VOLUME 27 – BULLETIN #074

TO:	ALL CLEARING PARTICIPANTS
FROM:	CLIENT SERVICES AND SUPPORT
DATE:	December 5, 2007
SUBJECT:	CCorp Margin Methodology for USFE’s Binary Option Products

SPAN^® Margining will be the method used by CCorp to margin the following US Futures Exchange’s Binary products:

The margin method will be predicated on margining the maximum potential loss through the use of SPAN arrays. To accomplish this, CCorp will populate the “Options Style” indicator, located within column 18 of the PC SPAN record type 2, with an ‘F’. The usage of this indicator represents that the associated option positions will be margined using a futures style of margining. Additionally, a “Short Option Minimum” rate will be established by use of record type 4 which will appear within columns 63 through 69.

The following are examples of binary option portfolios and their resulting margin where the maximum potential loss is equivalent to $1000.00. Please note, a long’s maximum potential loss is determined at the inception of the position and is fully covered by the payment of option premium.

Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:

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