Margins - CCFE.xls by censhunay

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									CCFE MARGIN RATE HISTORY
Updated        9/4/2009
                                                                                       Non-Expiration Month
                                                                   Maintenance    Initial Margin      Initial      Spread Margin
  Product      Date                                                  Margin       Surcharge %         Margin           Credit
SFI Futures

               9/4/2009   Pre-2010 expirations                             $200              0%             $200            80%
                          Pre- 2010 expirations of products with
                          Vintages of 2010 or later                        $150              0%             $150            80%
                          2010 and later expirations                       $150              0%             $150            80%
                          Vintage-to-Vintage                                                                                75%

               8/6/2009   Pre-2010 expirations                             $200              0%             $200            80%
                          Pre- 2010 expirations of products with
                          Vintages of 2010 or later                        $150              0%             $150            80%
                          2010 and later expirations                       $200              0%             $200            80%
                          Vintage-to-Vintage                                                                                75%

              6/25/2009   Pre-2010 expirations                             $350              0%             $350            80%
                          Pre- 2010 expirations of products with
                          Vintages of 2010 or later                        $200              0%             $200            80%
                          2010 and later expirations                       $250              0%             $250            80%
                          Vintage-to-Vintage                                                                                75%

               6/1/2009   Pre-2010 expirations                             $700              0%             $700            80%
                          Pre- 2010 expirations of products with
                          Vintages of 2010 or later                        $300              0%             $300            80%
                          2010 and later expirations                       $350              0%             $350            80%
                          Vintage-to-Vintage                                                                                75%

                                                                                                                            75%
              3/30/2009   Pre-2010 expirations                           $1,000              0%           $1,000            80%
                          Pre- 2010 expirations of products with
                          Vintages of 2010 or later                        $300              0%             $300            80%
                          2010 and later expirations                       $500              0%             $500            80%
                          Vintage-to-Vintage                                                                                75%
                          Outright (non-vintage)-to-Vintage                                                                 75%

               2/9/2009   Pre-2010 expirations                           $1,300              0%           $1,300            80%
                          Pre- 2010 expirations of products with
                          Vintages of 2010 or later                        $500              0%             $500            80%
                          2010 and later expirations                       $800              0%             $800            80%
                          Vintage-to-Vintage                                                                                75%
                          Outright (non-vintage)-to-Vintage                                                                 75%

              7/11/2008   Pre-2010 expirations                           $1,500              0%           $1,500            80%
                          Pre- 2010 expirations of products with
                          Vintages of 2010 or later                      $1,500              0%           $1,500            80%
                          2010 and later expirations                     $1,500              0%           $1,500            80%
                          Vintage-to-Vintage                                                                                75%

              1/31/2008   Pre-2010 expirations                           $1,000              0%           $1,000            80%
                          Pre- 2010 expirations of products with
                          Vintages of 2010 or later                        $600              0%             $600            80%
                          2010 and later expirations                       $600              0%             $600            80%

              9/21/2007   Pre-2010 expirations                           $1,000              0%           $1,000            80%
CCFE MARGIN RATE HISTORY
Updated          9/4/2009
                                                                                Non-Expiration Month
                                                          Maintenance      Initial Margin      Initial      Spread Margin
  Product       Date                                        Margin         Surcharge %         Margin           Credit
                            2010 and later expirations              $600               0%            $600            80%

               6/15/2007    Pre-2010 expirations                  $1,250               0%          $1,250            80%
                            2010 and later expirations              $650               0%            $650            80%

               9/29/2006    Pre-2010 expirations                    $975               0%            $975            80%
                            2010 and later expirations              $400               0%            $400            80%

               6/14/2006    Pre-2010 expirations                  $2,600               0%          $2,600            50%
                            2010 and later expirations            $1,300               0%          $1,300            50%

                6/1/2006
                5/1/2006
                4/3/2006                                          $2,600               0%          $2,600            50%
               3/20/2006                                          $2,600               0%          $2,600            50%
               2/28/2006
                2/8/2006                                          $2,600               0%          $2,600
                2/2/2006                                          $3,900               0%          $3,900
               1/30/2006                                          $2,600               0%          $2,600
               1/26/2006                                          $1,950               0%          $1,950
               12/1/2005
               11/8/2005                                          $1,300               0%          $1,300
               11/2/2005                                          $1,950               0%          $1,950
              10/31/2005                                          $1,300               0%          $1,300
              10/26/2005                                          $1,950               0%          $1,950
               8/31/2005
               5/31/2005
                3/3/2005
              12/10/2004                                          $1,300               0%          $1,300




