The minimum maintenance margin of spreading transactions shall be as follows:
Intra-market spreads (involving the same commodity) where both sides of the transaction are carried on the books of one member firm shall be margined to the market, except for the following commodities, which will be margined as indicated:
|
Initial / Maintenance /Hedge(add-on per spread) |
|
|
Soybeans |
$2,025/$1,500/$1,500 |
|
Soybean Meal |
$1,485/$1,100/$1,100 |
|
Soybean Oil |
$473/$350/$350 |
|
Wheat |
$2,700/$2,000/$2,000
|
| Corn |
$405/$300/$300
|
|
Oats |
$540/$400/$400 |
|
South American Soybeans |
$405/$300/$300 |
|
Mini-Sized Soybeans |
$405/$300/$300 |
|
Mini-Sized Corn |
$81/$60/$60 |
|
Mini-Sized Wheat |
$540/$400/$400 |
|
Rough Rice |
$1,215/$900/$900 |
|
Initial/Maintenance/Hedge (add-on per spread)
|
|
| Soybeans |
$405/$300/$300
|
| Soybean Oil |
$203/$150/$150
|
| Soybean Meal |
$473/$350/$350
|
| Corn |
$135/$100/$100
|
| Wheat |
$1,690/$1,250/$1,250
|
| Rice |
$270/$200/$200
|
| South American Soybeans |
$135/$100/$100
|
| Mini-sized Soybeans |
$81/$60/$60 |
| Mini-sized Corn |
$27/$20/$20 |
| Mini-sized Wheat |
$338/$250/$250 |
| Oats |
$338/$250/$250
|
|
Crop years are defined as the following: |
|
Inter-market spreads where both sides of the transaction are carried on the books of one member firm shall be as follows (See tables listed above for applicable initial margin mark-up percentage):
|
Spreads Agricultural and Metal Groups |
Spread Credit % |
|
|
1:1 |
Soybeans vs. Soybean Oil |
65% |
|
1:1 |
Soybeans vs. Soybean Meal |
60% |
|
5:1 |
Mini-sized Soybeans vs. Soybean Oil |
65% |
|
5:1 |
Mini-sized Soybeans vs. Soybean Meal |
60% |
|
1:5 |
Corn vs. Mini-sized Corn |
100% |
|
1:5 |
Wheat vs. Mini-sized Wheat |
100% |
|
1:5 |
Soybeans vs. Mini-sized Soybean |
100% |
|
1:1 |
Corn vs. Wheat |
40% |
|
5:1 |
Mini-sized Corn vs. Wheat |
40% |
|
1:5 |
Corn vs. Mini-sized Wheat |
30% |
|
1:1 |
Mini Corn vs. Mini-sized Wheat |
30% |
|
2:3 |
Corn vs. Oats |
70% |
|
10:3 |
Mini-sized Corn vs. Oats |
70% |
|
2:3 |
Soybean Meal vs. Soybean Oil |
50% |
|
1:1 |
Gold vs. Silver |
75% |
|
1:5 |
Gold vs. Mini-sized Silver |
75% |
| 3:1 |
Mini-sized Gold vs. Silver |
75% |
|
3:5 |
Mini-sized Gold vs. Mini-sized Silver |
75% |
| 1:1 | Soybeans vs. South American Soybeans | 80% |
| 5:1 | Mini-sized Soybeans vs. South American Soybeans | 80% |
| 1:1 | Soybean Meal vs. South American Soybeans | 65% |
| 1:1 | Soybean Oil vs. South American Soybeans | 45% |
| 5:2 | Corn vs. Soybean | 55% |
| 25:2 | Mini-sized Corn vs. Soybean | 55% |
| 1:2 | Corn vs. Mini-sized Soybean | 55% |
| 5:2 | Mini-sized Corn vs. Mini-sized Soybean | 55% |
| 5:2 | Corn vs. South American Soybean | 50% |
| 25:2 | Mini-sized Corn vs. South American Soybean | 50% |
|
1:4 |
Dow Jones AIG Commodity Index vs. Dow Jones AIG Commodity Excess Return Index |
90% |
|
1:1
|
OTC Ethanol Forward Month Swap vs. CBOT OTC Ethanol Previous Month Swap |
