VOLUME 22 – BULLETIN #018
TO:
|
ALL CLEARING MEMBERS
|
FROM:
|
BUSINESS SYSTEMS GROUP
|
DATE:
|
January 31, 2002
|
SUBJECT:
|
X-Fund Margins
|
The Board of Trade Clearing Corporation has authorized the following X-Fund margins effective with the mid-day margin calculation on Friday, February 1, 2002:
|
|
SPAN Spread Parameters
|
X1 vs. CBOT 10-Yr. vs. CBOT 2-Yr. Note vs. CBOT Soybean vs. CBOT Wheat (1:1:1:1:1, A:A:B:A:B)
|
100%
|
X1 vs. CBOT 10-Yr. vs. CBOT 2-Yr. Note vs. CBOT Soybean (1:1:1:1, A:A:B:A)
|
84%
|
X1 vs. CBOT 10-Yr. vs. CBOT 2-Yr. Note vs. CBOT Wheat (1:1:1:1, A:A:B:B)
|
83%
|
X1 vs. CBOT 10-Yr. vs. CBOT Soybean vs. CBOT Wheat (1:1:1:1, A:A:A:B)
|
74%
|
X1 vs. CBOT 10-Yr. vs. CBOT 2-Yr. Note (1:1:1, A:A:B)
|
67%
|
|
|
SPAN Spread Parameters
|
Y1 vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT Soybean Oil vs. CBOT Corn (1:1:1:1:1, A:B:A:A:A)
|
100%
|
Y1 vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT Soybean Oil (1:1:1:1, A:B:A:A)
|
82%
|
Y1 vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT Corn (1:1:1:1, A:B:A:A)
|
82%
|
Y1 vs. CBOT Soybean vs. CBOT Soybean Oil vs. CBOT Corn (1:1:1:1, A:B:A:A)
|
73%
|
Y1 vs. CBOT Soybean vs. CBOT Soybean Meal (1:1:1, A:B:A)
|
64%
|
Y1 vs. CBOT Soybean Meal vs. CBOT Soybean Oil vs. CBOT Corn (1:1:1:1, A:A:A:A)
|
64%
|
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
|
Printer
Friendly Version