SFI CVD Futures5/23/2005                                           $1,300              0%          $1,300
                                                         Contract delisted in May 05
CCFE MARGIN RATE HISTORY
Updated            4/21/2008
                                                                        Non-Expiration Month                                                          Expiration Month
                                                    Maintenance    Initial Margin      Initial      Spread Margin                      Maintenance     Initial Margin    Initial
    Product        Date                               Margin       Surcharge %         Margin           Credit      Contract Month       Margin        Surcharge %       Margin
NFI-OS Futures
                  4/21/2008                                 $225              0%             $225
                               Same Vintage                                                             100%
                               Vintage-to-Vintage                                                       75%

                  2/28/2008                                 $225              0%             $225        N/A        No longer applicable

                  2/27/2008                                 $550              0%             $550        N/A        Mar 08                     $825              0%            $825

                  1/29/2008                                 $550              0%             $550        N/A        Feb 08                     $825              0%            $825

                 12/28/2007                                 $550              0%             $550        N/A        Jan 08                     $825              0%            $825

                 11/29/2007                                 $550              0%             $550        N/A        Dec 07                     $825              0%            $825

                 10/29/2007                                 $550              0%             $550        N/A        Nov 07                     $825              0%            $825

                  9/26/2007                                 $550              0%             $550        N/A        Oct 07                     $825              0%            $825

                  8/29/2007                                 $550              0%             $550        N/A        Sep 07                     $825              0%            $825

                  7/30/2007                                 $550              0%             $550        N/A        Aug 07                     $825              0%            $825

                  6/28/2007                                 $550              0%             $550        N/A        Jul 07                     $825              0%            $825

                  5/30/2007                                 $550              0%             $550        N/A        Jun 07                     $825              0%            $825

                  4/27/2007                                 $550              0%             $550        N/A        May 07                     $825              0%            $825

                  3/30/2007                                 $550              0%             $550        N/A        April 07                   $825              0%            $825

                   3/1/2007                                 $550              0%             $550        N/A        Mar 07                     $825              0%            $825

                  2/23/2007                                 $550              0%             $550        N/A
CCFE MARGIN RATE HISTORY
Updated       4/21/2008
                                                  Non-Expiration Month                                                    Expiration Month
                            Maintenance      Initial Margin      Initial   Spread Margin                    Maintenance    Initial Margin    Initial
    Product   Date            Margin         Surcharge %         Margin        Credit      Contract Month     Margin       Surcharge %       Margin




                           Contract delisted in May 05
Spread Margin
    Credit




     N/A

     N/A

     N/A

     N/A

     N/A

     N/A

     N/A

     N/A

     N/A

     N/A

     N/A

     N/A

     N/A
Spread Margin
    Credit
CCFE MARGIN RATE HISTORY
Updated            9/4/2009
                                                                           Non-Expiration Month
                                                       Maintenance    Initial Margin      Initial
    Product        Date                                  Margin       Surcharge %         Margin
NFI-Annual Futures

                  9/8/2009    Vintage 2009 contracts           $175              0%             $175
                              Vintage 2010 contracts           $175              0%             $175
                              Vintage 2011 contracts           $100              0%             $100
                              Vintage 2012 contracts           $100              0%             $100
                              Vintage 2013 contracts            $50              0%              $50
                              Vintage 2014 contracts            $50              0%              $50
                              Same Vintage
                              Vintage-to-Vintage

                  8/6/2009    Vintage 2009 contracts           $300              0%             $300
                              Vintage 2010 contracts           $200              0%             $200
                              Vintage 2011 contracts           $200              0%             $200
                              Vintage 2012 contracts           $200              0%             $200
                              Vintage 2013 contracts            $50              0%              $50
                              Vintage 2014 contracts            $50              0%              $50
                              Same Vintage
                              Vintage-to-Vintage

                 6/25/2009    Vintage 2009 contracts           $500              0%             $500
                              Vintage 2010 contracts           $400              0%             $400
                              Vintage 2011 contracts           $300              0%             $300
                              Vintage 2012 contracts           $300              0%             $300
                              Vintage 2013 contracts           $100              0%             $100
                              Vintage 2014 contracts           $100              0%             $100
                              Same Vintage
                              Vintage-to-Vintage

