|
CCorp
OTC Products – Effective April 30, 2007
CCorp OTC Benchmark
Treasury Product Margin Rates
|
Futures Contract
|
Contract Size
|
Margin Rate
|
|
Two-Year Treasury OTC BTF
|
$100,000
|
$275
|
|
Three -Year Treasury OTC BTF
|
$100,000
|
$350
|
|
Five-Year Treasury OTC BTF
|
$100,000
|
$500
|
|
Ten-Year Treasury OTC BTF
|
$100,000
|
$750
|
|
30 -Year Treasury OTC BTF
|
$100,000
|
$1250
|
|
OTC Benchmark
Treasury Futures Inter
Spread Credits
|
|
Issue
|
Two Year
|
Three Year
|
Five Year
|
Ten Year
|
|
Two Year
|
|
|
|
|
|
Three Year
|
80.00%
|
|
|
|
|
Five Year
|
85.00%
|
85.00%
|
|
|
|
Ten Year
|
80.00%
|
80.00%
|
90.00%
|
|
|
Thirty Year
|
75.00%
|
75.00%
|
85.00%
|
80.00%
|
|
OTC Benchmark
Treasury Futures Inter
Spread Credits
|
|
Issue
|
Old versus New Credit
|
|
Two Year
|
95.00%
|
|
Three Year
|
95.00%
|
|
Five Year
|
97.50%
|
|
Ten Year
|
97.50%
|
|
Thirty Year
|
98.00%
|
CCorp Cleared OTC Options on SO2 Emission Allowances Margin
Rates
|
