INITIAL & MAINTENANCE EXCHANGE MINIMUM MARGINS. AGRICULTURE (In U.S. Dollars)

Transcription

1 INITIAL & MAINTENANCE EXCHANGE MINIMUM MARGINS with the opening of business on Monday, March 30, 2009, the margin requirements are as listed below. Information shown in red indicate latest changes. AGRICULTURE (In U.S. Dollars) MARKET Initial Maint Initital Maint Initial Maint Initital Maint Sugar #11 (SB) 1, /06/08 Cleared-Only Sugar #11 Swap (SBC) 1, /13/09 Sugar #14 (SE) 1, /06/08 Sugar #16 (SF) 1, /26/08 Cocoa (CC) 2,660 1,900 * * 1,900 1,900 * * 0 11/06/08 Cleared-Only Cocoa Swap (CCC) Outright 2,660 1,900 * * 1,900 1,900 * * 0 02/13/09 Coffee (KC) 3,780 2,700 ** ** 2,700 2,700 ** ** 0 01/09/09 Cleared-Only Coffee Swap (KCC) 3,780 2,700 ** ** 2,700 2,700 ** ** 0 02/13/09 Cotton (CT) 1,820 1, ,300 1, /19/09 FCOJ-A (OJ) /04/09 Cotton crop year begins August 1 and ends July 31 Outright Addon Note: The minimum original and maintenance margin rates for a customer who is a member or a member of the trade of the ICE Futures U.S. is equal to the hedge rates shown above. N1 = First Nearby Contract N2 = Second Nearby Contract 1

2 Note: The following spread tier changes will be implemented for Cocoa Tier 1 = Months 1-4 Tier 2 = Months 5 - * Initital Maint Initital Maint CC Tier 1-Tier /30/09 CC Tier 1-Tier /30/09 CC Tier 2-Tier /30/09 The following spread tier changes will be implemented for Coffee Tier 1 = Months 1-4 Tier 2 = Months 5-6 Tier 3 = Months 7 - Initital Maint Initital Maint KC Tier 1-Tier 1 ** /05/07 KC Tier 1-Tier /17/07 KC Tier 1-Tier /17/07 KC Tier 2-Tier /05/07 KC Tier 2-Tier /17/07 KC Tier 3-Tier /05/07 Note: The following spread tier will be implemented for Cleared-Only Cocoa Swap Tier 1 = Months 1-4 Tier 2 = Months 5 - * Initital Maint Initital Maint CCC Tier 1-Tier /30/09 CCC Tier 1-Tier /30/09 CCC Tier 2-Tier /30/09 The following spread tier will be implemented for Cleared-Only Coffee Swap Tier 1 = Months 1-4 Tier 2 = Months 5-6 Tier 3 = Months 7 - Initital Maint Initital Maint KCC Tier 1-Tier 1 ** /13/09 KCC Tier 1-Tier /13/09 KCC Tier 1-Tier /13/09 KCC Tier 2-Tier /13/09 KCC Tier 2-Tier /13/09 KCC Tier 3-Tier /13/09 2

3 INDICES (In U.S. Dollars) MARKET Outright Outright Initial Maint Initital Maint Initial Maint Initital Maint USDX (DX) 2,261 1, ,700 1, /04/09 Euro Index (E) (In Euros) 2,793 2, ,100 2, /06/08 "Revised" NYSE Composite Index (YU) 17,500 17, ,500 17, /04/09 Continuous Commodity Index (CI) 7,000 7, ,000 7, /04/09 Reuters/ Jefferies CRB Index (CR) /04/09 Russell 1000 Mini Index (RF) 3,000 3, ,000 3, /19/09 Russell 2000 Mini Index (TF) 4,000 4, ,000 4, /19/09 3

