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The Clearing Corporation would like to announce a cross margin agreement between itself and the Government Securities Clearing Corporation. Participation is open to any firm that is a common member of both the Board of Trade Clearing Corporation and the Government Securities Clearing Corporation, or that is a member of one clearinghouse and has an affiliate that is a member at the other clearinghouse. Participating firms holding CBOT futures and option positions in the 2 Year, 5 Year and 10 Year Notes, the 10 Year Agency Notes and the 30 Year Bond contracts can receive cross margin spread credit against positions held in the underlying securities at GSCC. No additional accounts or special banking instructions are required. Pending regulatory approval, the program is scheduled to begin February 1, 2002. After final processing at the Board of Trade Clearing Corporation, positions of participating firms will be transmitted to the Government Securities Clearing Corporation. GSCC will calculate a spread credit value and transmit the information back to BOTCC. Spread credits will be reflected on reports CRA00001, CRA00102 and RMR00019. Please see the attached report samples. Qualifying firms that would like to test the cross margining process must complete an Information Sharing Agreement. Firms that want to participate in production cross margining should complete a Cross Margin Agreement. For more information, please refer to the attached Frequently Asked Questions document. Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
GSCC Frequently Asked Questions
CRA00001 FIRM XYZ - XYZ INC. BOARD OF TRADE CLEARING CORPORATION PAGE 4 ORIGIN : HOUSE FUTURES = ORIGIN 2 COMMODITY ORIGINAL MARGIN SUMMARY 08/29/01 OPTIONS = ORIGIN 2 & 3 MARGIN REQUIREMENTS SUMMARY: U.S. DOLLAR MARGINS ON DEPOSIT: BEGINNING CHANGES ENDING ------------------------------------------------- -------------------- --------------- --------------- --------------- FUTURES ONLY RISK 6,993,200 US. TREASURY NOTE 18,143,000 0 18,143,000 + FUTURES & OPTIONS RISK 46,754,263 US. TREASURY BOND 70,860,000 0 70,860,000 - INTER-COMMODITY SPRD CREDIT 3,649 = TOTAL RISK MARGIN 53,743,814 + OPTIONS PREMIUM ADJUSTMENT 0 = TOTAL ADJUSTED MARGIN 53,743,814 - TOTAL OPT LIQ VALUE (TOLV) 825,970 = TOTAL RISK-BASED MARGIN 52,917,844 - GSCC SPREAD CREDIT 14,545,388 + SPECIAL ADJUSTMENT 0 = TOTAL MARGIN REQUIRED 38,372,455 MARGINS ON DEPOSIT 89,003,000 0 89,003,000 MARGINS ON DEPOSIT 89,003,000 +++++++++++++++++++++ SECURITIES VALUE BASED ON SETTLEMENT +++++++++++++++++++++ NET SURPLUS 50,630,552 SPAN MARGIN REQUIREMENTS (SPAN) SUMMARY FOR ALL COMMODITIES (SPAN=CRM-ICS) ----------------------------------------------------------- MARGIN COMMODITY INTER SPAN OPTION NET EQUIV. INTRA C INTERVAL RISK COMMODITY MARGIN LIQUIDATING FUTURES COMMODITY GROUP COMMODITY I (RATE) MARGIN TYPE SPREAD CREDIT REQUIREMENT VALUE POSITION SPREAD RISK ----- --------- - -------- --------- ---- ------------- ----------- ----------- ---------- ----------- GRAINS RICE U 600 26,400 MRGN 0 26,400 0 44- 0 +WHEAT U 110 3,969 MRGN 0 3,969 588- 32- 0 +CORN U 110 40,399 MRGN 0 40,399 7,919- 326 2,200 +OATS U 100 3,000 MRGN 0 3,000 0 30 0 +SOY BEANS U 200 44,810 MRGN 0 44,810 494 217 0 +SOY MEAL U 350 10,500 MRGN 0 10,500 0 30 0 +SOY OIL U 250 10,967 MRGN 0 10,967 780- 44 0 METALS +SILVER U 200 400 MRGN 0 400 0 2 0 +GOLD U 350 700 MRGN 0 700 0 2 0 EQUITY DOW INDUST U 4000 3,049,421 MRGN 0 3,049,421 340- 762- 0 FINANCE AGENCY LON U 1200 2,400 MRGN 1,920 480 0 2 0 2-YR TREAS U 600 121,800 MRGN 0 121,800 0 203- 0 30-DAY FED U 300 4,494,900 MRGN 0 4,494,900 0 14,983- 0 MUNI-BOND U 1000 651,000 MRGN 0 651,000 0 651- 0 +T-BONDS U 800 39,626,357 MRGN 0 39,626,357 2,219,677- 49,082- 0 +10YR TREA U 550 3,978,340 MRGN 1,729 3,976,611 3,054,780 6,922- 0 +5YR TREAS U 350 1,682,100 MRGN 0 1,682,100 0 4,806- 0 + INTER-EXCHANGE COMBINED COMMODITY *** PORTFOLIO TOTALS IN U.S. DOLLARS *** *TOTALS($) 53,747,463 * 3,649 * 53,743,814 * 825,970 * 76,832-* 2,200 * CRA00001 FIRM XYZ - XYZ INC. BOARD OF TRADE CLEARING CORPORATION PAGE 5 ORIGIN : HOUSE FUTURES = ORIGIN 2 COMMODITY ORIGINAL MARGIN SUMMARY 08/29/01 OPTIONS = ORIGIN 2 & 3 GSCC SPREAD CREDIT (REFLECTS AM DATA) ------------------------------------- BOTCC GSCC EQUIV C TO GSCC SPREAD FUTURES GROUP COMMODITY I DOLLARS CREDIT POSITION -------- ---------- - ------------- ------------- ------------- FIN +10YR TREA U 3,804,900 208,738 379 AGENCY LON U 0 0 0 +5YR TREAS U 1,682,100 0 0 2-YR TREAS U 121,800 0 0 +T-BONDS U 39,265,600 14,336,650 17,920 CREDIT CALCULATIONS FOR INTER-COMMODITY SPREADS (ICS MAR) --------------------------------------------------------- INTER-COMMODITY SPREADS CREDIT RATE RATIO WGT. PRICE RISK NO. SPREADS INTER-COMMODITY SPREAD CREDIT ----------------------- ----------- ----- --------------- ----------- ----------------------------- +10YR TREA : AGENCY LON 0.80% 2 : 1 540.39 : 1200.00 2 3,649 TOTAL ICS CREDIT = 3,649 * CREDIT CALCULATIONS FOR GSCC SPREADS (REFLECTS AM DATA) ------------------------------------------------------- GSCC SPREADS CREDIT RATE CBOT SPREADS OFFSET BY GSCC GSCC SPREAD CREDIT ----------------------- ----------- --------------------------- ------------------ +T-BONDS : +T-BONDS 0.50% 17,920 14,336,650 +10YR TREA : +10YR TREA 0.50% 379 208,738 *TOTALS($) 14,545,388 * RMR00019 FIRM XYZ - XZY INC. SPAN FOR CLEARING FIRMS - MULTI-CURRENCY MODE DATE: 08/30/01 PAGE: 22 ************************************************************************************************************************************ ... CREDIT CALCULATIONS FOR INTER-COMMODITY SPREADS (ICS MAR) --------------------------------------------------------- INTER-COMMODITY SPREADS CREDIT RATE RATIO WGT. PRICE RISK NO. SPREADS INTER-COMMODITY SPREAD CREDIT ----------------------- ----------- ----- --------------- ----------- ----------------------------- +10YR