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VOLUME 22 – BULLETIN #018
TO:
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ALL CLEARING MEMBERS
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FROM:
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BUSINESS SYSTEMS GROUP
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DATE:
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January 31, 2002
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SUBJECT:
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X-Fund Margins
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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:
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SPAN Spread Parameters
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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)
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100%
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X1 vs. CBOT 10-Yr. vs. CBOT 2-Yr. Note vs. CBOT Soybean (1:1:1:1, A:A:B:A)
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84%
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X1 vs. CBOT 10-Yr. vs. CBOT 2-Yr. Note vs. CBOT Wheat (1:1:1:1, A:A:B:B)
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83%
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X1 vs. CBOT 10-Yr. vs. CBOT Soybean vs. CBOT Wheat (1:1:1:1, A:A:A:B)
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74%
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X1 vs. CBOT 10-Yr. vs. CBOT 2-Yr. Note (1:1:1, A:A:B)
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67%
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SPAN Spread Parameters
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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)
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100%
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Y1 vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT Soybean Oil (1:1:1:1, A:B:A:A)
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82%
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Y1 vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT Corn (1:1:1:1, A:B:A:A)
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82%
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Y1 vs. CBOT Soybean vs. CBOT Soybean Oil vs. CBOT Corn (1:1:1:1, A:B:A:A)
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73%
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Y1 vs. CBOT Soybean vs. CBOT Soybean Meal (1:1:1, A:B:A)
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64%
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Y1 vs. CBOT Soybean Meal vs. CBOT Soybean Oil vs. CBOT Corn (1:1:1:1, A:A:A:A)
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64%
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Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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