|
VOLUME 25 – BULLETIN # 014
TO:
|
ALL CLEARING PARTICIPANTS
|
FROM:
|
CLIENT SERVICES AND SUPPORT
|
DATE:
|
March 10, 2005
|
SUBJECT:
|
Eurex US and Euro Link Margin Rate Changes
|
The following margin intervals are effective with the mid-day calculation on Friday, March 11, 2005:
Eurex US Margin Rates
|
From
|
To
|
10-Year Treasury Notes
|
$950
|
$800
|
5-Year Treasury Notes
|
$650
|
$550
|
3-Year Treasury Notes
|
$900
|
$750
|
2-Year Treasury Notes
|
$550
|
$450
|
2-Year Jumbo Notes
|
$2500
|
$2250
|
|
Eurex US Inter-Commodity Spread Credit Rates
|
Spread
Margin % From
|
Spread
Savings % From
|
Spread
Margin % To
|
Spread
Savings % To
|
US Treasury Bonds vs 10-Year Treasury Notes (1:2)
|
15%
|
85%
|
20%
|
80%
|
US Treasury Bonds vs 5-Year Treasury Notes (2:5)
|
25%
|
75%
|
30%
|
70%
|
10-Year Treasury Notes vs 5-Year Treasury Notes (1:1)
|
20%
|
80%
|
25%
|
75%
|
10-Year Treasury Notes vs 2-Year Treasury Notes (2:3)
|
25%
|
75%
|
30%
|
70%
|
10-Year Treasury Notes vs 2-Year Treasury Notes (1:1)
|
35%
|
65%
|
40%
|
60%
|
5-Year Treasury Notes vs 2-Year Treasury Notes (1:1)
|
20%
|
80%
|
25%
|
75%
|
3-Year Treasury Notes vs 10-Year Treasury Notes (1:1)
|
20%
|
80%
|
25%
|
75%
|
3-Year Treasury Notes vs US Treasury Bonds (1:1)
|
40%
|
60%
|
35%
|
65%
|
Russell 1000 vs Russell 2000 (1:1)
|
35%
|
65%
|
30%
|
70%
|
|
Euro Link Inter-Exchange Spread Credits
|
Spread Credit From
|
Spread Credit To
|
Euro-Bund vs 5-Year Treasury Notes (1:1)
|
0%
|
65%
|
Euro- Bobl vs 10-Year Treasury Notes (1:1)
|
70%
|
65%
|
Euro- Bobl vs 3-Year Treasury Notes (1:1)
|
65%
|
70%
|
Euro- Schatz vs US Treasury Bonds (1:1)
|
40%
|
0%
|
Euro- Schatz vs 5-Year Treasury Notes (1:1)
|
0%
|
60%
|
Euro- Schatz vs 3-Year Treasury Notes (1:1)
|
50%
|
55%
|
Euro- Schatz vs 2-Year Jumbo Treasury Notes (5:1)
|
0%
|
60%
|
Euro- Schatz vs 2-Year Treasury Notes (1:1)
|
0%
|
65%
|
Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:
|
Print
This Page