                  6/1/2009    Vintage 2009 contracts         $1,000              0%           $1,000
                              Vintage 2010 contracts           $700              0%             $700
                              Vintage 2011 contracts           $600              0%             $600
                              Vintage 2012 contracts           $600              0%             $600
                              Vintage 2013 contracts           $200              0%             $200
                              Vintage 2014 contracts           $200              0%             $200
                              Same Vintage
                              Vintage-to-Vintage

                 3/30/2009    Vintage 2009 contracts         $1,500              0%           $1,500
                              Vintage 2010 contracts           $600              0%             $600
                              Vintage 2011 contracts           $600              0%             $600
                              Vintage 2012 contracts           $600              0%             $600
                              Vintage 2013 contracts           $200              0%             $200
                              Vintage 2014 contracts           $200              0%             $200
                              Same Vintage
                              Vintage-to-Vintage
 2/20/2009   Vintage 2009 contracts   $1,500   0%   $1,500
             Vintage 2010 contracts   $1,000   0%   $1,000
             Vintage 2011 contracts     $800   0%     $800
             Vintage 2012 contracts     $800   0%     $800
             Vintage 2013 contracts     $400   0%     $400
             Vintage 2014 contracts     $400   0%     $400
             Same Vintage
             Vintage-to-Vintage



12/24/2008                            $2,000   0%   $2,000
             Vintage-to-Vintage

 7/11/2008                            $1,000   0%   $1,000
             Vintage-to-Vintage

 4/21/2008                             $350    0%    $350
             Vintage-to-Vintage

 2/28/2008                             $350    0%    $350

 9/21/2007                            $1,500   0%   $1,500
n Month
          Spread Margin
              Credit




                  100%
                   75%




                  100%
                   75%




                  100%
                   75%




                  100%
                   75%




                  100%
                   75%
      100%
       75%



N/A
      75%

N/A
      75%

N/A
      75%

N/A

N/A
CCFE MARGIN RATE HISTORY
Updated                   9/4/2009
                                                                                     Non-Expiration Month


                                                                  Maintenance    Initial Margin
              Product    Date                                       Margin       Surcharge %
CFI Futures

                         9/4/2009    Expirations prior to 2013            $175               0%
                                     Expirations 2013 and after           $500               0%

                         8/6/2009    Expirations prior to 2013            $275               0%
                                     Expirations 2013 and after           $500               0%

                        6/25/2009    Expirations prior to 2013            $275               0%
                                     Expirations 2013 and after           $700               0%

                         3/2/2009    Expirations prior to 2013            $275               0%
                                     Expirations 2013 and after         $1,100               0%

                         9/5/2008                                         $275               0%

                        9/21/2007                                         $175               0%

                         8/3/2007                                         $275               0%
Non-Expiration Month                                                     Expiration Month


              Initial         Spread Margin                    Maintenance Initial Margin   Initial
              Margin              Credit      Contract Month     Margin    Surcharge %      Margin



                       $175       100%
                       $500       100%

                       $275       100%
                       $500       100%

                       $275       100%
                       $700       100%

                    $275          100%
                  $1,100          100%

                       $275       100%

                       $175       100%

                       $275       100%
h


    Spread Margin
        Credit
CCFE MARGIN RATE HISTORY
Updated                    9/4/2009
            Product                                                        Non-Expiration Month


          RGGI Futures                                  Maintenance    Initial Margin
                          Date                            Margin       Surcharge %

                          9/4/2009                              $175               0%
                                      Same Vintage
                                      Across Vintages

                         6/25/2009                              $200               0%
                                      Same Vintage
                                      Across Vintages

                         11/5/2008                              $450               0%
                                      Same Vintage
                                      Across Vintages

                         8/15/2008                              $450               0%
Contract delisted in May 05
Non-Expiration Month                                                       Expiration Month


              Initial         Spread Margin                      Maintenance Initial Margin   Initial
              Margin              Credit        Contract Month     Margin    Surcharge %      Margin

                       $175
                                         100%
                                          75%

                       $200
                                         100%
                                          75%

                       $450
                                         100%
                                          75%

