CBOT Margin Changes
The following margin requirements will become effective with the close of business on Wednesday, February 28, 2008
I. Changes to Intra-Commodity Spreads
|
|
From |
To |
|
Commodity |
Initial/Maintenance/Hedge |
Initial/Maintenance/Hedge |
| Wheat Old Crop vs. New Crop (July through May) |
$4,050/$3,000/$3,000
|
$4,725/$3,500/$3,500
|
| Wheat |
$1,890/$1,400/$1,400
|
$2,363/$1,750/$1,750
|
In setting margins levels, the Chicago Board of Trade Margin Committee along with the CME Clearing House monitors current and historical price movements covering short-term, intermediate and longer-term data using statistical and parametric and non-parametric analysis. Futures maintenance margin levels are typically set to cover at least the maximum one-day price move on 95% to 99% of the days during these time periods.
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