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VOLUME 22 – BULLETIN #092
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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May 9, 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, May 10, 2002:
X-Fund X (X2K2) Margin
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$1,575
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X-Fund Y (Y2K2) Margin
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$625
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SPAN Spread Parameters
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X-Fund Y (Y2K2) vs. CBOT Corn vs. CBOT Soybean vs. CBOT Wheat vs. CBOT Soybean Meal (1:1:1:1:1, A:B:B:A:A*)
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100%
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X-Fund Y (Y2K2) vs. CBOT Soybean vs. CBOT Wheat vs. CBOT Soybean Meal(1:1:1:1, A:B:A:A*)
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85%
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X-Fund Y (Y2K2) vs. CBOT Corn vs. CBOT Soybean vs. CBOT Wheat (1:1:1:1, A:B:B:A*)
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73%
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X-Fund Y (Y2K2) vs. CBOT Corn vs. CBOT Soybean vs. CBOT Soybean Meal (1:1:1:1, A:B:B:A*)
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73%
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X-Fund Y (Y2K2) vs. CBOT Corn vs. CBOT Wheat vs. CBOT Soybean Meal (1:1:1:1, A:B:A:A*)
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70%
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X-Fund C (C2K2) Margin
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$4,050
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SPAN Spread Parameters
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X-Fund C (C2K2) 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 Chip Chong in the Risk Department at 986-3497.
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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