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VOLUME 21 - BULLETIN #255
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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December 12, 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, December 14, 2001:
CBOT Margin Rates
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From
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To
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U.S. Treasury Bond
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$1600
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$2000
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Mini U.S. Treasury Bond
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$800
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$1000
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10-Year Treasury Note
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$1000
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$1400
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Mini 10-Year Treasury Note
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$500
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$700
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5-Year Treasury Note
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$700
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$1000
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2-Year Treasury Note
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$700
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$900
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10-Year Interest Rate Swap
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$1000
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$1400
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Dow – AIG Commodity IndexSM
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$1000
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$600
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Mini Gold
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$350
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$200
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Mini Silver
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$200
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$150
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Long Term Agency
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$1300
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$1600
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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
Margin %
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Spread
Savings %
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Spread
Margin %
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Spread
Savings %
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5-Year Treasury Note vs. Long-Term Municipal Bond Index (1:1)
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45%
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55%
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30%
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70%
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2-Year Treasury Note vs. Mini Eurodollar (1:1)
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---
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---
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50%
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50%
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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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Oats vs. New Crop Oats (1:1)
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$100
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$200
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MACE Margin Rates
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From
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To
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5-Year Treasury Note
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$350
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$500
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MACE Old Crop vs. CBOT New Crop Spread Margins
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From
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To
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Oats vs. New Crop Oats (1:1)
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$20
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$40
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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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