VOLUME 22 - BULLETIN #103
TO:
|
ALL CLEARING MEMBERS
|
FROM:
|
BUSINESS SYSTEMS GROUP
|
DATE:
|
May 22, 2002
|
SUBJECT:
|
Margin Updates
|
The Board of Trade Clearing Corporation has authorized the following margin changes effective with the mid-day margin calculation on Friday, May 24, 2002:
CBOT Margin Rates
|
From
|
To
|
Agency Long Term
|
$1400
|
$1200
|
U.S. Treasury Bonds
|
$2000
|
$1800
|
10-Year Treasury Note
|
$1400
|
$1200
|
5-Year Treasury Note
|
$1000
|
$900
|
2-Year Treasury Note
|
$900
|
$800
|
10-Year Swap
|
$1400
|
$1200
|
Additionally, the following margin requirement and spread credit for the new 5-Year Swap contract that is tentatively scheduled to launch June 21, 2002, has been approved:
CBOT Margin Rates
|
Rate
|
5-Year Swap
|
$1150
|
|
CBOT Inter-Commodity Spread Credit Rates
|
Spread
Savings %
|
10-Year Swap vs. 5-Year Swap (1:2)
|
80%
|
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
|
Printer
Friendly Version