2-YEAR USD MAC SWAP - MARGINS

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 6 A 09/2021 09/2021 75%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 B All dates
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 6 A 03/2021 06/2021 75%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 B All dates
CBT INTEREST RATES LIT - 2-YEAR ERIS SWAP FUTURE Delta 1 B 09/2019 12/2019 90%
T1U - 2-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 70%
T1U - 2-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 1 B All dates 70%
T1U - 2-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES LIW - 5-YEAR ERIS SWAP FUTURES Delta 6 B 03/2017 06/2017 70%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES LIC - 3-YEAR ERIS SWAP FUTURES Delta 1 B 09/2018 12/2018 70%
T1U - 2-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES LIC - 3-YEAR ERIS SWAP FUTURES Delta 1 B 03/2018 06/2018 70%
T1U - 2-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 B All dates 60%
T1U - 2-YEAR USD MAC SWAP FUTURES 4 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 60%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 B All dates
CBT INTEREST RATES LID - 4-YEAR ERIS SWAP FUTURES Delta 2 A 09/2020 09/2021 60%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 B All dates
CBT INTEREST RATES LIY - 10-YEAR ERIS SWAP FUTURES Delta 2 B 09/2019 09/2021 55%
T1U - 2-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES S1U - 7-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 55%
T1U - 2-YEAR USD MAC SWAP FUTURES 1 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 06/2021 12/2021 55%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2021 05/2021 55%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 50%
T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 2 B All dates 50%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES LIY - 10-YEAR ERIS SWAP FUTURES Delta 2 B 09/2012 12/2012 50%
T1U - 2-YEAR USD MAC SWAP FUTURES 1 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2029 12/2029 45%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2028 12/2028 45%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2030 12/2030 45%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2027 12/2027 45%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2026 12/2026 45%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2025 12/2025 45%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2024 12/2024 45%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2023 12/2023 45%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 A 03/2022 12/2022 45%
CBT T1U - 2-YEAR USD MAC SWAP FUTURES 7 B All dates
CBT INTEREST RATES T1U - 2-YEAR USD MAC SWAP FUTURES Delta 4 B All dates 40%
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 1 A All dates
CBT INTEREST RATES N1U - 10-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 40%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES E1U - 20-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 25%
T1U - 2-YEAR USD MAC SWAP FUTURES 1 B All dates
CBT INTEREST RATES T1S - 2-YEAR SOFR MAC SWAP FUTURES Delta 1 A All dates 85%
T1U - 2-YEAR USD MAC SWAP FUTURES 1 B All dates
CBT INTEREST RATES T1U - 2-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 85%
YIT - 2-YEAR ERIS SOFR SWAP FUTURES 1 A All dates
CBT INTEREST RATES LIT - 2-YEAR ERIS SWAP FUTURE Delta 1 A 03/2020 06/2020 95%
T1U - 2-YEAR USD MAC SWAP FUTURES 1 B All dates

Deliverable Swap Futures Coupon Rates

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