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Chicago Climate Futures Exchange _CCFE_ - ICE

VIEWS: 7 PAGES: 2

  • pg 1
									                                                       Chicago Climate Futures Exchange (CCFE)



                                                                             Loss
                                                                                             Buyer          Seller       Effective
           Product                   Season                 Event           Trigger
                                                                                             Margin         Margin         Date
                                                                            Levels*
IFEX-ELF                        Pre-hurricane               Event 1            All            $200            $800           6/30/2010
                                season                    Event 2,3,4          All            $100            $400           6/30/2010
Insurance Futures Exchange      Start of hurricane          Event 1            **               **              **           9/9/2010
Event-Linked Futures            season (June 1)           Event 2,3,4          All            $200            $800           6/30/2010
                                Storm - moderate            Event 1            All            $3,000         $3,000          6/30/2010
                                threat                    Event 2,3,4          All            $200            $800           6/30/2010
                                Storm - severe              Event 1            All            $8,000         $2,000          6/30/2010
                                threat                    Event 2,3,4          All            $200            $800           6/30/2010
                                                       Margins will remain at the "storm" level if a storm makes landfall.
                                Post-storm             The Clearing Corporation will re-assess the margin level
                                                        after PCS issues loss estimates.


                                    Contracts                                                                            *Loss Trigger Levels
11 - US Tropical Wind Event 1 10B                     6A - US Event 1 15B                                  $10 Billion total losses as estimated by
12 - US Wind Event 1 20B                              6B - US Event 1 25B                                  Property Claims Services (PCS)             $15B
13 - US Wind Event 1 30B                              6C - US Event 1 60B                                  $20B                                       $25B
14 - US Wind Event 1 40B                              6D - US Event 1 75B                                  $30B                                       $60B
15 - US Wind Event 1 50B                             6E - US Event 1 100B                                  $40B                                       $75B
17-21 US Wind Event 2 10-50B                          6F - US Event 2 15B                                  $50B                                       $100B
23-27 US Wind Event 3 10-50B                          6G - US Event 2 25B
29-33 US Wind Event 4 10-50B                          6K - US Event 3 15B
49 - Florida Wind Event 1 10B                         6L - US Event 3 25B
50-53 FL Wind Event 1 20-50B                          6P - US Event 4 15B
55-60 FL Wind Event 2 10-50B                 7A-7E FL Wind Event 1 15-100B
61 - Gulf Coast Wind Event 1 10B                8A-8E GCW Event 1 15-100B                                  ** Start of hurricane season Event 1
62-65 GCW Event 1 20-50B                             8F - GCW Event 2 15B                   Product           Loss      Buyer      Seller  Effective
66-70 GCW Event 2 10-50B                             8G - GCW Event 2 25B              ESW(SC,SD,SE)         $10-20B          $5,000       $7,000      8/22/2011
4A - FL Wind Event 3 10B                             8K - GCW Event 3 15B              ESW                    >$20B           $3,000       $3,000      8/22/2011
4B - FL Wind Event 3 20B                             8L - GCW Event 3 25B              USW(11)                $10B            $5,000       $7,000      8/22/2011
4C - FL Wind Event 3 30B                             8P - GCW Event 4 15B              USW(6A,12)            $15-20B          $5,000       $7,000      8/22/2011
4D - FL Wind Event 3 40B                 SC - Eastern Seaboard Wind Event 1 10B USW(6B)                       $25B            $5,000       $7,000      8/22/2011
4E - FL Wind Event 3 50B                             SD - ESW Event 1 15B              USW                    >$25B           $3,000       $3,000      8/22/2011
4F-4J FL Wind Event 3 10-50B                         SE - ESW Event 1 20B              FLW(49,7A,50)         $10-20B          $5,000       $7,000      8/22/2011
4K - GCW Event 3 10B                                 SF - ESW Event 1 25B              FLW                    >$20B           $3,000       $3,000      8/22/2011
4L - GCW Event 3 20B                     FA - Northeast Tropical Wind Event 1 10B NEW(FA)                     $10B            $3,000       $3,000      9/9/2010
4M - GCW Event 3 30B                                 FB - NEW Event 1 15B              NEW(FB,FC)            $15-20B          $3,000       $3,000      9/3/2010
4N - GCW Event 3 40B                                 FC - NEW Event 1 20B              NEW                    >$20B            $600        $2,400      6/30/2010
4O - GCW Event 3 50B                                 FD - NEW Event 1 25B              GCW(61)                $10B            $3,000       $3,000      9/9/2010
4P-4T GCW Event 4 10-50B                             FE - NEW Event 1 30B              GCW                    >$10B            $600        $2,400      6/30/2010


***Margin levels for both buyer and seller are capped at the current maximum loss exposure of the position in each of the listed margin
categories. Event 2,3,4 margins are depicted as the "start" of hurricane season levels but could be increased to "moderate" and "severe"
levels at the discretion of The Clearing Corporation depending on weather situations and/or contract "event" status.




