VOLUME 22 – BULLETIN #073
TO:
|
ALL CLEARING MEMBERS
|
FROM:
|
BUSINESS SYSTEMS GROUP
|
DATE:
|
April 11, 2002
|
SUBJECT:
|
X-Fund Margin Updates
|
The Board of Trade Clearing Corporation has authorized the following X-Fund margins effective with the mid-day margin calculation on Friday, April 12, 2002:
X-Fund 1 (X2J2) Margin
|
$3,459
|
|
|
SPAN Spread Parameters
|
X-Fund 1 (X2J2) vs. CBOT Dow Jones Industrial vs. CBOT 10-Yr. Note vs. CBOT 5-Yr. Note (1:1:1:1, A:B:A:A*)
|
84%
|
X-Fund 1 (X2J2) vs. CBOT Dow Jones Industrial vs. CBOT 10-Yr. Note (1:1:1, A:B:A*)
|
69%
|
X-Fund 1 (X2J2) vs. CBOT Dow Jones Industrial vs. CBOT 5-Yr. Note (1:1:1, A:B:A*)
|
63%
|
X-Fund 2 (Y2J2) Margin
|
$767
|
|
|
SPAN Spread Parameters
|
X-Fund 2 (Y2J2) vs. CBOT Soybean vs. CBOT Soybean Oil vs. CBOT Soybean Meal vs. CBOT Wheat (1:1:1:1:1, A:B:B:A:A)
|
100%
|
X-Fund 2 (Y2J2) vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT Wheat (1:1:1:1, A:B:A:A*)
|
85%
|
X-Fund 2 (Y2J2) vs. CBOT Soybean vs. CBOT Soybean Oil vs. CBOT Wheat (1:1:1:1, A:B:B:A*)
|
73%
|
X-Fund 2 (Y2J2) vs. CBOT Soybean vs. CBOT Soybean Oil vs. CBOT Soybean Meal (1:1:1:1, A:B:B:A*)
|
73%
|
X-Fund 2 (Y2J2) vs. CBOT Soybean Oil vs. CBOT Soybean Meal vs. CBOT Wheat (1:1:1:1, A:B:A:A*)
|
70%
|
X-Fund 5 (C2J2) Margin
|
$3,500
|
|
|
SPAN Spread Parameters
|
X-Fund 5 (C2J2) vs. CBOT 30- Yr. Bond vs. CBOT Dow Jones Industrial (1:1:1, A:A:B*)
|
71%
|
*Note: A denotes Leg 1 and B denotes Leg 2. For detailed questions regarding Clearing margins, please contact Jerry Yang in the Risk Department at 986-3416.
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
|
Printer
Friendly Version