VOLUME 20 - BULLETIN #242
TO:
|
ALL CLEARING MEMBERS
|
FROM:
|
BUSINESS SYSTEMS GROUP
|
DATE:
|
August 16, 2000
|
SUBJECT:
|
Margin Updates
|
The Board of Trade Clearing Corporation has authorized the following margin changes effective with the mid-day margin calculation on Friday, August18, 2000:
CBOT® Margin Rates
|
From
|
To
|
|
|
|
|
Wheat
|
$ 550
|
$ 500
|
|
|
|
|
CBOT Implied Volatility Scan
|
From
|
To
|
|
|
|
|
Wheat
|
20%
|
15%
|
Corn
|
9%
|
15%
|
Soybean Meal
|
11%
|
20%
|
Long Term Agency
|
17%
|
15%
|
U.S. Treasury Bond
|
13%
|
10%
|
10-Year U.S. Treasury Note
|
17%
|
15%
|
5-Year U.S. Treasury Note
|
25%
|
15%
|
|
|
|
|
MACE Margin Rates
|
From
|
To
|
|
|
|
|
Wheat
|
$110
|
$ 100
|
|
|
|
|
MACE Implied Volatility Scan
|
From
|
To
|
|
|
|
|
Wheat
|
20%
|
15%
|
Corn
|
9%
|
15%
|
U.S. Treasury Bond
|
13%
|
10%
|
|
|
|
|
MACE Inter-Commodity Spread Credit Rates
|
From
|
To
|
|
|
Spread Credit %
|
Spread Credit %
|
|
|
|
|
MA Eurodollar vs. MA Treasury Bill (1:1)
|
78.06%
|
0%
|
|
|
|
|
Volume 20 - Bulletin #242 Page 2
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
“Dow JonesSM”, “The DowSM” and “Dow Jones Industrial AverageSM” are service marks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by the Board of Trade of the City of Chicago (“CBOT”). The CBOT’s futures and futures options contracts based on the Dow Jones Industrial AverageSM are not sponsored, endorsed, sold or promoted by Dow JonesSM, and Dow JonesSM makes no representation regarding the advisability of trading such product(s).
CBOT is a registered trademark of the Board of Trade of the City of Chicago.
| 
Printer
Friendly Version