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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