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VOLUME 22 – BULLETIN #105
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 23, 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 24, 2002:
X-Fund X (X1M2) Margin
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$1,850
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SPAN® Spread Parameters
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X-Fund X (X1M2) vs. CBOT Corn vs. CBOT $5 Dow Jones Industrial vs. CBOT 5 Yr. Note (1:1:1:1, A:B:B:B*)
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73%
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X-Fund X (X1M2) vs. CBOT $5 Dow Industrial vs. CBOT 5 Yr. Note (1:1:1, A:B:B*)
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65%
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X-Fund Y (Y1M2) Margin
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$625
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SPAN® Spread Parameters
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X-Fund Y (Y1M2) vs. CBOT Soybean vs. CBOT Corn 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 Y (Y1M2) 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 Y (Y1M2) vs. CBOT Soybean vs. CBOT Corn vs. CBOT Soybean Meal (1:1:1:1, A:B:B:A*)
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73%
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X-Fund Y (Y1M2) vs. CBOT Soybean vs. CBOT Corn vs. CBOT Wheat (1:1:1:1, A:B:B:A*)
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73%
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X-Fund Y (Y1M2) vs. CBOT Corn 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 C (C1M2) Margin
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$4,750
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SPAN® Spread Parameters
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X-Fund C (C1M2) vs. CBOT 30 Yr. Bond vs. CBOT Dow Jones Industrial (1:1:1, A:B:A*)
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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.
‘SPAN®’ and ‘Standard Portfolio Analysis of Risk®’ are registered trademarks of the Chicago Mercantile Exchange. The Chicago Mercantile Exchange assumes no liability in connection with the use of SPAN by any person or entity.
Should you have any questions, please call or e-mail one of the following Business Systems Analysts:
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