/Member | N/A | N/A | EUR1,700 | EUR1,700
Telecom Sector Index
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR4,250 | EUR3,400
Hedge/Member | N/A | N/A | EUR3,400 | EUR3,400
Info Tech Sector Index
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR10,500 | EUR8,400
Hedge/Member | N/A | N/A | EUR8,400 | EUR8,400
Financial Sector Index
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR2,750 | EUR2,200
Hedge/Member | N/A | N/A | EUR2,200 | EUR2,200
Index Products, Intra-Commodity Spreads S&P Europe 350
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR63 | EUR50
Hedge/Member | N/A | N/A | EUR50 | EUR50
Telecom Sector Index
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR63 | EUR50
Hedge/Member | N/A | N/A | EUR50 | EUR50
Info Tech Sector Index
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR125 | EUR100
Hedge/Member | N/A | N/A | EUR100 | EUR100
Financial Sector Index
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR63 | EUR50
Hedge/Member | N/A | N/A | EUR50 | EUR50
Index Products, Inter-Commodity Spreads S&P Europe 350 vs. Telecom
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR3,750 | EUR3,000
Hedge/Member | N/A | N/A | EUR3,000 | EUR3,000
S&P Europe 350 vs. Info Tech (3:2)
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR20,625 | EUR16,500
Hedge/Member | N/A | N/A | EUR16,500 | EUR16,500
S&P Europe 350 vs. Financial
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR1,250 | EUR1,000
Hedge/Member | N/A | N/A | EUR1,000 | EUR1,000
Telecom vs. InfoTech (3:2)
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR12,500 | EUR10,000
Hedge/Member | N/A | N/A | EUR12,500 | EUR10,000
Telecom vs. Financial
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR4,375 | EUR3,500
Hedge/Member | N/A | N/A | EUR3,500 | EUR3,500
Info Tech vs. Financial (1:2)
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | EUR10,500 | EUR8,400
Hedge/Member | N/A | N/A | EUR8,400 | EUR8,400
S&P 500 vs. S&P Europe 350 ( 1:13 )
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | $23,125 | $18,500
Hedge/Member | N/A | N/A | $18,500 | $18,500
Nasdaq 100 vs. S&P Europe 350 (1:7)
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | $30,625 | $24,500
Hedge/Member | N/A | N/A | $24,500 | $24,500
Index Products, Short-Option Minimum
S&P Europe 350 | EUR50
Telecom Sector Index | EUR100
Info Tech Sector Index | EUR225
Financial Sector Index | EUR60
Index Products, Volatility Scan Range
S&P Europe 350 | 5.0%
Telecom Sector Index | 8.0%
Info Tech Sector Index | 10.0%
Financial Sector Index | 5.0%
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