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                                                                                           X:\Latest Spreadsheets\Margin\ICE CLEAR_US_Margin_Requirements.xls
                                                                 Chicago Climate Futures Exchange (CCFE)

                                                                                                                                         Effective
                                 Product                                               Contract                      Margin
                                                                                                                                           Date
CCAR-CRT                                                                               Non-Vintage                      $200
                       California Climate Action Registry                          Vintage 2009-2011                    $200             8/30/2010
                       Climate Reserve Tonnes Futures                              Inter-Vintage Spread            75% Discount*
CER - Certified Emission Reduction Units                                                   All                         $1,750             9/5/2008
CFI - Carbon Financial Instrument Futures                                                  All                          $100             3/22/2010
CFI-EA - Carbon Financial Instrument EA Futures                                            All                          $150             11/20/2009
CFI-US - US CFI Futures                                                                    All                          $600             12/8/2010
CFI-US.O - US CFI Futures Offset                                                           All                          $100             3/22/2010
DJSI-W (DW) - Dow Jones Sustainability Index World                                         All                         $3,900            11/14/2008
ECO - WilderHill Clean Energy Index Futures                                                All                          $750             9/21/2007
NFI-A                                                                              Vintage 2009-2011                    $100
              EPA CAIR Annual NOx Emission Allowance Futures                       Vintage 2012-2014                    $50              8/30/2010
                                                                                   Inter-Vintage Spread            75% Discount*
NFI-OS                                                                         Vintage 2009, 2011 & 2012                $150
         EPA NOx "Ozone Season" SIP Call Emission Allowance Futures                   Vintage 2010                      $100             12/8/2010
                                                                                   Inter-Vintage Spread            75% Discount*
REC-CT Renewable Energy Certificate Futures - Connecticut                                  All                          $200             12/8/2010
REC-MA Renewable Energy Certificate Futures - Massachusetts                                All                          $200             12/8/2010
REC-NJ Renewable Energy Certificate Futures - New Jersey                                   All                          $50              12/8/2010
REC-V Renewable Energy Certificate Futures - Voluntary                                     All                          $200              8/6/2009
                                                                               Vintage 2009, 2010 & 2011                $100
RGGI - Regional Greenhouse Gas Initiative Futures                                     Vintage 2012                      $200             12/8/2010
                                                                                   Inter-Vintage Spread            75% Discount*
                                                                                      Vintage 2009                      $100
                                                                                  Vintage 2010 & 2011                   $100
                                                                                   Vintage 2012-2020                    $50
                                                                                   NV pre March 2010                    $150
SFI - Sulfur Financial Instruments                                            NV post 3/10 pre March 2011               $100             12/8/2010
                                                                              Non-Vintage post March 2011
                                                                                                                        $100
                                                                                  and Pre March 2012
                                                                              Non-Vintage post March 2012               $50
                                                                                   Inter-Vintage Spread            75% Discount*


                                                                          Contracts
KS - SFI                                                                                                     N1 - NFI-OS Vintage 2010
KC - SFI Vintage 09                                                                                          N2 - NFI-OS Vintage 2011
KD - SFI Vintage 10                                                                                          N3 - NFI -OS Vintage 2012
KF - SFI Vintage 11                                                                                          NA - NITROGEN BANK
KG - SFI Vintage 12                                                                                          Q5 - RGGI Vintage 2011
KH - SFI Vintage 13                                                                                          Q6 - RGGI Vintage 2012
WC - CFI                                                                                                     R7 - REC-CT
W4 - US CFI                                                                                                  R8 - REC-MA
WE - ECO                                                                                                     R9 - REC-NJ
Z4 - NFI-A V2011
Z5 - NFI-A V2012
*Intervintage spread discounts are calculated as the sum of both legs' margins (i.e. NFI-A V10/V11 spread would be $37.50)
                                                            **All calendar spreads have a 100% discount unless otherwise noted




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