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Margin
Parameters USFE – April 4, 2008
USFE International
Securities Exchange (ISE) Index Future Contracts Margin Rates
|
Contract
|
Commodity
Code
|
Interval
|
Extreme
Move
|
Extreme
Coverage
|
|
ISE Homebuilders
Index Future
|
UB
|
$150
|
$450
|
32%
|
|
ISE Natural Gas
Index Future
|
UG
|
$600
|
$1800
|
32%
|
|
ISE SINndex Future
|
UI
|
$475
|
$1425
|
32%
|
|
ISE Water Index
Future
|
UW
|
$425
|
$1275
|
32%
|
USFE Morningstar Index Future Contracts Margin Rates
|
Contract
|
Commodity
Code
|
Interval
|
Extreme
Move
|
Extreme
Coverage
|
|
Morningstar
Large Cap Core
|
UN
|
$1250
|
$3750
|
32%
|
|
Morningstar
Large Cap Growth
|
UO
|
$425
|
$1275
|
32%
|
|
Morningstar
Large Cap Value
|
UM
|
$825
|
$2475
|
32%
|
|
Morningstar
Medium Cap Core
|
UQ
|
$1750
|
$5250
|
32%
|
|
Morningstar
Medium Cap Growth
|
UR
|
$775
|
$2325
|
32%
|
|
Morningstar
Medium Cap Value
|
UP
|
$900
|
$2700
|
32%
|
|
Morningstar
Small Cap Core
|
UV
|
$2175
|
$6525
|
32%
|
|
Morningstar
Small Cap Growth
|
UX
|
$675
|
$2025
|
32%
|
|
Morningstar
Small Cap Value
|
UT
|
$1200
|
$3600
|
32%
|
USFE Bombay Stock Exchange (BSE) SENSEX Index Future Contract Margin Rate
|
Contract
|
Commodity
Code
|
Interval
|
Extreme
Move
|
Extreme
Coverage
|
|
USD SENSEX Futures Index
|
UZ
|
$3375
|
$10125
|
32%
|
USFE Spot
Equivalent (SEF) Future Contracts Margin Rates
|
Contract
|
Commodity
Code
|
Interval
|
Extreme
Move
|
Extreme
Coverage
|
|
SEF
USD per Australian Dollar
|
VA
|
$1200
|
$3600
|
32%
|
|
SEF
USD per British Pound
|
VB
|
$1600
|
$4800
|
32%
|
|
SEF
USD per Euro
|
VE
|
$1075
|
$3225
|
32%
|
|
SEF
Japanese Yen per USD
|
VY
|
¥120,000 (JPY)
|
¥360,000 (JPY)
|
32%
|
|
SEF
Swiss Franc per USD
|
VS
|
CHF 950 (CHF)
|
CHF 2850 (CHF)
|
32%
|
|
SEF
Canadian per USD
|
VC
|
$1050 (CAD)
|
$3150 (CAD)
|
32%
|
USFE Binary Contracts
|
Binary
Contract
|
Commodity Code
|
|
Binary Option Euro
|
PE
|
|
Binary Option Australian Dollar
|
PD
|
|
Binary Option Japanese Yen
|
PY
|
|
Binary Option Oil
|
PC
|
The
margin method for binary contracts is predicated on margining the maximum
potential loss through the use of SPAN® arrays. To accomplish this, CCorp
populates the “Options Style” indicator, located within column 18 of the
PC SPAN record type 2, with an ‘F’. The usage of this indicator
represents that the associated binary option position will be margined
using future’s style margining. Additionally, a “Short Option Minimum”
rate will be established through use of
record type 4 which will appear within columns 63 through 69. For additional information pertaining
to the margin methodology of the USFE’s binary contract, please refer to VOLUME
27 – BULLETIN #074.
SPAN
® and Standard Portfolio Analysis of Risk ™ are trademarks of the Chicago
Mercantile Exchange. The Chicago Mercantile Exchange assumes no liability
in connection with the use of SPAN by any person or entity.
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