                       $450        N/A
h


    Spread Margin
        Credit
CCFE MARGIN RATE HISTORY
Updated                       2/20/2009
              Product                                        Non-Expiration Month


          CCAR-CRT Futures                Maintenance    Initial Margin
                              Date          Margin       Surcharge %

                             2/20/2009            $300               0%
Contract delisted in May 05
Non-Expiration Month                                                     Expiration Month


              Initial         Spread Margin                    Maintenance Initial Margin   Initial
              Margin              Credit      Contract Month     Margin    Surcharge %      Margin

                       $300       100%
h


    Spread Margin
        Credit
CCFE MARGIN RATE HISTORY
Updated               8/6/2009
          Product                                   Non-Expiration Month


          REC-V                  Maintenance    Initial Margin
                     Date          Margin       Surcharge %
                     8/6/2009            $200               0%

                     6/2/2009            $250               0%

                    4/17/2009            $500               0%
Non-Expiration Month                                                     Expiration Month


              Initial         Spread Margin                    Maintenance Initial Margin   Initial
              Margin              Credit      Contract Month     Margin    Surcharge %      Margin
                       $200

                       $250

                       $500
h


    Spread Margin
        Credit
CCFE MARGIN RATE HISTORY
Updated              4/17/2009
          Product                                   Non-Expiration Month


          REC-NJ                 Maintenance    Initial Margin
                     Date          Margin       Surcharge %

                     8/6/2009            $100               0%

                    4/17/2009            $200               0%
Non-Expiration Month                                                     Expiration Month


              Initial         Spread Margin                    Maintenance Initial Margin   Initial
              Margin              Credit      Contract Month     Margin    Surcharge %      Margin

                       $100

                       $200
h


    Spread Margin
        Credit
CCFE MARGIN RATE HISTORY
Updated              4/17/2009
          Product                                   Non-Expiration Month


          REC-MA                 Maintenance    Initial Margin
                     Date          Margin       Surcharge %
                    4/17/2009            $300               0%
Non-Expiration Month                                                     Expiration Month


              Initial         Spread Margin                    Maintenance Initial Margin   Initial
              Margin              Credit      Contract Month     Margin    Surcharge %      Margin
                       $300
h


    Spread Margin
        Credit
CCFE MARGIN RATE HISTORY
Updated              4/17/2009
          Product                                   Non-Expiration Month


          REC-CT                 Maintenance    Initial Margin
                     Date          Margin       Surcharge %
                    4/17/2009            $300               0%
Non-Expiration Month                                                     Expiration Month


              Initial         Spread Margin                    Maintenance Initial Margin   Initial
              Margin              Credit      Contract Month     Margin    Surcharge %      Margin
                       $300
h


    Spread Margin
        Credit
CCFE MARGIN RATE HISTORY
Updated                   9/5/2008
                                                        Non-Expiration Month

                                     Maintenance    Initial Margin
              Product    Date          Margin       Surcharge %
CER Futures
                         9/5/2008          $1,750               0%

                        8/24/2007          $1,400               0%
Contract delisted in May 05
Non-Expiration Month                                                 Expiration Month

              Initial      Spread Margin                    Maintenance Initial Margin   Initial
              Margin           Credit      Contract Month     Margin    Surcharge %      Margin

                  $1,750        N/A

                  $1,400       N/A
h

    Spread Margin
        Credit
CCFE MARGIN RATE HISTORY
Updated    7/24/2009



Product     Date
IFEX ELF - Tropical Wind Events Futures
                                          (Margin levels for both buyer and seller are capped at the current maximum loss exposure of the position i
           6/1/2009     Dec 09, Dec 10    Pre-hurricane season              Event 1Loss Trigger Levels
                                                                            Event 2 Loss Trigger Levels

                                          Start of hurricane season
                                          (June 1st)                        Event 1Loss Trigger Levels
                                                                            Event 2 Loss Trigger Levels

                                          Storm - moderate threat           Event 1Loss Trigger Levels
                                                                            Event 2 Loss Trigger Levels

                                                    - severe threat         Event 1Loss Trigger Levels
                                                                            Event 2 Loss Trigger Levels
                                          ("Threat" margins for the Loss Trigger Levels will be determined and applied in two groups; $10bn & $20b
                                          depicted as the "start of hurricane season levels, but could be increased to "moderate" and "severe" levels
                                          depending on weather situations and /or contract "event" status.)

