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VOLUME 25 – BULLETIN #038
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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August 8, 2005
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SUBJECT:
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Eurex US & Euro Link Margin Rates
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The following margin intervals and spread credit rates are effective with the mid-day calculation on Wednesday, August 10, 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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$800
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$850
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5-Year Treasury Notes
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$600
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$550
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3-Year Treasury Notes
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$800
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$650
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2-Year Jumbo Treasury Notes
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$2,200
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$2,000
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Russell 1000
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$1,100
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$1,000
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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 5-Year Treasury Notes (2:5)
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25%
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75%
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20%
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80%
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US Treasury Bonds vs 2-Year Jumbo Treasury Notes (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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30%
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70%
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35%
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65%
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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-Bobl vs 3-Year Treasury Notes (1:1)
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60%
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0%
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Euro-Bobl vs 10-Year Treasury Notes (1:1)
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60%
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55%
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Euro-Bobl vs US Treasury Bonds (1:1)
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50%
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40%
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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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