NOTICE. Revisions to Spread Margin Rates

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Barnard Nash
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1 NOTICE November 17, 2011 Summary of Content: Exchange to implement revised spread margin rates for agricultural futures contracts. For more information please contact: Bruce Domash Media Inquiries: Lee Underwood To sign up to receive Exchange Notices automatically, please go to our Subscriptions page at: /subscribe.jhtml Revisions to Spread Margin Rates Effective Monday, November 21, 2011, ICE Clear U.S. and the Exchange will implement revised margin rates for agricultural futures spread positions. In many cases the new rate schedule will result in significantly lower margin rates for spreads involving two futures contract months (or simple spreads ) and also for butterfly spread positions involving three futures contract months, as described below. The new Clearing Margin rates that will be in effect for simple spread and butterfly spreads for these products, as described below, follow at the end of this Notice. New Exchange Margin rates will be available on the web by the close of business on Friday, November 18 at: _US_Margin_Requirements.pdf. Simple Spreads: Under the new schedule, a specific Exchange Initial and Maintenance margin rate for a simple spread position will be set for each spread pair, rather than for groups of spread pairs. Setting margins for each spread pair allows for the margin rate to be based on historical price movement of that pair, providing a more accurate assessment of the risk of the position. This will result in Clearing Margin rates under the new schedule being significantly lower than the current rates. For example, the current Hedge Initial Margin rate for a March 12/May 12 Sugar No. 11 futures contracts spread is $1,450 compared to $400 a 72% reduction under the new rates. Butterfly Spreads: A butterfly spread consists of a position that is Long 1 lot of Month 1, Short 2 lots of Month 2 and Long 1 lot of Month 3, where the contract months involve three consecutive listed months. (The opposite side of this position ie., short 1 lot of Month 1, long 2 lots of Month 2 and short 1 lot of Month 3 would also be a butterfly spread.) Formerly, this Butterfly Spread would be margined as two simple spreads, which, in the case of Sugar No. 11, would result in an Initial Hedge margin requirement of 2 times $1,450, or $2,900. Under the new margin schedule, if the Butterfly Spread involves the front three listed contract months (i.e., March 2012, May 2012 and July 2012) the Initial Hedge margin requirement for the position would be $400 an 86% reduction. ICE Futures U.S. Exchange Notice 1

2 As a reminder, ICE Clear U.S. sets a single margin rate that it applies to positions in a particular futures contract, regardless of whether the positions held at a clearing member are held by Hedge or Speculative trading accounts. The Exchange then sets minimum Initial and Maintenance margin rates that clearing members must charge their customers, with one set of rates for Hedge positions and another set for Speculative positions. Clearing members are required to charge their customers at least the minimum margin rates determined by the Exchange as follows: Hedge Initial Margin 100% of the Clearing Margin Rate Hedge Maintenance Margin 100% of the Clearing Margin Rate Spec Initial Margin 140% of the Clearing Margin Rate Spec Maintenance Margin 100% of the Clearing Margin Rate Note all Exchange margin rates including the rates cited above are subject to change. Current Exchange margins can be found at: _US_Margin_Requirements.pdf. ICE Futures U.S. Exchange Notice 2

3 Cocoa TIER T2 T3 T4 T5 T6 T7 T8 T1 1,250 1,250 1,250 1,250 1,250 1,250 1,250 T T T T T T7 100 Cotton No.2 T1 1,500 1,400 1,250 1,650 1,200 1,400 1,550 1,600 1,500 1,500 1,550 1,500 T ,500 1,450 1,750 1,800 1,800 1,800 1,800 1,800 1,800 T ,400 1,100 1,100 1,400 1,450 1,450 1,450 1,450 1,450 T4 1, ,150 1,150 1,150 1,150 1,200 1,500 T5 1,050 1,050 1,150 1,050 1,050 1,100 1,150 1,100 T T T T T T T ICE Futures U.S. Exchange Notice 3

4 Sugar No.11 TIER T2 T3 T4 T5 T6 T7 T8 T9 T10 T ,000 T T T T T T T T9 150 Coffee C T ,200 1,400 1,800 2,400 3,050 3,150 T ,150 1,350 1,700 2,250 3,000 3,050 T ,050 1,250 1,650 2,200 2,950 3,000 T ,100 1,500 2,050 2,850 2,900 T ,050 1, ,750 2,800 T ,000 1,400 1,900 2,700 2,750 T ,350 1,850 2,600 2,650 T ,100 1,700 2,450 2,550 T ,550 2,350 2,450 T10 1,150 1,900 1,950 T ,400 T ICE Futures U.S. Exchange Notice 4

5 FCOJ T T T T T T T T T T T T12 50 Butterfly Spreads CC CT KC OJ SB T T T T T T T789 N/A T8910 N/A T91011 N/A N/A T N/A N/A T N/A N/A ICE Futures U.S. Exchange Notice 5

Soybean Oil (IBO) New Maintenance Requirement Change 850 USD +50 USD. Customer Type Initial Margin Maintenance Margin

Soybean Oil (IBO) New Maintenance Requirement Change 850 USD +50 USD. Customer Type Initial Margin Maintenance Margin NOTICE 14-090 October 24, 2014 Summary of content Margin Changes For more information please contact: ICE Clear US 212-748-4001 312-836-6777 ICEClearUS@theice.com To sign up to receive Clearing Notices