                                          Post-storm                        Margins will remain at the "storm" level if a storm makes landfal
                                                                            assess the margin level after PCS issues loss estimates.

                                          (Margin levels for both buyer and seller are capped at the current maximum loss exposure of the position i
           6/1/2008     Dec 08            Pre-hurricane season              Event 1Loss Trigger Levels
                                                                            Event 2 Loss Trigger Levels

                                          Start of hurricane season
                                          (June 1st)                        Event 1Loss Trigger Levels
                                                                            Event 2 Loss Trigger Levels

                                          Storm - moderate threat           Event 1Loss Trigger Levels
                                                                            Event 2 Loss Trigger Levels

                                                    - severe threat         Event 1Loss Trigger Levels
                                                                            Event 2 Loss Trigger Levels
                                          ("Threat" margins for the Loss Trigger Levels will be determined and applied in two groups; $10bn & $20b
                                                                              Margins will but could the "storm" level if a storm makes landfal
                                          depicted as the "start of hurricane season levels,remain atbe increased to "moderate" and "severe" levels
                                          Post-storm
                                                                            assess the margin level after PCS issues loss estimates.
                        Dec 09                                              Event 1Loss Trigger Levels
                                                                            Event 2 Loss Trigger Levels
Contract delisted in May 05
                           Maintenance
                             Margin                           Buyer                 Seller

 the current maximum loss exposure of the position in each of the listed margin categories.)
                               $1,000                      20% / $200             80% / $800
                                $500                       20% / $100             80% / $400


                               $3,000                      20% / $600            80% / $2,400
                               $1,000                      20% / $200             80% / $800

                               $6,000                     50% / 3,000            50% / 3,000
                               $1,000                     20% / $200             80% / $800

                              $10,000                     80% / $8,000           20% / $2,000
                               $1,000                      20% / $200             80% / $800
determined and applied in two groups; $10bn & $20bn and $30bn - $50bn. Event 2 margins are
 could be increased to "moderate" and "severe" levels at the discretion of The Clearing Corporation
ent" status.)

ain at the "storm" level if a storm makes landfall. The Clearing Corporation will re-
in level after PCS issues loss estimates.

 the current maximum loss exposure of the position in each of the listed margin categories.)
                               $1,000                      20% / $200             80% / $800
                                $500                       20% / $100             80% / $400


                               $3,000                      20% / $600            80% / $2,400
                               $1,000                      20% / $200             80% / $800

                               $6,000                     50% / 3,000            50% / 3,000
                               $1,000                     20% / $200             80% / $800

                              $10,000                     80% / $8,000           20% / $2,000
                               $1,000                      20% / $200             80% / $800
determined and applied in two groups; $10bn & $20bn and $30bn - $50bn. Event 2 margins are
 could the "storm" level if a storm makes landfall. the Clearing Corporation will re-
ain atbe increased to "moderate" and "severe" levels atThe discretion of The Clearing Corporation
in level after PCS issues loss estimates.
                               $1,000                      20% / $200             80% / $800
                                $500                       20% / $100             80% / $400
Contract delisted in May 05
CCFE MARGIN RATE HISTORY
Updated                            11/14/2008
                                                                   Non-Expiration Month


                                                Maintenance    Initial Margin
           Product                   Date         Margin       Surcharge %
Dow Jones Sustainability Index - World
                                  11/14/2008          $3,900               0%
Non-Expiration Month                                                  Expiration Month


              Initial      Spread Margin                    Maintenance Initial Margin   Initial
              Margin           Credit      Contract Month     Margin    Surcharge %      Margin

                  $3,900       100%
h


    Spread Margin
        Credit
CCFE MARGIN RATE HISTORY
Updated                           9/21/2007
                                                                 Non-Expiration Month


                                              Maintenance    Initial Margin
           Product                Date          Margin       Surcharge %
ECO-Clean Energy Index Futures
                                 9/21/2007            $750               0%

                                 7/13/2007            $400               0%
Contract delisted in May 05
Non-Expiration Month                                                     Expiration Month


              Initial         Spread Margin                    Maintenance Initial Margin   Initial
              Margin              Credit      Contract Month     Margin    Surcharge %      Margin

                       $750       100%

                       $400       100%
h


    Spread Margin
        Credit

								
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