4 CURRENCIES, CROSS RATES MARKET Initial Maint Initital Maint Initial Maint Initital Maint Pound-SW Franc (SS) SF 11,970 9, ,000 9, /23/09 Pound-Yen (SY) JY 931, ,000 26,600 20, , ,000 20,000 20,000 03/19/09 $-Canadian (SV) CD 3,192 2, ,400 2, /30/09 Euro-Swiss Franc (RZ) SF 3,724 2, ,800 2, /19/09 Euro-Swedish Krona (RK) SK 34,580 26,000 1,596 1,200 26,000 26,000 1,200 1,200 01/23/09 Euro-Japanese Yen (EJ) JY 598, ,000 19,950 15, , ,000 15,000 15,000 03/04/09 $-Pound (MP) $ 3,059 2, ,300 2, /30/09 $-Yen (SN) JY 299, ,000 19,950 15, , ,000 15,000 15,000 03/30/09 $-Swiss Franc (MF) SF 5,320 4, ,000 4, /30/09 $-SA Rand (ZR) SAR 59,850 45,000 6,650 5,000 45,000 45,000 5,000 5,000 03/19/09 Aust $-US $ (AU) $ 7,980 6, ,000 6, /04/09 Aust $-Can $ (AS) CAD 6,650 5, ,000 5, /04/09 Aust $-NZ $ (AR) NZD 5,586 4, ,200 4, /19/09 NZ $-US $ (ZX) $ 6,650 5, ,000 5, /23/09 Euro (EO) $ 4,256 3, ,200 3, /04/09 Swiss Franc Japanese Yen (ZY) JY Outright Outright 665, ,000 26,600 20, , ,000 20,000 20,000 03/04/09 Aust $-Japanese Yen (YA) JY 931, ,000 15,960 12, , ,000 12,000 12,000 03/04/09 Euro-British Pound (GB) BP 3,724 2, ,800 2, /23/09 Euro-Norwegian Krone (OL) NK 26,600 20,000 1,330 1,000 20,000 20,000 1,000 1,000 03/04/09 Euro-Canadian Dollar CAD (EP) 5,320 4, ,000 4, /06/08 Canadian $ Japanese JPY Yen (HY) 731, ,000 19,950 15, , ,000 15,000 15,000 03/04/09 $-Swedish Krona (KX) SEK 49,210 37,000 1,330 1,000 37,000 37,000 1,000 1,000 03/30/09 $-Norwegian Krone (NT) NOK 29,260 22,000 3,325 2,500 22,000 22,000 2,500 2,500 03/04/09 Euro-Australian Dollar (RA) AUD 7,980 6, ,000 6, /04/09 $ - Czech Koruna (VC) CK 93,100 70,000 10,973 8,250 70,000 70,000 8,250 8,250 03/30/09 Euro-Czech Koruna (EZ) CK 126,350 95,000 6,983 5,250 95,000 95,000 5,250 5,250 03/04/09 $ -Hungarian Forint (VU) HF 1,197, , , , , , , ,250 03/30/09 Euro-Hungarian Forint (HR) HF 1,330,000 1,000,000 99,750 75,000 1,000,000 1,000,000 75,000 75,000 11/06/08 Norwegian Krone Swedish Krona (NJ) SEK 19,950 15,000 1, ,000 15, /04/09 Euro-SA Rand (YZ) SAR 59,850 45,000 6,650 5,000 45,000 45,000 5,000 5,000 03/19/09 Sterling Australian Dollar (QA) AUD 9,975 7, ,500 7, /04/09 Sterling New Zealand (GN) NZD 13,300 10,000 1,596 1,200 10,000 10,000 1,200 1,200 03/04/09 Sterling Canada Dollar (PC) CAD 7,315 5, ,500 5, /23/09 Sterling Norway Krone (PK) NOK 46,550 35,000 3,325 2,500 35,000 35,000 2,500 2,500 03/04/09 Sterling SA Rand (PZ) SAR 93,100 70,000 9,975 7,500 70,000 70,000 7,500 7,500 03/04/09 Sterling Swedish Krona (PS) SEK 59,850 45,000 3,990 3,000 45,000 45,000 3,000 3,000 03/19/09 New Zealand Dollar Japanese Yen (ZJ) JY 665, ,000 79,800 60, , ,000 60,000 60,000 03/04/09 Norway Krone Japanese Yen (KY) JY 1,330,000 1,000, ,700 90,000 1,000,000 1,000,000 90,000 90,000 03/04/09 4

