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VOLUME 22 – BULLETIN #144
TO:
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ALL CLEARING MEMBERS
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FROM:
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CLIENT SERVICES AND SUPPORT
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DATE:
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July 18, 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, July 19, 2002:
X-Fund X (X1Q2) Margin
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$2,800
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SPAN® Spread Parameters
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X-Fund X (X1Q2) vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT $5 Dow Jones Industrial vs. CBOT 5 Yr. Note (1:1:1:1:1, A:B:B:B:A*)
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100%
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X-Fund X (X1Q2) vs. CBOT Soybean vs. CBOT $5 Dow Jones Industrial vs. CBOT 5 Yr. Note (1:1:1:1, A:B:B:A*)
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85%
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X-Fund X (X1Q2) vs. CBOT Soybean Meal vs. CBOT $5 Dow Jones Industrial vs. CBOT 5 Yr. Note (1:1:1:1, A:B:B:A*)
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83%
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X-Fund X (X1Q2) vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT $5 Dow Jones Industrial (1:1:1:1, A:B:B:B*)
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75%
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X-Fund X (X1Q2) vs. CBOT $5 Dow Jones Industrial vs. CBOT 5 Yr. Note (1:1:1, A:B:A*)
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68%
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X-Fund Y (Y1Q2) Margin
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$1,200
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SPAN® Spread Parameters
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X-Fund Y (Y1Q2) vs. CBOT Soybean vs. CBOT Soybean Meal vs. CBOT Corn (1:1:1:1, A:B:B:A*)
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74%
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X-Fund C (C1Q2) Margin
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$4,875
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SPAN® Spread Parameters
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X-Fund C (C1Q2) 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 Client Services and Support Representatives:
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