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MGEX MARGINS
In effect as of December 6, 2019.
Margins on agricultural Futures. Under the provisions of Rule 760.00, the Board, or its designee, hereby fixes the following minimum initial and maintenance margins:
HRSW (Hard Red Spring Wheat) Margins
| Outright |
Member/Hedger Initial Margin |
Member/Hedger Maintenance Margin |
Speculator Initial Margin |
Speculator Maintenance Margin |
| Mar 20 - July 20 |
$1,200 |
$1,200 |
$1,560 |
$1,200 |
| Sep 20 - Sep 21 |
$1,000 |
$1,000 |
$1,300 |
$1,000 |
Spread |
Members and Hedgers |
Speculators |
| Side A |
Side B |
Initial Margin |
Maintenance Margin |
Initial Margin |
Maintenance Margin |
| Mar 20 |
May 20 |
$300 |
$300 |
$390 |
$300 |
| Mar 20 |
Jul 20 - Sep 20 |
$500 |
$500 |
$650 |
$500 |
| Mar 20 |
Dec 20 |
$700 |
$700 |
$910 |
$700 |
| Mar 20 |
Mar 21 - Sep 21 |
$900 |
$900 |
$1,170 |
$900 |
| May 20 |
Jul 20 - Sep 20 |
$500 |
$500 |
$650 |
$500 |
| May 20 |
Dec 20 |
$700 |
$700 |
$910 |
$700 |
| May 20 |
Mar 21 - Sep 21 |
$900 |
$900 |
$1,170 |
$900 |
| Jul 20 |
Sep 20 |
$500 |
$500 |
$650 |
$500 |
| Jul 20 |
Dec 20 |
$700 |
$700 |
$910 |
$700 |
| Jul 20 |
Mar 21 - Sep 21 |
$900 |
$900 |
$1,170 |
$900 |
| Sep 20 |
Dec 20 |
$700 |
$700 |
$910 |
$700 |
| Sep 20 |
Mar 21 - Sep 21 |
$900 |
$900 |
$1,170 |
$900 |
| Dec 20 |
Mar 21- Sep 21 |
$900 |
$900 |
$1,170 |
$900 |
| Mar 21 |
May 21 - Sep 21 |
$900 |
$900 |
$1,170 |
$900 |
| May 21 |
Jul 21 - Sep 21 |
$900 |
$900 |
$1,170 |
$900 |
| Jul 21 |
Sep 21 |
$900 |
$900 |
$1,170 |
$900 |
| Spot Month Margin Add-On Charge |
| Commodity Code |
Spot Month |
Intra-commodity
Spread Charge |
Outright Charge |
Hard Red Spring Wheat (HRSW) |
Mar 20 |
$0 |
$0 |
Volatility Scan Range (VSR) Rate |
Commodity Code |
Contract Month |
VSR Rate |
Hard Red Spring Wheat (HRSW) |
All |
6.00% |
SPIKES Futures
| Outright Margin Rates- SPIKES Futures (SPK) |
|
Member/Hedger
Initial Margin
|
Member/Hedger
Maintenance Margin
|
Speculator
Initial Margin |
Speculator Maintenance Margin |
Spikes Volatility Index (SPK)
Mar 20 (Month 1)
|
9,200
|
9,200 |
|
|
Spikes Volatility Index (SPK)
Apr 20 (Month 2) |
6,600
|
6,600 |
8,580 |
|
Spikes Volatility Index (SPK)
May 20 (Month 3) |
5,200
|
5,200 |
6,760 |
|
Spikes Volatility Index (SPK)
Jun 20 (Month 4) |
4,300
|
4,300 |
5,590 |
|
Spikes Volatility Index (SPK)
Jul 20 (Month 5) – Aug 20 (Month 6) |
3,800
|
3,800 |
4,940 |
|
Spread Margin Rates - SPIKES Futures (SPK) |
Spread |
Members and Hedgers |
Speculators |
Side A |
Side B |
Initial
Margin |
Maintenance
Margin |
Initial
Margin |
Maintenance
Margin |
Month 1 |
Month 2 |
3,600 |
3,600 |
4,680
|
3,600 |
Month 1 |
Month 3 |
4,700 |
4,700 |
6,110
|
4,700
|
Month 1 |
Month 4 |
5,600 |
5,600 |