5 CURRENCIES, CROSS RATES MARKET Outright Outright Initial Maint Initital Maint Initial Maint Initital Maint Swedish Krona Japanese Yen (KJ) JY 1,263, ,000 93,100 70, , ,000 70,000 70,000 03/04/09 Million Australian Dollar US$ (IAU) $ 66,500 50,000 3,990 3,000 50,000 50,000 3,000 3,000 11/06/08 Million Euro Japanese Yen (IEJ) JY 8,312,500 6,250, , ,000 6,250,000 6,250, , ,000 11/06/08 Million Euro-US$ (IEO) $ 39,900 30,000 1,330 1,000 30,000 30,000 1,000 1,000 11/06/08 Million Euro Canadian Dollar (IEP) CAD 53,200 40,000 1,862 1,400 40,000 40,000 1,400 1,400 11/06/08 Million Euro British Pound (IGB) BP 17,290 13,000 1,995 1,500 13,000 13,000 1,500 1,500 11/06/08 Million US$ Swedish Krona (IKX) SEK 266, ,000 13,300 10, , ,000 10,000 10,000 11/06/08 Million US$ Swiss Franc (IMF) SF 18,620 14,000 3,990 3,000 14,000 14,000 3,000 3,000 11/06/08 Million British Pound US$ (IMP) $ 31,920 24,000 1,663 1,250 24,000 24,000 1,250 1,250 11/06/08 Million Euro Swedish Krona (IRK) SK 192, ,000 15,960 12, , ,000 12,000 12,000 11/06/08 Million Euro Swiss Franc (IRZ) SF 37,240 28,000 3,325 2,500 28,000 28,000 2,500 2,500 11/06/08 Million US$ Japanese Yen (ISN) JY 2,660,000 2,000, , ,000 2,000,000 2,000, , ,000 11/06/08 Million US$ Canadian Dollar (ISV) CAD 22,610 17,000 1,663 1,250 17,000 17,000 1,250 1,250 11/06/08 5

6 ICE FUTURES U.S. PRODUCTS VS. ICE FUTURES U.S. PRODUCTS Information shown in red indicate latest changes. CURRENCIES, CROSS RATES, INDEX PRODUCTS SPREAD ACTION RATIO SAVINGS** EFFECTIVE PERCENTAGE DATE AS+AU+SV long-short-short 2 to 1 to 2 80% 01/25/08 AU+ZX+AR long-short-short 2 to 1 to 1 90% 02/12/04 EO+DX long-long 2 to 3 85% 01/25/08 EO+GB+MP long-short-short 3 to 1 to 2 70% 01/25/08 EP+SV+EO long-short-short 2 to 1 to 1 75% 01/25/08 EJ+RZ+ZY long-short-short 2 to 1 to 1 85% 02/12/04 GB+EO+MP long-short-long 1 to 8 to 8 70% 01/25/08 RF-YU long-short 2 to 1 80% 05/11/07 RZ+SS+GB long-short-short 3 to 1 to 1 85% 02/12/04 RZ+MF+EO long-short-short 2 to 1 to 1 85% 01/25/08 RZ+ZY+EJ long-short-long 1 to 4 to 4 75% 02/12/04 SE-SF long-short 1to 1 100% 09/26/08 TF-RF long-short 1 to 1 80% 01/02/08 MP+EO+GB long-short-long 1 to 2 to 1 70% 01/25/08 MK-KC long-short 3 to 1 80% 03/15/02 IAU-AU long-short 1 to 5 100% 11/06/08 IEJ-EJ long-short 1 to % 11/06/08 IEO-EO long-short 1 to % 11/06/08 IEP-EP long-short 1 to % 11/06/08 IGB-GB long-short 1 to % 11/06/08 IKX-KX long-short 1 to % 11/06/08 IMF-MF long-short 1 to % 11/06/08 IMP-MP long-short 1 to % 11/06/08 IRK-RK long-short 1 to % 11/06/08 IRZ-RZ long-short 1 to % 11/06/08 ISN-SN long-short 1 to % 11/06/08 ISV-SV long-short 1 to % 11/06/08 CC-CCC long-short 1 to 1 93% 02/13/09 KC-KCC long-short 1 to 1 95% 02/13/09 SB-SBC long-short 1 to 1 86% 02/13/09 * long-long is the same as short-short ** Savings percentage is a reduction of original margins on both sides of the spread ** The following spread margins will be effective during the five days of trading prior to the expiration of the Cleared-Only Swap Contracts. Prior to the last five days of trading the rate will be 100%. Please contact ICE Clear (212) for information on acceptable Inter-Market s. 6

