Subject to the provisions of Paragraphs 8, 9, 10 and 11 of Regulation 431.02, minimum initial* and maintenance* hedging margins on all commitments in futures shall be as follows:
Agricultural Group
|
Maintenance Margin (per contract) |
Initial Mark Up Percentage |
Initial Margin (per contract) |
|
|
Corn |
$1,500 |
100% |
$1,500 |
|
Oats |
$1,000 |
100% |
$1,000 |
|
Rough Rice |
$2,300 |
100% |
$2,300 |
| Soybean |
$3,500
|
100%
|
$3,500
|
|
Soybean Meal |
$2,000 |
100% |
$2,000 |
|
Soybean Oil |
$1,700 |
100% |
$1,700 |
|
Wheat |
$3,000 |
100% |
$3,000 |
| Ethanol | $3,500 | 100% | $3,500 |
| South American Soybeans | $1,500 | 100% | $1,500 |
| Theoretical Futures on Soybean Crush Options | $2,655 | 100% | $2,655 |
| OTC Ethanol Forward Month Swap | $1,250 | 100% | $1,250 |
| OTC Cash Settled Ethanol Options | $2,500 | 100% | $2,500 |
| OTC Ethanol Gulf Coast Basis Swap | $2,000 | 100% | $2,000 |
| OTC Ethanol Los Angeles Basis Swap | $2,000 | 100% | $2,000 |
| OTC Ethanol New York Harbor Basis Swap | $2,000 | 100% | $2,000 |
|
Crop Years are Defined as the Following: |
|||
|
Maintenance Margin (per contract) |
Initial Margin Mark Up Percentage |
Initial Margin (per contract) |
|
|
Treasury Bonds |
$1,800 |
100% |
$1,800 |
|
10 Year T-Note |
$1,400 |
100% |
$1,400 |
|
5 Year T-Note |
$1,000 |
100% |
$1,000 |
|
2 Year T-Note |
$900 |
100% |
$900 |
|
30-Day Fed Fund-Tier 1 (Month 1-Month 4) -Less than 21 days to expiration -Less than 14 days to expiration -Less than 7 days to expiration |
$850
$650 $450
$250 |
100%
100% 100%
100% |
$850
$650 $450
$250 |
| 30-Day Fed Fund-Tier 2 (Month 5 and later) |
$1,000
|
100%
|
$1,000
|
|
10 Year Swaps |
$1,700 |
100% |
$1,700 |
|
5 Year Swaps |
$1,200 |
100% |
$1,200 |
|
30 Year Swaps |
$2,600 |
100% |
$2,600 |
|
Maintenance Margin (per contract) |
Initial Margin Mark Up Percentage |
Initial Margin (per contract) |
|
|
Dow Jones Industrial Average(sm)-$10.00 |
$5,604 |
100% |
$5,604 |
|
Dow Jones Industrial Average(sm)-$5.00 |
$2,500 |
100% |
$2,500 |
|
Dow Jones Industrial Average(sm)-$25.00 |
$14,010 |
100% |
$14,010 |
|
Dow Jones AIG Commodity Index |
$1,700 |
100% |
$1,700 |
|
Dow Jones AIG Commodity Excess Return Index |
$1,000 |
100% |
$1,000 |
|
Dow Jones U.S. Real Estate Index |
$1,350 |
100% |
$1,350 |
|
Maintenance Margin (per contract) |
Initial Margin Mark Up Percentage |
Initial Margin (per contract) |
|
|
100 Oz. Gold |
$2,700 |
100% |
$2,700 |
|
5,000 Oz. Silver |
$6,000 |
100% |
$6,000 |
|
Maintenance Margin (per contract) |
Initial Margin Mark Up Percentage |
Initial Margin (per contract) |
|
|
Gold |
$900 |
100% |
$900 |
|
Silver |
$1,200 |
100% |
$1,200 |
|
Dow Jones Industrial Average(sm)-$5.00 |
$2,802 |
100% |
$2,802 |
|
Eurodollars |
$250 |
100% |
$250 |
|
Corn |
$300 |
100% |
$300 |
|
Soybeans
|
$700
|
100%
|
$700
|
|
Wheat |
$600 |
100% |
$600 |
A short option will have the following margin requirements under the specified market conditions:
|
Position |
Margin Requirement |
|
Short options that are between 0 and 25 basis points out-of-the money |
($1,000 minus option value) x 45% * |
|
Short options that are between 26 and 50 basis points out-of-the money |
($1,000 minus option value) x 30% * |
|
Short options that are between 51 and 75 basis points out-of-the money |
($1,000 minus option value) x 15% * |
|
Short options that are greater than 76 basis points out-of-the money |
($1,000 minus option value) x 5% * |
|
Long Options |
Equal to or less than the option value (an account containing only long options will never have a margin deficiency when the options are fully paid for). |
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