7,280
|
5,600
|
Month 1 |
Month 5 |
6,100 |
6,100 |
7,930
|
6,100
|
Month 1 |
Month 6 |
6,400 |
6,400 |
8,320
|
6,400
|
Month 2 |
Month 3 |
1,800 |
1,800 |
2,340
|
1,800
|
Month 2 |
Month 4 |
2,800 |
2,800 |
3,640
|
2,800
|
Month 2 |
Month 5 |
3,400 |
3,400 |
4,420
|
3,400
|
Month 2 |
Month 6 |
3,700 |
3,700 |
|
3,700
|
Month 3 |
Month 4 |
1,300 |
1,300 |
1,690 |
1,300
|
Month 3 |
Month 5 |
2,000 |
2,000 |
2,600
|
2,000
|
Month 3 |
Month 6 |
2,200 |
2,200 |
2,860
|
2,200
|
Month 4 |
Month 5 |
900 |
900 |
1,170
|
900
|
Month 4 |
Month 6 |
1,200 |
1,200 |
1,560
|
1,200
|
Month 5 |
Month 6 |
600 |
600 |
780
|
600
|
Index Margins
| Outright |
Member/Hedger Initial Margin |
Member/Hedger Maintenance Margin |
Speculator Initial Margin |
Speculator Maintenance Margin |
| HRSI |
$1,200 |
$1,200 |
$1,560 |
$1,200 |
| HRWI |
$1,200 |
$1,200 |
$1,560 |
$1,200 |
| SRWI |
$1,200 |
$1,200 |
$1,560 |
$1,200 |
| NCI |
$800 |
$800 |
$1,040 |
$800 |
| NSI |
$1,600 |
$1,600 |
$2,080 |
$1,600 |
Volatility Scan Range (VSR) Rate |
Commodity Code |
VSR Rate |
HRSI |
5.50% |
HRWI |
5.50% |
SRWI |
5.50% |
NCI |
5.50% |
NSI |
5.50% |
Intra-Exchange, Inter-Commodity Spreads
| Spread |
Spread Credit |
| NCI vs. NSI |
50% |
| HRWI vs. HRSW |
100% |
| HRSI vs. HRSW |
100% |
| SRWI vs. HRSW |
100% |
| HRWI vs. HRSI |
100% |
| HRWI vs. SRWI |
100% |
| SRWI vs. HRSI |
100% |
Inter-Exchange Spreads - MGEX Side
| Spread |
Spread Credit |
| MGEX NCI vs. CBOT Corn |
100% |
| MGEX NSI vs. CBOT Soybeans |
100% |
| MGEX HRWI vs. CBOT Wheat |
100% |
| MGEX HRWI vs. KCBT Wheat |
100% |
| MGEX HRSI vs. CBOT Wheat |
100% |
| MGEX HRSI vs. KCBT Wheat |
100% |
| MGEX SRWI vs. CBOT Wheat |
100% |
| MGEX SRWI vs. KCBT Wheat |
100% |
| MGEX HRSW vs. CBOT Wheat |
60% |
| MGEX HRSW vs. KCBT Wheat |
60% |
Margins on Options. Under the provisions of Rule
760.00, the Board, or its designee, hereby establishes that minimum
margins for option
transactions will be determined by the Standard Portfolio of Analysis
of Risk® (SPAN®)*** margin
calculations.
The MGEX margin setting methodology is risk based, taking into consideration unusual but plausible market movements. Margins are measured daily and subject to change at any time based upon additional and changing data, information and market conditions.
*** SPAN® is a registered trademark of the Chicago Mercantile Exchange.
The Chicago Mercantile Exchange assumes no liability in connection
with the use of SPAN® by any person or entity.
Acceptable Collateral. In accordance with Regulation 2106.00., MGEX currently only accepts collateral in the form of cash (USD) and short-term (12 months or less) U.S. Treasury Bills. A 1% haircut is applied to all Treasury Bills.
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