7 ICE FUTURES U.S. PRODUCTS VS. OTHER EXCHANGE PRODUCTS Information shown in red indicate latest changes. CURRENCIES, CROSS RATES, INDEX PRODUCTS SPREAD ACTION RATIO SAVINGS** PERCENTAGE EFFECTIVE DATE Million Euro-US$ (IEO) CME Euro-US$ (EC) long-short 1 to 8 60% 11/06/08 Euro-US$ (EO) CME Euro-US$ (EC) long-short 5 to 4 60% 11/06/08 Million British Pound-US$ (IMP) CME British Pound-US$ (BP) long-short 1 to 16 80% 11/06/08 British Pound-US$ (MP) CME British Pound US$ (BP) long-short 1 to 1 80% 11/06/08 Million US$-Canadian Dollar (ISV) CME US$-Canadian Dollar (C1) long-long 1 to 10 80% 11/06/08 US$-Canadian Dollar (SV) CME US$ - Canadian Dollar (C1) long-long 1 to 1 80% 11/06/08 Million US$-Japanese Yen (ISN) CME US$-Japanese Yen (J1) long-long 1 to 8 80% 11/06/08 US$-Japanese Yen (SN) CME US$-Japanese Yen (J1) long-long 5 to 4 80% 11/06/08 Million US$-Swiss Franc (IMF) CME US$-Swiss Franc (E1) long-long 1 to 5 80% 11/06/08 US$-Swiss Franc (MF) CME US$-Swiss Franc (E1) long-long 1 to 2 80% 11/06/08 Million Euro-British Pound (IGB) CME Euro-British Pound (RP) long-short 1 to 8 80% 11/06/08 Euro-British Pound (GB) CME Euro-British Pound (RP) long-short 5 to 4 80% 11/06/08 Million Euro-Canadian Dollar (IEP) CME Euro-Canadian Dollar (CC) long-short 1 to 8 80% 11/06/08 Euro-Canadian Dollar (EP) CME Euro-Canadian Dollar (CC) long-short 5 to 4 80% 11/06/08 7

8 CURRENCIES, CROSS RATES, INDEX PRODUCTS SPREAD ACTION RATIO SAVINGS** PERCENTAGE EFFECTIVE DATE Million Euro-Swiss Franc (IRZ) CME Euro-Swiss Franc (RF) long-short 1 to 8 80% 11/06/08 Euro-Swiss Franc (RZ) CME Euro-Swiss Franc (RF) long-short 5 to 4 80% 11/06/08 Million Euro-Swedish Krona (IRK) CME Euro-Swedish Krona (KE) long-short 1 to 8 80% 11/06/08 Euro-Swedish Krona (RK) CME Euro-Swedish Krona (KE) long-short 5 to 4 100% 11/06/08 Million Australian Dollar-US$ (IAU) CME Australian Dollar US$ (AD) long-short 1 to 10 80% 11/06/08 Australian Dollar-US$ (AU) CME Australian Dollar US$ (AD) long-short 1 to 2 80% 11/06/08 e-mini S&P Mid-Cap 400 (ME) Russell 1000 Index (Mini) (RF) long-short 1 to 1 80% 11/06/08 e-mini S&P Mid-Cap 400 (ME) Russell 2000 Index (Mini) (TF) long-short 1 to 1 80% 11/06/08 S&P Mid-Cap 400 (MD) Russell 1000 Index (Mini) (RF) long-short 1 to 5 80% 11/06/08 S&P Mid-Cap 400 (MD) Russell 2000 Index (Mini) (TF) long-short 1 to 5 80% 11/06/08 8

