Treasuries: 10y initial margin +18%, 5y initial margin +28.5%, long bond and Ultra initial margin arnd +10%
Expect more of the same unless the US debt quandary is solved by mid-week... if not, there won't be enough time to put an agreement in writing by August 2 -- even if an agreement is reached before that deadline -- so S&P and Moody's are still likely to downgrade the USA debt... great.
Moreover, the CME is now imposing haircuts on t-bills and UST posted as collateral. Both circulars here: http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv11-262.pdf http://www.cmegroup.com/tools-information/lookups/advisories/clearing/files/Chadv11-257.pdf
People who are allowed to think for themselves > probably don't care. People who are bound by an investment mandate to only buy securities with certain ratings > they are mandated to care. Mohamed El-Erian discussed the latter group of investments in great detail on Bloomberg TV yesterday.
Moreover, the financing and repo mkts might care, since some participants have ratings-driven mandates.
Just curious, what happens to the bond/note/bill futures contracts if the underlying instruments default? Can a bond in default be legally delivered to a holder of a futures contract?