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VOLUME 22 – BULLETIN #032
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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February 14, 2002
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SUBJECT:
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X-Fund Margin Updates
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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 15, 2002:
X-Fund 1 (X2G2) Margin
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$2,700
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SPAN Spread Parameters
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X-Fund 1 (X2G2) vs. CBOT Dow Jones Industrial vs. CBOT 10-Yr. Note vs. CBOT Wheat vs. CBOT Soybean Meal (1:1:1:1:1, A:A:A:B:B*)
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100%
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X-Fund 1 (X2G2) vs. CBOT Dow Jones Industrial vs. CBOT 10-Yr. Note vs. CBOT Wheat (1:1:1:1, A:A:A:B*)
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92%
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X-Fund 1 (X2G2) vs. CBOT Dow Jones Industrial vs. CBOT 10-Yr. Note vs. CBOT Soybean Meal (1:1:1:1, A:A:A:B*)
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90%
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X-Fund 1 (X2G2) vs. CBOT Dow Jones Industrial vs. CBOT 10-Yr. Note (1:1:1, A:A:A*)
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81%
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X-Fund 1 (X2G2) vs. CBOT Dow Jones Industrial vs. CBOT Wheat vs. CBOT Soybean Meal (1:1:1:1, A:A:B:B*)
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74%
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X-Fund 1 (X2G2) vs. CBOT Dow Jones Industrial vs. CBOT Wheat (1:1:1, A:A:B*)
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66%
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X-Fund 1 (X2G2) vs. CBOT Dow Jones Industrial vs. CBOT Soybean Meal (1:1:1, A:A:B*)
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64%
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X-Fund 2 (Y2G2) Margin
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$1,050
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SPAN Spread Parameters
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X-Fund 2 (Y2G2) vs. CBOT Soybean vs. CBOT Soybean vs. CBOT Wheat vs. CBOT Soybean Oil (1:1:1:1:1, A:B:B:A:A*)
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100%
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X-Fund 2 (Y2G2) vs. CBOT Soybean vs. CBOT Wheat vs. CBOT Soybean Oil (1:1:1:1, A:B:A:A*)
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71%
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X-Fund 2 (Y2G2) vs. CBOT Soybean vs. CBOT Wheat vs. CBOT Soybean Oil (1:1:1:1, A:B:A:A*)
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71%
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X-Fund 2 (Y2G2) vs. CBOT Soybean vs. CBOT Soybean vs. CBOT Soybean Oil (1:1:1:1, A:B:B:A*)
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73%
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X-Fund 2 (Y2G2) vs. CBOT Soybean vs. CBOT Soybean vs. CBOT Wheat (1:1:1:1, A:B:B:A*)
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85%
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*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:
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