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Additional Notes on
Performance Bond Requirements
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Spread
Rules
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Inter-commodity spreads are
not allowed when either contract is in the delivery month.
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Spread Rules
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Regarding any inter-commodity
spreads between products with different I/M ratios, the inter-commodity
spread calculations for initial performance bond requirements outlined in
the current SPAN Technical Specifications (dated 5/20/94) also meet the
requirements for these spreads.
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Spread Rules
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There will be no performance
bond requirement for spreads formed with futures contracts based on the
same underlying contract in both products: i.e. SP v ES (1:5), ND v NQ
(1:5), JY v J7 (1:2), EC v E7 (1:2). Combinations of different futures
expirations will be margined at calendar spread rates.
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GSCI
Breakdown
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GSCI Basket-10 vs. Goldman Sachs Commodity Index (GI)
GSCI Basket-100 vs. Goldman Sachs Commodity Index (GI)
GSCI ER Futures Basket-100 vs. OTC S&P GSCI Excess
Return Swap (SES)
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CME Product
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Basket
of 100
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Basket
to 10
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Corn
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22
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2
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Coca
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1
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0
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Crude Oil
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66
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7
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Cotton
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4
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0
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Feeder Cattle
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2
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0
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Gold
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3
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0
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Heating Oil
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7
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1
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Coffee
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2
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0
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Kansas Wheat
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3
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0
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Live Cattle
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9
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1
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Brent Crude Oil
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23
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2
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Gasoil
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10
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1
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Hogs
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7
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1
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Aluminum
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6
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1
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Copper
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6
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1
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Nickle
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1
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0
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Lead
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1
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0
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Zinc
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2
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0
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Natural Gas
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13
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1
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RBOB Gasoline
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7
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1
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Soybeans
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6
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1
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Sugar
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12
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1
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Silver
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1
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0
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Wheat
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15
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2
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GSCI ER Futures Basket-100 vs. GSCI ER Futures (GA)
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CME Product
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Basket
of 100
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Basket
to 10
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Corn
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9
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1
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Coca
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1
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0
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Crude Oil
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26
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3
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Cotton
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2
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0
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Feeder Cattle
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1
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0
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Gold
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1
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0
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Heating Oil
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3
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0
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Coffee
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1
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0
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Kansas Wheat
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1
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0
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Live Cattle
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4
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0
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Brent Crude Oil
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9
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1
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Gasoil
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4
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0
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Hogs
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3
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0
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Aluminum
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2
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0
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Copper
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2
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0
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Nickle
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0
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0
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Lead
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0
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0
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Zinc
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1
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0
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Natural Gas
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5
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1
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RBOB Gasoline
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3
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0
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Soybeans
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2
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0
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Sugar
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5
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0
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Silver
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0
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0
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Wheat
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6
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1
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Short
Positions
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Margins for short customer
positions are based on original trade price.
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Short
Positions
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For short customer positions,
there will be a lower margin threshold of 30% and an upper margin threshold
of 70% so that if these levels are breached, there will be a margin call
(in the case of a lower threshold) or a margin release (in the case of a
higher threshold) to bring the margin level to 50% of the current price.
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Delivery
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If either contract is in the
delivery month, the performance bond will be the higher of the two
non-spread delivery month performance bonds.
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Delivery
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For Agricultural and Forest
Products, delivery month performance bond becomes effective on the business
day following the expiration of the options.
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Large
Currency Spread
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Long/Long or Short/Short
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Milk
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Milk (DA) outright has a
decreased delivery month expiration margin requirement that applies 15 days
prior to expiration. Feeder Cattle (FC) outright has a decreased delivery
month expiration margin requirement that applies 7 days prior to contract
expiration.
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Rounding
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For inter-commodity spreads,
in some cases the calculated requirements may differ slightly due to
rounding and the number of digits used in the calculation.
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Spread
Determination
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The Clearing House will
recognize certain inter-commodity ratio spreads in ratios designed to
estimate the appropriate arbitrage relationships. They are based on current
market conditions and will change as the value of the component contracts
fluctuates. For currently recognized ratios and additional information
contact the Clearing House, Risk Control Department at (312)648-3888.
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Eurodollar/Yen
Spread
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This spread shall contain
long (short) contracts in the first month of JY, short (long) contracts in
the second month of JY, long (short) the Euroyen contract, short (long) the
Eurodollar contract. The Eurodollar/Euroyen spread must be in the same
calendar month as the front month of the JY Spread.
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Spread
Determination
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The approximation of actual
spread ratios has been approved by the Exchange. There may be discrepancies
due to the application of rounding conventions.
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Eurodollar/Libor
Spread
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Three ED futures in a given
March quarterly month against a strip of three consecutive LIBOR futures,
where the LIBOR strip would start in the same contract month as the
Eurodollar futures.
