| 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. | 