Hurricane Season Margin Model for CCFE IFEX US Tropical Wind Event Linked Futures

PRESS RELEASE

May 7 2008

IFEX is pleased to announce that the Chicago Climate Futures Exchange (‘CCFE’) has designed a margin model for the CCFE IFEX US Tropical Wind Event Linked futures that will be applied during and after the North Atlantic hurricane season.

The model provides for adjustable margins for the North Atlantic hurricane season (June 1 to November 30). The system of adjustable maintenance margin for the hurricane season will reflect the degree of risk that tropical storms and hurricanes could generate significant insured losses and trigger any of the CCFE ELF contract $10bn, $20bn, $30bn, $40bn and $50bn Loss Trigger Levels. The model also determines appropriate post-hurricane season margins for the applicable Loss Trigger Levels.

The model identifies four stages of margin: Pre- and Post-Hurricane Season, Start of Hurricane Season, Storm and Post-Storm.  Margin levels are flat rates that will change within the four stages and will also shift the risk accordingly between buyers and sellers.

Pre- and Post-Hurricane Season Margins

                     Buyer              Seller
Event 1:          $200               $800
Event 2:          $100               $400

(CCFE anticipates offering Event 2 products in the near future.)

Start of Hurricane Season Margins

                     Buyer              Seller
Event 1:          $600               $2,400
Event 2:          $200               $   800

Storm Margins

Moderate Threat:  (A storm has a moderate potential to cause insured property losses equal to one or more LTLs.)

                     Buyer              Seller
Event 1:          $3,000            $3,000
Event 2:          $  200             $   800

Severe Threat: (A storm has a reasonable potential to cause insured property losses equal to one or more LTLs.)

                     Buyer              Seller
Event 1:          $8,000            $2,000
Event 2:          $  200             $   800

The model uses a scoring system developed by leading risk management consultants, Risk Management Solutions (‘RMS’), which quantify the risk that a tropical storm or hurricane will cause insurance losses that will reach Loss Trigger Levels. The scores calculated by RMS are based on the speed, strength, direction and location of the relevant storms in the North Atlantic.  RMS will administer the scoring system for CCFE when tropical storms are present in the North Atlantic.

(Storm Margin application for eastern Pacific tropical storms and hurricanes that threaten Hawaii and the U.S. West Coast will be implemented accordingly.)

Post-Storm Margins

Margin levels after a tropical storm or hurricane will be dependent on the loss estimates published by Property Claim Services (‘PCS’).  When apparent that insured property losses will not exceed 75% of LTLs, margins will revert to the Start of Hurricane Season levels.

The margin model will be implemented prior to the start of the hurricane season.  Margin examples for the IFEX US Tropical Wind Event Linked futures will be shown at http://www.theccx.com and http://www.theifex.com .