9 INTER-MARKET STRADDLES ICE Futures U.S. Products Other Exchange Products All Margins in U.S. Dollars Per / Arbitrage* Transaction involving: (in order of priority) ICE Futures U.S. Cocoa Vs. London Cocoa ICE Futures U.S. Coffee Vs. London Coffee 1:3 ICE Futures U.S. Sugar #11 Vs. London White Sugar EFFECTIVE DATE Neither current delivery month** /14/1999 Both current delivery months** /14/1999 Nearest current delivery (spot) month** and non-current month /14/1999 Other current delivery month** and non-current month /14/1999 * MINIMUM ORIGINAL MARGIN for a customer who is a member of the ICE Futures U.S. or a member of the trade. ORIGINAL MARGINS for all other customers shall not be less than 140% of the above prescribed amounts. MAINTENANCE MARGIN for all customers is equal to 100% of the above prescribed amounts. ** A current delivery month is one of the first two nearby delivery months. 9

10 INTER-MARKET SPREADS ICE Futures U.S. Products Other Exchange Products All Margins in US Dollars EXCHANGE Spread CME ICE Ratio Credit % e-mini Nasdaq 100 (NQ) Russell 2000 Mini (TF) 2 to /09/08 e-mini Nasdaq 100 (NQ) Russell 1000 Mini (RF) 2 to /09/08 Nasdaq 100 (ND) Russell 2000 Mini (TF) 2 to /09/08 Nasdaq 100 (ND) Russell 1000 Mini (RF) 2 to /09/08 S&P 500 (SP) Russell 2000 Mini (TF) 1 to /09/08 S&P 500 (SP) Russell 1000 Mini (RF) 1 to /09/08 e-mini S&P 500 (ES) Russell 2000 Mini (TF) 1 to /09/08 e-mini S&P 500 (ES) Russell 1000 Mini (RF) 1 to /09/08 CBT ICE Ratio Spread Credit % Dow Jones Industrial Index (11) Russell 2000 Mini (TF) 3 to /09/08 Dow Jones Industrial Index (11) Russell 1000 Mini (RF) 1 to /09/08 Mini-Dow Jones Industrial Index(YM) Russell 2000 Mini (TF) 3 to /09/08 Mini-Dow Jones Industrial Index(YM) Russell 1000 Mini (RF) 1 to /09/08 Note: The spread margin will not be available to Clearing Members; the spread margins will only be available at the customer level. Clearing firms have the option to give their customers the reduced margin rates. Also, the margin reduction will only be available on the ICE legs of the spread. 10

