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MARGIN INFORMATION
as of January 31, 2005
Net Position Spreads
Grains & Oilseeds
CONTRACT |
EXCH. |
NET POSITIONS |
SPREADS |
Initial
margin |
Maint.
margin |
Initial
margin |
Maint.
margin |
Corn*
Wheat*
Oats*
Soybeans*
KC Wheat*
Minn.Wheat*
Rough Rice*
Soy Meal*
Soy Oil* |
CBOT
CBOT
CBOT
CBOT
KCBOT
MGE
CBOT
CBOT
CBOT |
439
608
405
1,215
725
650
878
743
642 |
325
450
300
900
600
500
650
550
475 |
**135
**169
**270
**473
100
-
102
**203
**270 |
**100
**125
**200
**350
100
-
75
**150
**200 |
Margins are subject to change without notice.
* Margins involving the spot month may be significantly higher.
** Margins are for interyear spreads. |
Net Position Spreads
Meats
CONTRACT |
EXCH. |
NET POSITIONS |
SPREADS |
Initial
margin |
Maint.
margin |
Initial
margin |
Maint.
margin |
Live Cattle*
Lean Hogs*
Pork Bellies*
Feeder Cattle
GSCI Index |
CME
CME
CME
CME
CME |
1,080
878
1,620
1,823
4,500 |
800
650
1,200
1,350
3,000 |
810
743
**743
810
600 |
600
550
**550
600
400 |
Margins are subject to change without notice.
* Margins involving the spot month may be significantly higher. |
Net Position Spreads
Metals
CONTRACT |
EXCH. |
NET POSITIONS |
SPREADS |
Initial
margin |
Maint.
margin |
Initial
margin |
Maint.
margin |
Gold
Mini Gold
Silver
Mini Silver
Copper
Platinum
Palladium* |
COMEX
CBOT
COMEX
CBOT
COMEX
NYMEX
NYMEX |
2,025
405
2,700
405
2,700
2,700
2,700 |
1,500
300
2,000
300
2,000
2,000
2,000 |
68
-
108
-
108
405
405 |
50
-
80
-
80
300
300 |
Margins are subject to change without notice.
* Margins involving the spot month may be significantly higher. |
Net Position Spreads
Energy
CONTRACT |
EXCH. |
NET POSITIONS |
SPREADS |
Initial
margin |
Maint.
margin |
Initial
margin |
Maint.
margin |
Crude Oil*
Unleaded Gas*
Heating Oil*
Lumber*
Natural Gas* |
NYMEX
NYMEX
NYMEX
CME
NYMEX |
4,725
4,725
5,400
2,700
9,450 |
3,500
3,500
4,000
1,800
7,000 |
540
675
338
1,050
1,350 |
400
500
250
700
1,000 |
Margins are subject to change without notice.
* Margins involving the spot month may be significantly higher. |
Net Position Spreads
Tropicals
CONTRACT |
EXCH. |
NET POSITIONS |
SPREADS |
Initial
margin |
Maint.
margin |
Initial
margin |
Maint.
margin |
Coffee*
Cocoa*
Sugar*
Cotton*
Orange Juice* |
NYBOT
NYBOT
NYBOT
NYBOT
NYBOT |
3,080
1,680
700
1,400
1,050 |
2,200
1,200
500
1,000
750 |
280
350
210
1,700
210 |
200
250
150
1,700
150 |
Margins are subject to change without notice.
* Margins involving the spot month may be significantly higher. |
Net Position Spreads
Currencies
CONTRACT |
EXCH. |
NET POSITIONS |
SPREADS |
Initial
margin |
Maint.
margin |
Initial
margin |
Maint.
margin |
Aust Dollar
British Pound
Canadian Dollar
Dollar Index
Euro Currency
Japanese Yen
Mexican Peso
Swiss Franc |
IMM
IMM
IMM
NYBOT
IMM
IMM
IMM
IMM |
2,363
1,890
1,688
1,729
2,970
2,565
1,875
2,565 |
1,750
1,400
1,250
1,300
2,200
1,900
1,500
1,900 |
135
68
34
200
68
34
250
34 |
100
50
25
150
50
25
200
25 |
Margins are subject to change without notice. |
Net Position Spreads
Interest Rates
CONTRACT |
EXCH. |
NET POSITIONS |
SPREADS |
Initial
margin |
Maint.
