VOLUME 21 - BULLETIN #210
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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October 17, 2001
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SUBJECT:
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Margin Updates
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The Board of Trade Clearing Corporation has authorized the following margin changes effective with the mid-day margin calculation on Friday, October 19, 2001:
CBOT Margin Rates
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From
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To
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Corn
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$550
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$300
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Soybeans
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$1000
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$700
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Soybean Oil
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$500
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$300
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Rice
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$600
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$400
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5-Year Treasury Note
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$800
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$900
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2-Year Treasury Note
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$700
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$850
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30-Day Fed Funds
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$400
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$600
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10-Year Interest Rate Swap
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------
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$1200
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Dow Jones-AIG Commodity Index SM
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------
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$1000
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|
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From
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To
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CBOT Inter-Commodity Spread Credit Rates
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Spread Savings%
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Spread Savings%
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10-Yr. Treasury Note vs. Long-Term Municipal Bond Index (1:1)
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75%
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70%
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Mini 10-Yr. Treasury Note vs. Long-Term Municipal Bond Index (2:1)
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75%
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70%
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U.S. Treasury Bond vs. Mortgage Backed (1:3)
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75%
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70%
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Mini U.S. Treasury Bond vs. Mortgage Backed (2:3)
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75%
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70%
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5-Yr. Treasury Note vs. Mortgage Backed (1:1)
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75%
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70%
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U. S. Treasury Bond vs. 2- Yr. Treasury Note (2:5)
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60%
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0%
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Mini U.S. Treasury Bond vs. 2-Yr. Treasury Note (4:5)
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60%
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0%
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2-Yr. Treasury Note vs. Long-Term Municipal Bond Index (1:1)
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60%
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0%
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10 Yr. Interest Rate Swap vs. Long-Term Agency Notes (1:1)
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-----
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60%
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Old Crop vs. New Crop Spread Margins
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From
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To
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Corn vs. New Crop Corn (1:1)
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$100
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$50
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MACE Margin Rates
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From
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To
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Corn
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$110
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$60
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Soybeans
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$200
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$140
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Soybean Oil
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$250
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$150
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5-Yr. Treasury Note
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$400
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$450
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MACE Old Crop vs. New Crop Spread Margins
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From
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To
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Corn vs. New Crop Corn (1:1)
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$20
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$10
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SM "Dow Jones," AIG ®" Dow Jones-AIG Commodity Index[SM]," and DJ-AIGCI[SM]" are service marks of Dow Jones & Company, Inc. and American International Group, Inc., as the case may be, and have been licensed for use for certain purposes by the CBOT. The CBOT Dow Jones- AIG Commodity Index futures and futures options are not sponsored, endorsed or sold by Dow Jones, AIG, American International Group, or any of their respective subsidiaries or affiliates, and none of Dow Jones, AIG, American International Group, or any of their respective subsidiaries or affiliates, makes any representation regarding the advisability of investing in such product(s)."
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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