VOLUME 23 – BULLETIN #147
TO:
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ALL CLEARING PARTICIPANTS
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FROM:
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CLIENT SERVICES AND SUPPORT
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DATE:
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November 6, 2003
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SUBJECT:
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CDX Margin Rates
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With the launch of the CDX Exchange, the following margin rates will become effective with the mid-day calculation on Friday, November 7, 2003:
CDX Margin Intervals
Products
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Code
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Spread
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AL Ldn NA A380 Day
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AA
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$1000
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AL Ldn NA A380 MAS1
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AB
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$1000
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AL MW Srvy A380 Day
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AC
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$1000
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AL MW Srvy A380 MAS1
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AD
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$1000
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AL Ldn Alloy Day
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AE
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$1000
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AL Ldn Alloy MAS1
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AF
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$1000
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AL Ldn Hi Grade Day
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AG
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$1000
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AL Ldn Hi Grade MAS1
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AH
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$1000
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AL MW Trns Srvy Day
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AI
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$1100
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AL MW Trns Srvy MAS1
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AJ
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$1100
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AL NY Primary Day
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AK
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$1000
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AL NY Primary MAS1
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AL
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$1000
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AL MW Prem PL Day
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AM
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$1600
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AL MW Prem PL MAS1
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AN
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$1600
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CDX Inter-Commodity Spread Credits
Spread
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Spread Savings
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Spread Margin
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AL Ldn Hi Grade Day (AG) vs.
AL NY Primary Day (AK) (1:1)(A:B)2 page 1
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50%
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50%
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AL Ldn Hi Grade MAS1 (AH) vs.
AL NY Primary MAS1 (AL) (1:1)(A:B)2 page 1
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50%
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50%
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AL Ldn NA A380 Day (AA) vs. AL MW Trns Srvy Day (AI) (1:1)(A:B)2 page 22
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50%
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50%
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AL Ldn NA A380 MAS1 (AB) vs. AL MW Trns Srvy MAS1 (AJ) (1:1)(A:B)2 page 22
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50%
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50%
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AL NY Primary Day (AK) vs.
AL MW Trns Srvy Day (AI)(1:1)(A:B)2 page 17
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50%
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50%
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AL NY Primary MAS1 (AL) vs.
AL MW Trns Srvy MAS1 (AJ) (1:1)(A:B)2 page 17
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50%
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50%
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CDX Intra-Commodity Spread Charges
All of the CDX Aluminum contracts will use the following tiers:
1
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1st – 14th contract
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2
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15th _ 26th contract
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3
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27th – 60th contract
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These tiers will be adjusted on a monthly basis to reflect the correct series of months.
CDX Spread Charges
AL Ldn NA A380 Day - AA
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$450
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Tier 2 vs. Tier 3
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$375
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Tier 1 vs. Tier 3
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$750
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AL Ldn NA A380 MAS1 - AB
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$450
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Tier 2 vs. Tier 3
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$375
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Tier 1 vs. Tier 3
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$750
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AL MW Srvy A380 Day - AC
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$450
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Tier 2 vs. Tier 3
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$375
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Tier 1 vs. Tier 3
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$750
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AL MW Srvy A380 MAS1 - AD
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$450
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Tier 2 vs. Tier 3
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$375
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Tier 1 vs. Tier 3
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$750
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AL Ldn Alloy Day – AE
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$400
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Tier 2 vs. Tier 3
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$200
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Tier 1 vs. Tier 3
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$450
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AL Ldn Alloy MAS1- AF
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$400
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Tier 2 vs. Tier 3
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$200
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Tier 1 vs. Tier 3
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$450
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AL Ldn Hi Grade Day - AG
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$500
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Tier 2 vs. Tier 3
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$250
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Tier 1 vs. Tier 3
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$700
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AL Ldn Hi Grade MAS1 - AH
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$500
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Tier 2 vs. Tier 3
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$250
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Tier 1 vs. Tier 3
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$700
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AL MW Trns Srvy Day – AI
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$500
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Tier 2 vs. Tier 3
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$250
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Tier 1 vs. Tier 3
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$700
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AL MW Trns Srvy MAS1 - AJ
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$500
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Tier 2 vs. Tier 3
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$250
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Tier 1 vs. Tier 3
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$700
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AL NY Primary Day - AK
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$500
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Tier 2 vs. Tier 3
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$250
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Tier 1 vs. Tier 3
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$700
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AL NY Primary MAS1 - AL
Tier Spread
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Spread
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Tier 1 vs. Tier 2
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$500
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Tier 2 vs. Tier 3
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$250
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Tier 1 vs. Tier 3
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$700
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1 Monthly Average Swap (MAS)
Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:
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