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VOLUME 25 – BULLETIN # 007
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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February 2, 2005
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SUBJECT:
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Margin Rates for the Russell Contracts
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The following margin intervals for the new Russell 1000 and Russell 2000 Index Futures at Eurex US are effective with the mid-day calculation on Friday, February 4, 2005:
Non Cross-Margin Rates and Spread Credits
Eurex US Margin Rates
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Margin
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Russell 1000
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$1100
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Russell 2000
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$1650
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Eurex US Inter-Commodity Spread Credit Rates
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Spread Margin %
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Spread Savings %
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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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Cross-Margin Rates and Spread Credits
CCorp/OCC Cross-Margin Rates
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Margin
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Russell 1000
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$2900
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Russell 2000
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$2800
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CCorp/OCC Cross-Margin Inter-Commodity Spread Offsets
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Method 4 Spread Offset
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Any Spread Combination of: Russell 1000 (UL), S&P 100 (OEX), Russell 3000 (RUA), Dow Jones Industrial (DJX), Russell 1000 (RUI), and S& P 500 (SPX).
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90%
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Any Spread Combination of: Russell 2000 (UK), S&P Midcap 400 (MID), Russell 2000 (RUT), S&P Smallcap 600 (SML), Russell Midcap (RMC), Russell 2000 Growth (RUO), and Russell 2000 Value (RUJ).
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85%
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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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