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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. |
