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VOLUME 22 - BULLETIN #103
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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May 22, 2002
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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, May 24, 2002:
CBOT Margin Rates
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From
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To
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Agency Long Term
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$1400
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$1200
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U.S. Treasury Bonds
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$2000
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$1800
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10-Year Treasury Note
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$1400
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$1200
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5-Year Treasury Note
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$1000
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$900
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2-Year Treasury Note
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$900
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$800
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10-Year Swap
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$1400
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$1200
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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
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Rate
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5-Year Swap
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$1150
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CBOT Inter-Commodity Spread Credit Rates
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Spread
Savings %
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10-Year Swap vs. 5-Year Swap (1:2)
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80%
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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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