VOLUME 24 – BULLETIN #070

We are pleased to inform you that the Securities and Exchange Commission has approved the Fixed Income Clearing Corporation’s (FICC) rule filing (SR-FICC-2004-16) which allows FICC to implement a cross-margining arrangement with The Clearing Corporation (CCorp). This cross-margining arrangement will enable participating members of both clearing houses to cross-margin their U.S. Treasury futures and options contracts traded on Eurex US that are cleared by CCorp with certain U.S. Treasury and Agency products cleared by FICC.

Cross-margining allows members to optimize their capital usage by viewing their positions at different clearing organizations as a combined portfolio and reducing margin requirements accordingly. This in turn allows for greater liquidity, improved collateral management and reduced operational costs.

The arrangement, which began on Friday, December 10, 2004, is available to any CCorp participant that is a FICC member or an affiliate of a FICC member.

Cross-margining participant agreements can be accessed through CCorp’s website, at www.clearingcorp.com by navigating to the ‘Clearing Participants’ page then further selecting the ‘Affiliated Participant Agreement’ or the ‘Common Participant Agreement’ located within the ‘Risk/Margin’ section or by directly clicking the underlined hyperlinks provided within this bulletin. Clearing participants that wish to participate in the cross-margining arrangement between CCorp and FICC will be required to execute the appropriate cross-margining agreement.

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