|
CCorp
OTC Products – Effective January 9, 2009
CCorp OTC Benchmark
Treasury Product Margin Rates
|
Futures Contract
|
Contract Size
|
Margin Rate
|
|
Two-Year Treasury OTC BTF
|
$100,000
|
$600
|
|
Five-Year Treasury OTC BTF
|
$100,000
|
$1000
|
|
Ten-Year Treasury OTC BTF
|
$100,000
|
$1500
|
|
30 -Year Treasury OTC BTF
|
$100,000
|
$2500
|
|
OTC Benchmark Treasury
Futures
Inter Spread Credits
|
|
Issue
|
Two Year
|
Five Year
|
Ten Year
|
|
Two Year
|
|
|
|
|
Five Year
|
85.00%
|
|
|
|
Ten Year
|
80.00%
|
90.00%
|
|
|
Thirty Year
|
75.00%
|
85.00%
|
80.00%
|
|
OTC Benchmark Treasury
Futures
Inter Spread Credits
|
|
Issue
|
Old versus New Credit
|
|
Two Year
|
95.00%
|
|
Five Year
|
97.50%
|
|
Ten Year
|
97.50%
|
|
Thirty Year
|
98.00%
|
|