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Butterfly
Spreads
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Butterfly Spread: Positions
in consecutive quarterly futures months of either (+1:-2:+1) or (-1:+2:-1)
configuration: (i.e. Mar 00, Jun 00, Sep 00). Serial months are not
eligible.
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Butterfly
Spreads
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Butterfly Spread (Skipping 1
Month): Positions in consecutive quarterly futures months, skipping one
month in between each month, of either (+1:-2:+1) or (-1:+2:-1)
configuration: (i.e. Mar 00, Sep 00, Mar 01). Serial months are not
eligible.
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Butterfly
Spreads
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Butterfly Spread (Skipping 2
Months): Positions in consecutive quarterly futures months, skipping 2
months in between each month, of either (+1:-2:+1) or (-1:+2:-1)
configuration: (i.e. Mar 00, Dec 00, Sep 01). Serial months are not
eligible.
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Butterfly
Spreads
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Butterfly Spread (Skipping 3
Months): Positions in consecutive quarterly futures months, skipping 3
months in between each month, of either (+1:-2:+1) or (-1:+2:-1)
configuration: (i.e. Mar 00, Mar 01, Mar 02). Serial months are not
eligible.
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Butterfly
Spreads
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Double Butterfly: Positions
in consecutive quarterly futures months of either (+1:-3:+3:-1) or
(-1:+3:-3:+1) configuration.
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Butterfly
Spreads
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Double Butterfly Spread
(Skipping 1 Month): Positions in consecutive quarterly futures months,
skipping one month in between each month, of either (+1:-3:+3:-1) or
(-1:+3:-3:+1) configuration.
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Condor
Spreads
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Condor Spread: Positions in
consecutive quarterly futures months of either (+1:-1:-1:+1) or
(-1:+1:+1:-1) configuration: (i.e. Mar 00, Jun 00, Sep 00, Dec 00). Serial
months are not eligible.
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Condor
Spreads
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Condor Spread (Skipping 1
Month): Positions in consecutive quarterly futures months, skipping 1 month
in between each month, of either (+1:-1:-1:+1) or (-1:+1:+1:-1)
configuration: (i.e. Mar 00, Sep 00, Mar 01, Sep 01).Serial months are not
eligible.
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Condor
Spreads
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Condor Spread (Skipping 2
Months): Positions in consecutive quarterly futures months, skipping 2
months in between each month, of either (+1:-1:-1:+1) or (-1:+1:+1:-1)
configuration. (i.e. Mar 00, Dec 00, Sep 01, Jun 02).
Serial months are not eligible.
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Condor
Spreads
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Condor Spread (Skipping 3
Months): Positions in consecutive quarterly futures months, skipping 3
months in between each month, of either (+1:-1:-1:+1) or (-1:+1:+1:-1)
configuration: (i.e. Mar 00, Mar 01, Mar 02. Mar 03). Serial months are not
eligible.
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CBOE
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Margin requirement for those
who qualify as a CBOE market maker.
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Crop
Year
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CBOT Soybean Meal: Crop Year
October through September
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Crop
Year
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CBOT Soybean Oil: Crop Year
October through September
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Binary
Fed Funds
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Binary Options on Target Fed
Funds Rate (commodity code '08') will have the following margin
requirements under the specified market conditions: Short options between
0-25 basis pts. OTM will have a margin of $1000 minus option value *45% Short
options between 26-50 basis pts. OTM will have a margin of $1000 minus
option value *30% Short options between 51-75 basis pts. OTM will have a
margin of $1000 minus option value *15% Short options greater than 76 basis
pts. OTM will have a margin of $1000 minus option value *5% Long Options
will have a margin that is 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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Crop
Year
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CBOT Corn: Crop Year November
through September
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Crop
Year
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CBOT Oats: Crop Year July
through May
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Crop
Year
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CBOT Soybean: Crop Year
November through September
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Crop
Year
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CBOT Wheat: Crop Year July
through May
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Crop
Year
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CME Frozen Pork Belly: Crop
Year February through August
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Eurodollars
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ED consecutive month spreads
include consecutive quarterly contracts.
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Crush
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CBOT Crush spread: Soybean
vs. Soy Meal, vs. Soybean Oil.
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Tier
Configuration
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Tier Configuration is used to
calculate inter-month and delivery month performance bond requirements.
Tiers allow for a more precise assessment of risk at the commodity month
level. Each tier consists of at least one futures month, and all of the
months within a tier are consecutive. This includes serial months. Calendar
spread performance bond requirements may differ from the published amounts
due to Scan Risk (i.e. for products such as Feeder Cattle or Milk in which
the months are configured into tiers) due to the difference in outright
rates for each tier.
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S&P
Spreads
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The options and futures vs.
options on other Exchanges ratio spreads must be on a weighted (2:5)
futures equivalent basis for SP spreads with the exception of SP v OEX and
SP v XII, and (2:1) futures equivelent basis for
ES with the exception of ES v OEX and ES v XII.
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