margin |
Initial
margin |
Maint.
margin |
U.S. T-Bonds
10 Year Notes
5 Year Notes
Muni Bond Index
Eurodollars
T-Bills
EuroYen (in Yen) |
CBOT
CBOT
CBOT
CBOT
IMM
IMM
IMM |
1,890
1,148
743
1,215
945
405
6,075 |
1,400
850
550
900
700
300
4,500 |
-
-
-
-
135
405
4,050 |
-
-
-
-
100
300
3,000 |
Margins are subject to change without notice. |
Net Position Spreads
Indices
CONTRACT |
EXCH. |
NET POSITIONS |
SPREADS |
Initial
margin |
Maint.
margin |
Initial
margin |
Maint.
margin |
S&P 500 Index
E-Mini S&P Index
NASDAQ 100
E-Mini NASDAQ 100
NASDAQ Composite
Mid Cap 400
Russell 2000
Nikkei Index
CRB Index
Dow Jones Index |
CME
CME
CME
CME
CME
CME
CME
CME
NYBOT
CBOT |
19,688
3,938
18,750
3,750
4,500
16,875
16,875
4,063
2,000
4,875 |
15,750
3,150
15,000
3,000
3,600
13,500
13,500
3,250
2,000
3,900 |
63
13
63
13
313
188
250
63
460
- |
50
10
50
10
250
150
200
50
350
- |
Margins are subject to change without notice. |
Intermarket Spreads
Grains and Oilseeds
|
RATIO |
Initial
margin |
Maint.
margin |
Beans/Meal & Oil
Soybeans/Meal
Soybeans/Oil |
1/1&1
1/1
1/1 |
390
783
928 |
289
580
688 |
Margins are subject to change without notice. |
Intermarket Spreads
Energy
|
RATIO |
Initial
margin |
Maint.
margin |
Crude Oil/Heating Oil
Unleaded Gas/Heating Oil
Heating Oil/Natural Gas
Crude Oil/Unleaded Gas |
451/1
1/1
1/1
1/1 |
3,544
4,050
8,910
3,308 |
2,625
3,000
6,600
2,450 |
Margins are subject to change without notice. |
Intermarket Spreads
Metals
|
RATIO |
Initial
margin |
Maint.
margin |
Gold/Platinum |
1/2 |
1,600 |
1,100 |
Margins are subject to change without notice. |
Intermarket Spreads
Currencies
|
RATIO |
Initial
margin |
Maint.
margin |
Australian/Canadian $
Australian Dollar/S-Franc
B-Pound/Canadian Dollar
B-Pound/Euro FX
B-Pound/J-Yen
B-Pound/S-Franc
Canadian Dollar/Euro FX
Canadian Dollar/J-Yen
Canadian Dollar/S-Franc
Euro FX/J-Yen
Euro FX/S-Franc
J-Yen/S-Franc |
1/1
3/2
3/4
3/2
1/1
1/1
2/1
3/2
4/3
3/4
2/3
1/1 |
2,025
4,887
4,968
6,386
1,782
1,337
2,221
4,587
5,056
8,627
1,958
1,796 |
1,500
3,620
3,680
4,730
1,320
990
1,645
3,398
3,745
6,390
1,450
1,330 |
Margins are subject to change without notice. |
Intermarket Spreads
Interest Rates
|
RATIO |
Initial
margin |
Maint.
margin |
5 Yr Notes/Bonds
10 Yr Notes/Bonds
Muni/Bonds
T-Bill/Eurodollar |
1/1
2/1
1/1
1/1 |
921
1,046
891
169 |
683
775
660
125 |
Margins are subject to change without notice. |
Intermarket Spreads
Indices
|
RATIO |
Initial
margin |
Maint.
margin |
MidCap 400/Nasdaq 100
S&P/MidCap 400
S&P/Nikkei 225
S&P/NASDAQ 100
Mini S&P/Nasdaq Composite
Mini S&P/Mini Nasdaq
Mini DOW/Mini S&P |
2/3
1/1
1/5
1/2
1/1
1/2
1/1 |
9,000
3,656
6,000
5,719
6,75
2,859
122 |
7,200
2,925
4,800
4,575
5,40
2,288
98 |
Margins are subject to change without notice. |
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