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VOLUME 22 – BULLETIN #073
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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April 11, 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, April 12, 2002:
X-Fund 1 (X2J2) Margin
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$3,459
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SPAN Spread Parameters
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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*)
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84%
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X-Fund 1 (X2J2) vs. CBOT Dow Jones Industrial vs. CBOT 10-Yr. Note (1:1:1, A:B:A*)
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69%
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X-Fund 1 (X2J2) vs. CBOT Dow Jones Industrial vs. CBOT 5-Yr. Note (1:1:1, A:B:A*)
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63%
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X-Fund 2 (Y2J2) Margin
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$767
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SPAN Spread Parameters
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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)
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100%
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X-Fund 2 (Y2J2) vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT Wheat (1:1:1:1, A:B:A:A*)
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85%
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X-Fund 2 (Y2J2) vs. CBOT Soybean vs. CBOT Soybean Oil vs. CBOT Wheat (1:1:1:1, A:B:B:A*)
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73%
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X-Fund 2 (Y2J2) vs. CBOT Soybean vs. CBOT Soybean Oil vs. CBOT Soybean Meal (1:1:1:1, A:B:B:A*)
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73%
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X-Fund 2 (Y2J2) vs. CBOT Soybean Oil vs. CBOT Soybean Meal vs. CBOT Wheat (1:1:1:1, A:B:A:A*)
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70%
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X-Fund 5 (C2J2) Margin
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$3,500
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SPAN Spread Parameters
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X-Fund 5 (C2J2) vs. CBOT 30- Yr. Bond vs. CBOT Dow Jones Industrial (1:1:1, A:A:B*)
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71%
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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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