ATLANTA HDD NOV SEASONAL STRIP - MARGINS

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2024 12/2024 80%
CBT YIW - 5-YEAR ERIS SOFR SWAP FUTURES 3 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2024 12/2024 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2021 09/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2025 12/2025 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2020 12/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2023 12/2023 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 03/2021 06/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2023 12/2023 80%
CBT YIW - 5-YEAR ERIS SOFR SWAP FUTURES 3 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 03/2023 12/2023 80%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2023 12/2023 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2021 09/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2022 12/2022 80%
CBT YIW - 5-YEAR ERIS SOFR SWAP FUTURES 3 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 03/2022 12/2022 80%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2022 12/2022 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 03/2021 06/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2022 12/2022 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2021 09/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 04/2021 12/2021 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2021 09/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 04/2021 12/2021 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 03/2021 06/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2024 12/2024 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2020 12/2020
CBT INTEREST RATES F1S - 5-YEAR SOFR MAC SWAP FUTURES Delta 3 A All dates 80%
CME SR3 - THREE-MONTH SOFR FUTURES 5 B 12/2023 09/2024
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 5 B 12/2023 09/2024 80%
CBT YIW - 5-YEAR ERIS SOFR SWAP FUTURES 3 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2023 12/2023 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2020 12/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2022 12/2022 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2020 12/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2024 12/2024 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 03/2020 06/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 04/2021 12/2021 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2020 12/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2023 12/2023 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 03/2020 06/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 8 B 03/2023 12/2023 80%
CBT YID - 4-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2022 12/2022 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 03/2020 06/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 8 B 03/2022 12/2022 80%
CBT YID - 4-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 04/2021 12/2021 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 03/2020 06/2020
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 8 B 12/2023 09/2024 80%
CBT YID - 4-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 8 B 12/2022 09/2023 80%
CBT YID - 4-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2023 12/2023 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2019 12/2019
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2022 12/2022 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2019 12/2019
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 B 03/2023 12/2023 80%
CBT LIC - 3-YEAR ERIS SWAP FUTURES 9 A 09/2021 09/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 04/2021 12/2021 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 09/2019 12/2019
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 B 03/2022 12/2022 80%
CBT LIC - 3-YEAR ERIS SWAP FUTURES 9 A 09/2021 09/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 B 03/2023 12/2023 80%
CBT LIC - 3-YEAR ERIS SWAP FUTURES 9 A 03/2021 06/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 03/2023 12/2023 80%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 6 B 03/2022 12/2022 80%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 B 03/2022 12/2022 80%
CBT LIC - 3-YEAR ERIS SWAP FUTURES 9 A 03/2021 06/2021
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 8 B 03/2022 12/2022 80%
CBT LID - 4-YEAR ERIS SWAP FUTURES 5 A 03/2020 06/2020
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 B 03/2022 12/2022 80%
CBT LIW - 5-YEAR ERIS SWAP FUTURES 3 A 03/2019 06/2019
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 01/2022 12/2025 80%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 05/2021 01/2022
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 03/2021 04/2021 80%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 05/2021 01/2022
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 1 B 05/2021 07/2021 80%
CME SR1 - ONE-MONTH SOFR FUTURES 1 A 04/2021 04/2021
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 6 B 12/2022 09/2023 80%
CBT YIC - 3-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 10 B 03/2022 12/2022 80%
CBT LIC - 3-YEAR ERIS SWAP FUTURES 9 A 09/2020 12/2020
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 3 A 01/2022 12/2025 80%
CME SR3 - THREE-MONTH SOFR FUTURES 5 B 12/2022 09/2023
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 3 A 05/2021 07/2021 80%
CME SR3 - THREE-MONTH SOFR FUTURES 5 B 06/2021 09/2021
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 3 A 03/2021 04/2021 80%
CME SR3 - THREE-MONTH SOFR FUTURES 5 B 03/2021 03/2021
CME INTEREST RATES SR1 - ONE-MONTH SOFR FUTURES Delta 3 A 04/2021 04/2021 80%
SR3 - THREE-MONTH SOFR FUTURES 5 B 03/2021 03/2021
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 3 A 01/2022 12/2025 80%
CME SR3 - THREE-MONTH SOFR FUTURES 5 B 12/2021 09/2022
CBT INTEREST RATES 41 - 30 DAY FED FUND FUTURES Delta 3 A 08/2021 12/2021 80%
CME SR3 - THREE-MONTH SOFR FUTURES 5 B 12/2021 09/2022
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 4 B 03/2022 12/2022 80%
CBT YIT - 2-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 3 B 06/2021 09/2021 80%
CBT T1S - 2-YEAR SOFR MAC SWAP FUTURES 4 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 3 B 06/2021 09/2021 80%
CBT T1S - 2-YEAR SOFR MAC SWAP FUTURES 4 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 3 B 12/2021 09/2022 80%
CBT T1S - 2-YEAR SOFR MAC SWAP FUTURES 4 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 3 B 12/2021 09/2022 80%
CBT T1S - 2-YEAR SOFR MAC SWAP FUTURES 4 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 4 B 12/2021 09/2022 80%
CBT YIT - 2-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 4 B 12/2021 09/2022 80%
CBT YIT - 2-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 4 B 06/2021 09/2021 80%
CBT YIT - 2-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 4 B 06/2021 09/2021 80%
CBT YIT - 2-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 2 B 04/2021 12/2021 80%
CBT YIA - 1-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME INTEREST RATES SR3 - THREE-MONTH SOFR FUTURES Delta 2 B 03/2021 03/2021 80%
CBT YIA - 1-YEAR ERIS SOFR SWAP FUTURES 5 A All dates
CME FX AD - AUSTRALIAN DOLLAR FUTURES Delta 1 A All dates 95%
CA - EC/AD CROSS RATE FUTURES 1 A All dates
EC - EURO FUTURE 1 B All dates
CME FX 1SF - E-MICRO USD/CHF FUTURES Delta 12 A All dates 95%
SF - SWISS FRANC FUTURES 1 A All dates