85%
|
|
2:1
|
OTC Ethanol Forward Month Swap vs. CBOT Ethanol Futures |
85%
|
|
2:1
|
OTC Ethanol Previous Month Swap vs. CBOT Ethanol Futures |
75%
|
|
Crush Spread |
Spread Credit % |
|
|
10:11:9 |
Soybeans (September Forward) vs. Soybean Meal (October Forward) vs. Soybean Oil (October Forward) |
85% |
|
50:11:9 |
Mini-Sized Soybeans (September Forward) vs. Soybean Meal (October Forward) vs. Soybean Oil (October Forward) |
85% |
|
1:1:1 |
Soybeans (September Forward) vs. Soybean Meal (October Forward) vs. Soybean Oil (October Forward). |
85% |
|
5:1:1 |
Mini-Sized Soybeans (September Forward) vs. Soybean Meal (October Forward) vs. Soybean Oil (October Forward) |
85% |
|
10:11:9 |
South American Soybeans (September Forward) vs. Soybean Meal (October Forward) vs. Soybean Oil (October Forward) |
70% |
|
1:1:1 |
South American Soybeans (September Forward) vs. Soybean Meal (October Forward) vs. Soybean Oil (October Forward) |
70% |
|
1:10:11:9 |
Soybean Crush Option vs. Soybean vs. Soybean Meal vs. Soybean Oil |
96% |
|
1:50:11:9 |
Soybean Crush Option vs. Mini-sized Soybean vs. Soybean Meal vs. Soybean Oil |
96% |
|
Requirements |
||
|
An example of the Crush Option spread is one long Crush Call option spread against 10 short Soybean, 11 long Soybean Meal and 9 long Soybean Oil futures. |
||
|
Spreads - Interest Rates Group |
Spread Credit % |
|||
|
7:5 |
5 Year T-Notes vs. 10 Year T-Notes |
90% |
||
|
7:3 |
5 Year T-Notes vs. Treasury Bonds |
65% |
||
|
8:5 |
2 Year T-Notes vs. 10 Year T-Notes |
80% |
||
|
5:3 |
10 Year T-Notes vs. Treasury Bonds |
70% |
||
|
8:7 |
2 Year T-Notes vs. 5 Year T-Notes |
80% |
||
|
1:1 |
10 Year T-Note Futures vs. 10 Year Swap |
75% |
||
|
1:2 |
10 Year Swap vs. 5 Year Swap |
85% |
||
|
1:1 |
5 Year Swap vs. 5 Year Note |
85% |
||
|
3:8
|
Treasury Bond vs. 2 Year T-Note |
65%
|
||
|
1:1
|
10 Year T-Note vs. 5 Year Swap |
85%
|
||
|
3:2
|
5 Year Treasury Note vs. Fed Funds Tier 1 |
40%
|
||
|
3:2
|
5 Year Treasury Note vs. Fed Funds Tier 2 |
60%
|
||
|
3:2
|
2 Year Treasury Note vs. Fed Funds Tier 1 |
45%
|
||
|
3:2
|
2 Year Treasury Note vs. Fed Funds Tier 2 |
60%
|
||
|
2:1
|
10 Year Swap vs. 30 Year Swap |
90%
|
||
|
5:2
|
10 Year Treasury Note vs. 30 Year Swap |
60%
|
||
|
9:2
|
2 Year Treasury Note vs. 30 Year Swap |
60%
|
||
|
2:7
|
30 Year Swap vs. 5 Year Swap |
85%
|
||
|
4:1
|
5 Year Treasury Note vs. 30 Year Swap |
60%
|
||
|
4:3
|
Treasury Bond vs. 30 Year Swap |
55%
|
||
|
Spreads - Mini-Sized Group |
Spread Credit % |
|
|
1:2 |
Dow Jones Industrial Average $10.00 vs. Mini-Sized Dow Jones Industrial Average $5.00 |
100% |
| 3:10 |
30-Day Fed Funds vs. Mini-Eurodollars |
80% |
|
3:4 |
2 Year T-Note vs. Mini-Eurodollars |
50% |
|
1:2 |
Dow Jones TMI vs. Mini-Dow Jones Industrial Average |
85% |
|
5:1 |
Mini-Sized Silver vs. 5,000 oz. Silver |
100% |
|
3:1 |
Mini-Sized Gold vs. 100 oz. Gold |
100%
|
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