TREA : AGENCY LON 0.80% 2 : 1 540.39 : 1200.00 2 3,649 TOTAL ICS CREDIT = 3,649 * ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ CREDIT CALCULATIONS FOR GSCC SPREADS (REFLECTS AM DATA) ------------------------------------------------------- GSCC SPREADS CREDIT RATE CBOT SPREADS OFFSET BY GSCC GSCC SPREAD CREDIT ----------------------- ----------- --------------------------- ------------------ +T-BONDS : +T-BONDS 0.50% 17,920 14,336,650 +10YR TREA : +10YR TREA 0.50% 379 208,738 *TOTALS($) 14,545,388 * RMR00019 FIRM XYZ - XZY INC. SPAN FOR CLEARING FIRMS - MULTI-CURRENCY MODE DATE: 08/30/01 PAGE: 23 *********************************************************************************************************************************** HOUSE ACCOUNT ORG: 2 (CONTINUED) SPAN MARGIN REQUIREMENTS (SPAN) SUMMARY FOR ALL COMMODITIES (SPAN=CRM-ICS) ----------------------------------------------------------- MARGIN COMMODITY INTER SPAN OPTION NET EQUIV. INTRA C INTERVAL RISK COMMODITY MARGIN LIQUIDATING FUTURES COMMODITY GROUP COMMODITY I (RATE) MARGIN TYPE SPREAD CREDIT REQUIREMENT VALUE POSITION SPREAD RISK ----- --------- - -------- --------- ---- ------------- ----------- ----------- ---------- ----------- GRAINS RICE U 600 26,400 MRGN 0 26,400 0 44- 0 +WHEAT U 110 3,969 MRGN 0 3,969 588- 32- 0 +CORN U 110 40,399 MRGN 0 40,399 7,919- 326 2,200 +OATS U 100 3,000 MRGN 0 3,000 0 30 0 +SOY BEANS U 200 44,810 MRGN 0 44,810 494 217 0 +SOY MEAL U 350 10,500 MRGN 0 10,500 0 30 0 +SOY OIL U 250 10,967 MRGN 0 10,967 780- 44 0 METALS +SILVER U 200 400 MRGN 0 400 0 2 0 +GOLD U 350 700 MRGN 0 700 0 2 0 EQUITY DOW INDUST U 4000 3,049,421 MRGN 0 3,049,421 340- 762- 0 FINANCE AGENCY LON U 1200 2,400 MRGN 1,920 480 0 2 0 2-YR TREAS U 600 121,800 MRGN 0 121,800 0 203- 0 30-DAY FED U 300 4,494,900 MRGN 0 4,494,900 0 14,983- 0 MUNI-BOND U 1000 651,000 MRGN 0 651,000 0 651- 0 +T-BONDS U 800 39,626,357 MRGN 0 39,626,357 2,219,677- 49,082- 0 +10YR TREA U 550 3,978,340 MRGN 1,729 3,976,611 3,054,780 6,922- 0 +5YR TREAS U 350 1,682,100 MRGN 0 1,682,100 0 4,806- 0 + INTER-EXCHANGE COMBINED COMMODITY *** PORTFOLIO TOTALS IN U.S. DOLLARS *** *TOTALS($) 53,747,463 * 3,649 * 53,743,814 * 825,970 * 76,832-* 2,200 * ------------------------------------------------------------------------------------------------------------------------------------ GSCC SPREAD CREDIT (REFLECTS AM DATA) ------------------------------------- BOTCC GSCC EQUIV C TO GSCC SPREAD FUTURES GROUP COMMODITY I DOLLARS CREDIT POSITION -------- ---------- - ------------- ------------- ------------- FIN +10YR TREA U 3,804,900 208,738 379 AGENCY LON U 0 0 0 +5YR TREAS U 1,682,100 0 0 2-YR TREAS U 121,800 0 0 +T-BONDS U 39,265,600 14,336,650 17,920 *TOTALS($) 44,874,400 * 14,545,388 * 18,299 * ==================================================================================================================================== | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
