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S&P-GSCI ER Index Margins

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT AGRICULTURE DGS - BLOOMBERG COMMODITY INDEX SWAPS Delta 5 B All dates 60%
CME GA - GSCI ER FUTURES 1 A All dates
CBT AGRICULTURE 70 - BLOOMBERG COMMODITY INDEX FUTURES Delta 10 A All dates 45%
CME GA - GSCI ER FUTURES 1 B All dates
CME AGRICULTURE GA - GSCI ER FUTURES Delta 1 A All dates 40%
GI - S&P-GSCI COMMODITY INDEX FUTURE 1 B All dates
NYM NATURAL GAS NY-NG - NATURAL GAS HENRY HUB FUTURE Delta 5 A All dates 75%
CMX METALS CX-GC - COMEX 100 GOLD FUTURES 1 A All dates
CMX METALS CX-HG - COMEX COPPER FUTURES 1 A All dates
NYM CRUDE OIL NY-BZ - BRENT LAST DAY CONTRACT 14 A All dates
NYM CRUDE OIL NY-CL - CRUDE OIL FUTURE NYMEX 16 A All dates
CME AGRICULTURE FC - FEEDER CATTLE FUTURES 1 A All dates
CME AGRICULTURE GA - GSCI ER FUTURES 100 B All dates
CBT AGRICULTURE KCW - KC HRW WHEAT FUTURES 1 A All dates
CME AGRICULTURE LC - LIVE CATTLE FUTURES 4 A All dates
CME AGRICULTURE LN - LEAN HOG FUTURES 3 A All dates
CBT AGRICULTURE C - CORN FUTURES 10 A All dates
CBT AGRICULTURE S - SOYBEAN FUTURES 3 A All dates
CBT AGRICULTURE W - WHEAT FUTURES 6 A All dates
NYM REFINED PRODUCTS NY-HO - NY HARBOR ULSD FUT 3 A All dates
NYM REFINED PRODUCTS NY-RB - RBOB GASOLINE FUTURES 3 A All dates
NYM NATURAL GAS NY-NG - NATURAL GAS HENRY HUB FUTURE Delta 5 A All dates 70%
CMX METALS CX-GC - COMEX 100 GOLD FUTURES 1 A All dates
NYM CRUDE OIL NY-BZ - BRENT LAST DAY CONTRACT 14 A All dates
NYM CRUDE OIL NY-CL - CRUDE OIL FUTURE NYMEX 16 A All dates
NYM REFINED PRODUCTS NY-RB - RBOB GASOLINE FUTURES 3 A All dates
NYM REFINED PRODUCTS NY-HO - NY HARBOR ULSD FUT 3 A All dates
CBT AGRICULTURE C - CORN FUTURES 10 A All dates
CME AGRICULTURE FC - FEEDER CATTLE FUTURES 1 A All dates
CME AGRICULTURE GA - GSCI ER FUTURES 100 B All dates
CBT AGRICULTURE KCW - KC HRW WHEAT FUTURES 1 A All dates
CME AGRICULTURE LC - LIVE CATTLE FUTURES 4 A All dates
CME AGRICULTURE LN - LEAN HOG FUTURES 3 A All dates
CBT AGRICULTURE S - SOYBEAN FUTURES 3 A All dates
CBT AGRICULTURE W - WHEAT FUTURES 6 A All dates
CME AGRICULTURE GA - GSCI ER FUTURES Delta 1 B All dates 80%
SES - SP GSCI SWAP FUTURES 1 A All dates