VOLUME 25 – BULLETIN # 014
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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March 10, 2005
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SUBJECT:
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Eurex US and Euro Link Margin Rate Changes
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The following margin intervals are effective with the mid-day calculation on Friday, March 11, 2005:
Eurex US Margin Rates
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From
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To
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10-Year Treasury Notes
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$950
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$800
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5-Year Treasury Notes
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$650
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$550
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3-Year Treasury Notes
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$900
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$750
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2-Year Treasury Notes
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$550
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$450
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2-Year Jumbo Notes
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$2500
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$2250
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Eurex US Inter-Commodity Spread Credit Rates
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Spread
Margin % From
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Spread
Savings % From
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Spread
Margin % To
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Spread
Savings % To
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US Treasury Bonds vs 10-Year Treasury Notes (1:2)
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15%
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85%
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20%
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80%
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US Treasury Bonds vs 5-Year Treasury Notes (2:5)
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25%
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75%
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30%
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70%
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10-Year Treasury Notes vs 5-Year Treasury Notes (1:1)
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20%
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80%
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25%
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75%
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10-Year Treasury Notes vs 2-Year Treasury Notes (2:3)
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25%
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75%
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30%
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70%
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10-Year Treasury Notes vs 2-Year Treasury Notes (1:1)
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35%
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65%
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40%
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60%
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5-Year Treasury Notes vs 2-Year Treasury Notes (1:1)
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20%
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80%
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25%
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75%
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3-Year Treasury Notes vs 10-Year Treasury Notes (1:1)
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20%
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80%
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25%
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75%
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3-Year Treasury Notes vs US Treasury Bonds (1:1)
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40%
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60%
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35%
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65%
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Russell 1000 vs Russell 2000 (1:1)
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35%
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65%
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30%
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70%
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Euro Link Inter-Exchange Spread Credits
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Spread Credit From
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Spread Credit To
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Euro-Bund vs 5-Year Treasury Notes (1:1)
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0%
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65%
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Euro- Bobl vs 10-Year Treasury Notes (1:1)
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70%
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65%
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Euro- Bobl vs 3-Year Treasury Notes (1:1)
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65%
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70%
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Euro- Schatz vs US Treasury Bonds (1:1)
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40%
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0%
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Euro- Schatz vs 5-Year Treasury Notes (1:1)
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0%
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60%
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Euro- Schatz vs 3-Year Treasury Notes (1:1)
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50%
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55%
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Euro- Schatz vs 2-Year Jumbo Treasury Notes (5:1)
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0%
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60%
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Euro- Schatz vs 2-Year Treasury Notes (1:1)
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0%
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65%
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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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