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Bulletin Heading VOLUME 24 – BULLETIN #062

TO:

ALL CLEARING PARTICIPANTS

FROM:

CLIENT SERVICES AND SUPPORT

DATE:

November 11, 2004

SUBJECT:

Margin Parameters for the Euro Link

The Clearing Corporation has established the following margin levels and spread credits for Phase 1 of the Global Clearing Link.

Euro Link Margin Rates

Margin Rate

Volatility Interval

DAX

€9000

N/A

Dow Jones Euro STOXX 50

€2500

N/A

Dow Jones STOXX 50

€1900

N/A

Dow Jones Euro STOXX –Banks

€1250

N/A

Dow Jones STOXX 600-Banks

€1250

N/A

Dow Jones Global Titans 50

€1500

N/A

Euro-Buxl

€4000

15%

Euro-Bund

€1600

15%

Euro-Bobl

€1200

15%

Euro-Schatz

€500

15%

Three-Month Euribor

$700

15%

One-month-EONIA

$200

N/A

Euro Link Intra-Commodity Spread Charges

Spot Month

Back Month

DAX

€150

€150

Dow Jones Euro STOXX 50

€90

€90

Dow Jones STOXX 50

€120

€120

Dow Jones Euro STOXX –Banks

€90

€90

Dow Jones STOXX 600-Banks

€100

€100

Dow Jones Global Titans 50

€250

€250

Euro-Buxl

€400

€160

Euro-Bund

€300

€130

Euro-Bobl

€120

€250

Euro-Schatz

€100

€200

Three-Month Euribor

$200

$200

One-month-EONIA

$100

$100

Euro Link Inter-Commodity Spread Offsets

Method 4 Spread Offset

Euro-Buxl vs Euro-Bund vs Euro-Bobl vs Euro-Schatz

12%

Three-Month Euribor vs One-month-EONIA

32%

Dow Jones Euro STOXX –Banks vs Dow Jones STOXX 600-Banks

20%

DAX vs Dow Jones STOXX 50 vs Dow Jones Euro STOXX 50

20%

Euro Link Inter-Exchange Spread Credits

Spread Credit

Euro-Bund vs US Treasury Bonds (1:1)

70%

Euro-Bund vs 10-Year Treasury Notes (1:1)

75%

Euro-Bund vs 5-Year Treasury Notes (1:1)

75%

Euro-Bund vs 2-Year Treasury Notes (1:1)

75%

Euro- Bobl vs US Treasury Bonds (1:1)

55%

Euro- Bobl vs 10-Year Treasury Notes (1:1)

70%

Euro- Bobl vs 5-Year Treasury Notes (1:1)

75%

Euro- Bobl vs 2-Year Treasury Notes (1:1)

70%

Euro- Schatz vs US Treasury Bonds (1:1)

35%

Euro- Schatz vs 10-Year Treasury Notes (1:1)

45%

Euro- Schatz vs 5-Year Treasury Notes (1:1)

50%

Euro- Schatz vs 2-Year Treasury Notes (1:1)

55%

Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:

John Compall

  

john.compall@clearingcorp.com

Richard Crilly

786-3842

richard.crilly@clearingcorp.com

Marc MacQuarrie

786-5732

marc.macquarrie@clearingcorp.com

     

Thomas Andrews

Director

thomas.andrews@clearingcorp.com

     

Client Services and Support E-Mail Address

css@clearingcorp.com

Clearing Corporation Web Site

http://www.clearingcorp.com