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VOLUME 22 – BULLETIN #041
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 28, 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, March 1, 2002:
X-Fund 1 (X1H2) Margin
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$1,125
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SPAN Spread Parameters
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X-Fund 1 (X1H2) vs. CBOT 5-Yr. Note vs. CBOT 30-Yr. Bond vs. vs. CBOT Soybean Oil (1:1:1:1, A:B:A:B*)
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85%
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X-Fund 1 (X1H2) vs. CBOT 5-Yr. Note vs. CBOT 30-Yr. Bond (1:1:1, A:B:A*)
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77%
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X-Fund 2 (Y1H2) Margin
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$800
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SPAN Spread Parameters
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X-Fund 2 (Y1H2) 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 (Y1H2) vs. MA Soybean vs. MA Wheat vs. CBOT Soybean Oil (1:5:5:1, A:B:A:A*)
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71%
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X-Fund 3 (A1H2) Margin
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$2,050
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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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