VOLUME 22 – BULLETIN #198
TO:
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ALL CLEARING MEMBERS
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FROM:
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CLIENT SERVICES AND SUPPORT
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DATE:
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October 16, 2002
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SUBJECT:
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Margin Updates
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The Board of Trade Clearing Corporation has approved the following margin and spread margin rate changes effective with the mid-day calculation on Friday, October 18, 2002:
CBOT Margin Rates
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From
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To
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10 Year Swap
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$1600
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$1300
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5 Year Swap
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$1150
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$1000
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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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U.S. Treasury Bond vs. 10 Year Agency Note (1:2)
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30%
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70%
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20%
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80%
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10 Year Treasury Note vs. Muni-Bond Index (1:1)
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35%
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65%
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25%
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75%
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5 Year Treasury Note vs. Muni-Bond Index (1:1)
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40%
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60%
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30%
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70%
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CBOT Implied Volatility Scan
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From
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To
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10 Year Swap
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---
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15%
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5 Year Swap
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---
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15%
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Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:
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