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VOLUME 20 - BULLETIN #86
TO:
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ALL CLEARING MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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March 14, 2000
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SUBJECT:
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Margin Rates - CBOT Long Term Fannie Mae® Benchmark and Freddie Mac® Reference Notes
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The Board of Trade Clearing Corporation has adopted the following margin parameters in connection with the start of trading of the CBOT Long Term Fannie Mae® Benchmark and Freddie Mac® Reference Notes ("Long Term FNMA/Freddie Mac") on Wednesday, March 15, 2000:
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CBOT Margin Interval
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Margin Rates
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CBOT Long Term Fannie Mae® Benchmark
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$700
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and Freddie Mac® Reference Notes
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CBOT Inter-Commodity Spread Credits
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Spread Savings %
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U.S. Bonds vs. Long Term FNMA/Freddie Mac (1:2)
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75%
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Long Term FNMA/Freddie Mac vs. U.S. 10 Yr. Notes (1:1)
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80%
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Long Term FNMA/Freddie Mac vs. U.S. 5 Yr. Notes (2:3)
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80%
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Long Term FNMA/Freddie Mac vs. U.S. 2 Yr. Notes (2:3)
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70%
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Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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