3-YEAR T-NOTE - MARGINS

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 75%
YID - 4-YEAR ERIS SOFR SWAP FUTURES 1 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 75%
YIC - 3-YEAR ERIS SOFR SWAP FUTURES 1 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 75%
LIC - 3-YEAR ERIS SWAP FUTURES 1 A 03/2021 06/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 A All dates 70%
F1U - 5-YEAR USD MAC SWAP FUTURES 2 B All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 2 A 03/2021 06/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 2 A 09/2021 09/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 70%
F1S - 5-YEAR SOFR MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 70%
YIW - 5-YEAR ERIS SOFR SWAP FUTURES 2 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 2 A 09/2020 12/2020
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 2 A 03/2020 06/2020
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 1 A 09/2020 09/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 2 A 09/2019 12/2019
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 1 A 03/2020 06/2020
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 2 A 03/2019 06/2019
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 A All dates 70%
41 - 30 DAY FED FUND FUTURES 1 B 01/2022 12/2025
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 A All dates 70%
41 - 30 DAY FED FUND FUTURES 1 B 08/2021 12/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 A All dates 70%
41 - 30 DAY FED FUND FUTURES 1 B 08/2021 12/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 1 A 09/2019 12/2019
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 70%
LIC - 3-YEAR ERIS SWAP FUTURES 1 A 09/2020 12/2020
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 12/2024 06/2030
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 70%
LIT - 2-YEAR ERIS SWAP FUTURE 2 A 03/2021 09/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 70%
T1S - 2-YEAR SOFR MAC SWAP FUTURES 2 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 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 1 A 03/2019 06/2019
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 12/2023 09/2024
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 12/2022 09/2023
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 12/2021 09/2022
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 70%
YIT - 2-YEAR ERIS SOFR SWAP FUTURES 3 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 12/2021 09/2022
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 06/2021 09/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 70%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 06/2021 09/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 70%
LIT - 2-YEAR ERIS SWAP FUTURE 2 A 09/2020 12/2020
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 70%
YIA - 1-YEAR ERIS SOFR SWAP FUTURES 7 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 65%
S1S - 7-YEAR SOFR MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 65%
3YR - 3 YEAR TREASURY NOTE FUTURE 1 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 05/2021 01/2022
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 A All dates 65%
41 - 30 DAY FED FUND FUTURES 1 B 05/2021 07/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 05/2021 01/2022
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 A All dates 65%
41 - 30 DAY FED FUND FUTURES 1 B 05/2021 07/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 A All dates 65%
41 - 30 DAY FED FUND FUTURES 1 B 03/2021 04/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 65%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 04/2021 04/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 3 B 03/2023 12/2023
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 3 B 03/2022 12/2022
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 65%
CME ED - EURODOLLAR FUTURES 3 B 05/2021 12/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 65%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 03/2021 03/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 9 A All dates 60%
I3 - 30Y INTEREST RATE SWAP FUTU 2 B All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
N1U - 10-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
N1S - 10-YEAR SOFR MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 09/2019 09/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
YIY - 10-YEAR ERIS SOFR SWAP FUTURES 1 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 03/2019 06/2019
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 09/2018 12/2018
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 03/2018 06/2018
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 09/2017 12/2017
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 03/2017 06/2017
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 09/2016 12/2016
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 03/2016 06/2016
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 5 B All dates 60%
YIB - 7-YEAR ERIS SOFR SWAP FUTURES 3 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 09/2015 12/2015
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 03/2015 06/2015
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 09/2014 12/2014
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 1 A 03/2014 06/2014
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 60%
CME ED - EURODOLLAR FUTURES 3 B 03/2025 12/2025
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 60%
CME ED - EURODOLLAR FUTURES 3 B 03/2024 12/2024
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 60%
LIW - 5-YEAR ERIS SWAP FUTURES 2 A 09/2018 12/2018
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 60%
LIC - 3-YEAR ERIS SWAP FUTURES 1 A 03/2020 06/2020
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 5 A All dates 55%
LIB - 7-YEAR ERIS SWAP FUTURES 3 B 06/2019 09/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 55%
CME ED - EURODOLLAR FUTURES 3 B 03/2026 12/2026
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 55%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 03/2021 03/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 50%
3YR - 3 YEAR TREASURY NOTE FUTURE 3 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 50%
CME ED - EURODOLLAR FUTURES 3 B 03/2028 12/2028
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 50%
CME ED - EURODOLLAR FUTURES 3 B 03/2027 12/2027
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 50%
CME ED - EURODOLLAR FUTURES 3 B 03/2029 12/2029
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 50%
CME ED - EURODOLLAR FUTURES 3 B 02/2021 04/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 50%
LIW - 5-YEAR ERIS SWAP FUTURES 2 A 03/2018 06/2018
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 50%
LID - 4-YEAR ERIS SWAP FUTURES 1 A 09/2018 12/2018
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 B All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 3 A 12/2020 12/2020
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 50%
LIC - 3-YEAR ERIS SWAP FUTURES 1 A 09/2019 12/2019
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 50%
LIT - 2-YEAR ERIS SWAP FUTURE 2 A 03/2020 06/2020
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 45%
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 1 B All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 2 A All dates 45%
CME ED - EURODOLLAR FUTURES 3 B 03/2030 12/2030
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 5 A All dates 45%
LIB - 7-YEAR ERIS SWAP FUTURES 3 B 03/2014 03/2019
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 A All dates 40%
CME EM - ONE MONTH EURODOLLAR FUTURES 2 B All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 40%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 02/2021 02/2021
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 3 B All dates 40%
LIW - 5-YEAR ERIS SWAP FUTURES 2 A 09/2017 12/2017
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 40%
LID - 4-YEAR ERIS SWAP FUTURES 1 A 03/2018 06/2018
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 40%
LIC - 3-YEAR ERIS SWAP FUTURES 1 A 03/2019 06/2019
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 35%
3YR - 3 YEAR TREASURY NOTE FUTURE 3 A All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 6 A All dates 25%
UBE - LONG TERM U.S. TREASURY BOND FUTURE 1 B All dates
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Scan 2 All dates 70%
3YR - 3 YEAR TREASURY NOTE FUTURE 2 All dates
CBT INTEREST RATES 3YR - 3 YEAR TREASURY NOTE FUTURE Delta 1 B All dates 80%
LIC - 3-YEAR ERIS SWAP FUTURES 1 A 09/2021 09/2021

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