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VOLUME 22 – BULLETIN #127
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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June 20, 2002
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SUBJECT:
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X-Fund Margin Update
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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, June 21, 2002:
X-Fund X (X1N2) Margin
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$2,150
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SPAN® Spread Parameters
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X-Fund X (X1N2) vs. CBOT 5 Yr. Note vs. CBOT $5 Dow Jones Industrial (1:1:1, A:B:A*)
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62%
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X-Fund Y (Y1N2) Margin
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$1,275
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SPAN® Spread Parameters
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X-Fund Y (Y1N2) vs. CBOT Soybean vs. CBOT Corn vs. CBOT Soybean Oil vs. CBOT Wheat (1:1:1:1:1, A:B:B:B:B*)
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100%
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X-Fund Y (Y1N2) vs. CBOT Soybean vs. CBOT Soybean Oil vs. CBOT Wheat (1:1:1:1, A:B:B:B*)
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84%
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X-Fund Y (Y1N2) vs. CBOT Soybean vs. CBOT Corn vs. CBOT Wheat (1:1:1:1, A:B:B:B*)
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78%
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X-Fund Y (Y1N2) vs. CBOT Soybean vs. CBOT Corn vs. CBOT Soybean Oil (1:1:1:1, A:B:B:B*)
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70%
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X-Fund Y (Y1N2) vs. CBOT Corn vs. CBOT Soybean Oil vs. CBOT Wheat (1:1:1:1, A:B:B:B*)
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68%
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X-Fund Y (Y1N2) vs. CBOT Soybean vs. CBOT Wheat (1:1:1, A:B:B*)
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62%
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X-Fund C (C1N2) Margin
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$4,550
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SPAN® Spread Parameters
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X-Fund C (C1N2) 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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