Performance Bond (margin) Advisory Notice
To | Chief Financial Officers, Back Office Managers, Margin Managers
From | Clearing House Department
Subject | Performance Bond Requirement Changes - E-Mini Russell 2000
Effective Date | 10/09/01
Notice Number | 01-70
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. The Clearing House Performance Bond Staff reviewed price volatility statistics for the new E-Mini Russell 2000 contract and approved the performance bond requirements described below. These requirements will become effective with the launch of this contract Wednesday, October 24, 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 Index Products, Outrights E-Mini Russell 2000
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | $4,350 | $3,480
Hedge/Member | N/A | N/A | $3,480 | $3,480
Index Products, Intra-Commodity Spreads E-Mini Russell 2000
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | $32 | $25
Hedge/Member | N/A | N/A | $25 | $25
Index Products, Inter-Commodity Spreads E-Mini Russell 2000 vs. E-Mini S&P 500 (3:2)
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | $3,500 | $2,800
Hedge/Member | N/A | N/A | $2,800 | $2,800
E-Mini Russell 2000 vs. E-Mini NASDAQ 100
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | $3,250 | $2,600
Hedge/Member | N/A | N/A | $2,600 | $2,600
E-Mini Russell 2000 vs. Fortune E-50 Index
Rate Type | Current Initial | Current Maintenance | New Initial | New Maintenance
Spec | N/A | N/A | $2,500 | $2,000
Hedge/Member | N/A | N/A | $2,000 | $2,000
Please contact the Risk Control Department at 312/648-3888, if you have any questions regarding these performance bond changes.