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VOLUME 21 - BULLETIN #188
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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September 19, 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, September 21, 2001:
CBOT Margin Rates
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From
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To
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10-Year Treasury Note
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$1,100
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$1,200
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5-Year Treasury Note
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$700
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$800
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2-Year Treasury Note
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$600
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$700
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30-Day Fed Funds
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$300
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$400
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Long Term Agency
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$1,200
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$1,300
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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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U.S. Treasury Bond vs. 10-Year Treasury Note (1:2)
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80%
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75%
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U.S. Treasury Bond vs. 5-Year Treasury Note (2:5)
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75%
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70%
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U.S. Treasury Bond vs. 2-Year Treasury Note (2:5)
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65%
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60%
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10-Year Treasury Note vs. 5-Year Treasury Note (2:3)
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85%
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80%
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Mortgage Backed vs. 5-Year Treasury Note (1:1)
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80%
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75%
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MACE Margin Rates
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From
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To
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10-Year Treasury Note
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$550
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$600
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5-Year Treasury Note
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$350
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$400
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From
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To
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MACE Inter-Commodity Spread Credit Rates
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Spread Savings%
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Spread Savings%
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U.S. Treasury Bond vs. 10-Year Treasury Note (1:2)
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80%
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75%
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U.S. Treasury Bond vs. 5-Year Treasury Note (2:5)
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75%
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70%
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10-Year Treasury Note vs. 5-Year Treasury Note (2:3)
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85%
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80%
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CBOT Mini Margin Rates
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From
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To
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Mini Dow Jones Industrial Averagesm
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---
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$800
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Mini U.S. Treasury Bond
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---
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$800
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Mini 10-Year Treasury Note
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---
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$600
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Mini New York Gold
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---
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$350
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Mini New York Silver
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---
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$200
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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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