11 SHORT OPTION MINIMUMS Various Parameters used by SPAN to calculate margins Commodity Comm. Code Implied Volatility Scan Range Short Option Minimum Initial to Maintenance Mark-up% Currency Product Group Tier Contract Month Included In Tier Australian Dollar New Zealand Dollar AR % NZD Currency T /10/08 Australian Dollar/Canadian Dollar AS % CAD Currency T /10/08 Australian Dollar/US$ AU % USD Currency T /10/08 Cocoa CC % USD Agricultural T /10/08 Cocoa CC % USD Agricultural T /10/08 Continuous Commodity Index CI % USD Indices T /10/08 Reuters/Jefferies CRB Index CR % USD Indices T /10/08 Cotton CT % USD Agricultural T /10/08 Cotton CT % USD Agricultural T /10/08 Cotton Comb CTS % USD Agricultural T /10/08 US Dollar Index DX % USD Indices T /10/08 Euro Index E % EUR Indices T /10/08 Euro/Japanese Yen EJ 3 2, % JPY Currency T /10/08 Euro/US $ EO % USD Currency T /10/08 Euro/Canadian Dollar EP % CAD Currency T /10/08 Euro/Czech Koruna EZ % CZK Currency T /10/08 Euro/British Pound GB % GBP Currency T /10/08 Sterling/New Zealand Dollar GN % NZD Currency T /10/08 Euro/Hungarian Forint HR 1 5, % HUF Currency T /10/08 Canadian Dollar/Japanese Yen HY 1 2, % JPY Currency T /10/08 Coffee KC % USD Agricultural T /10/08 Coffee KC % USD Agricultural T /10/08 Swedish Krona/Japanese Yen KJ % JPY Currency T /10/08 US$/Swedish Krona KX % SEK Currency T /10/08 Norway Krone/Japanese Yen KY % JPY Currency T /10/08 US$/Swiss Franc MF % USD Currency T /10/08 British Pound/US$ MP % USD Currency T /10/08 Norwegian Krone/Swedish Krona NJ % SEK Currency T /10/08 US$/Norwegian Krone NT % NOK Currency T /10/08 Orange Juice OJ % USD Agricultural T /10/08 Orange Juice OJ % USD Agricultural T /10/08 Euro/Norwegian Krone OL % NOK Currency T /10/08 Sterling/Canadian Dollar PC % CAD Currency T /10/08 Sterling/Norway Krone PK % NOK Currency T /10/08 Sterling/Swedish Krona PS % SEK Currency T /10/08 Sterling/South Africian Rand PZ % ZAR Currency T /10/08 Sterling/Australian Dollar QA % AUD Currency T /10/08 Euro/Australian Dollar RA % AUD Currency T /10/08 Russell 1000 Index (Mini) RF % USD Indices T /10/08 Euro/Swedish Krona RK % SEK Currency T /10/08 Euro/Swiss Franc RZ % CHF Currency T /10/08 Sugar SB % USD Agricultural T /04/08 Sugar SB % USD Agricultural T /04/08 Sugar Comb. SBS % USD Agricultural T /10/08 Sugar #14 Domestic SE % USD Agricultural T /10/08 Sugar #16 Domestic SF % USD Agricultural T /10/08 US$/Japanese Yen SN % JPY Currency T /10/08 British Pound/Swiss Franc SS % CHF Currency T /10/08 11

12 Commodity Comm. Code Implied Volatility Scan Range Short Option Minimum Initial to Maintenance Mark-up% Currency Product Group Tier Contract Month Included In Tier US$/Canadian Dollar SV % CAD Currency T /10/08 British Pound/Japanese Yen SY 2 2, % JPY Currency T /10/08 Russell 2000 Index (Mini) TF % USD Indices T /10/08 US$/Czech Koruna VC % CZK Currency T /10/08 US$/Hungarian Forint VU % HUF Currency T /10/08 Australian Dollar/Japanese Yen YA 1 2, % JPY Currency T /10/08 Revised NYSE Composite Index YU % USD Indices T /10/08 Euro/South Africian Rand YZ % ZAR Currency T /10/08 New Zealand Dollar/Japanese Yen ZJ % JPY Currency T /10/08 US$/South Africian Rand ZR % ZAR Currency T /10/08 New Zealand Dollar/US$ ZX % USD Currency T /10/08 Swiss Franc/Japanese Yen ZY 1 2, % JPY Currency T /10/08 Million Australian Dollar/US$ IAU % USD Currency T /10/08 Million Euro/Japanese Yen IEJ 0 2, % JPY Currency T /10/08 Million Euro/US$ IEO % USD Currency T /10/08 Million Euro/Canadian Dollar IEP % CAD Currency T /10/08 Million Euro/British Pound IGB % GBP Currency T /10/08 Million US$/Swedish Krona IKX % SEK Currency T /10/08 Million US$/Swiss Franc IMF % CHF Currency T /10/08 Million British Pound/US$ IMP % USD Currency T /10/08 Million Euro/Swedish Krona IRK % SEK Currency T /10/08 Million Euro/Swiss Franc IRZ % CHF Currency T /10/08 Million US$/Japanese Yen ISN % JPY Currency T /10/08 Million US$/Canadian Dollar ISV % CAD Currency T /10/08 Questions related to the above information please contact Bruce Domash (212)