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MGEX MARGINS
In effect as of April 11, 2018.
Margins on 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 |
| May 18 - Jul 18 |
$1,500 |
$1,500 |
$1,950 |
$1,500 |
| Sep 18 - Mar 20 |
$1,250 |
$1,250 |
$1,625 |
$1,250 |
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Members and Hedgers |
Speculators |
| Side A |
Side B |
Initial Margin |
Maintenance Margin |
Initial Margin |
Maintenance Margin |
| May 18 |
Jul 18 |
$400 |
$400 |
$520 |
$400 |
| May 18 |
Sep 18 - Dec 18 |
$700 |
$700 |
$910 |
$700 |
| May 18 |
Mar 19 |
$800 |
$800 |
$1,040 |
$800 |
| May 18 |
May 19 - Mar 20 |
$900 |
$900 |
$1,170 |
$900 |
| Jul 18 |
Sep 18 |
$600 |
$600 |
$780 |
$600 |
| Jul 18 |
Dec 18 - Mar 19 |
$700 |
$700 |
$910 |
$700 |
| Jul 18 |
May 19 - Mar 20 |
$900 |
$900 |
$1,170 |
$900 |
| Sep 18 |
Dec 18 - Mar 19 |
$600 |
$600 |
$780 |
$600 |
| Sep 18 |
May 19 - Mar 20 |
$900 |
$900 |
$1,170 |
$900 |
| Dec 18 |
Mar 19 |
$600 |
$600 |
$780 |
$600 |
| Dec 18 |
May 19 - Mar 20 |
$900 |
$900 |
$1,170 |
$900 |
| Mar 19 |
May 19 - Mar 20 |
$900 |
$900 |
$1,170 |
$900 |
| May 19 |
Jul 19 - Mar 20 |
$900 |
$900 |
$1,170 |
$900 |
| Jul 19 |
Sep 19 - Mar 20 |
$900 |
$900 |
$1,170 |
$900 |
| Sep 19 |
Dec 19 - Mar 20 |
$900 |
$900 |
$1,170 |
$900 |
| Dec 19 |
Mar 20 |
$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) |
May 18 |
$0 |
$0 |
Volatility Scan Range (VSR) Rate
Commodity Code |
Contract Month |
VSR Rate |
Hard Red Spring Wheat (HRSW) |
May 18 - Mar 20 |
4.00% |
AJC Margins
| Outright |
Member/Hedger Initial Margin |
Member/Hedger Maintenance Margin |
Speculator Initial Margin |
Speculator Maintenance Margin |
| Apple Juice Concentrate |
$1,250 |
$1,250 |
$1,625 |
$1,250 |
| Intra-Commodity Spreads |
| Intra-Commodity: AJC Intra-Crop Year* |
$700 |
$700 |
$910 |
$700 |
| Intra-Commodity: AJC Inter-Crop Year** |
$700 |
$700 |
$910 |
$700 |
Volatility Scan Range (VSR) Rate
Commodity Code |
Contract Month |
VSR Rate |
Apple Juice Concentrate (AJC) |
May 18 - Mar 20 |
6.50% |
Index Margins
| Outright |
Member/Hedger Initial Margin |
Member/Hedger Maintenance Margin |
Speculator Initial Margin |
Speculator Maintenance Margin |
| HRSI |
$1,500 |
$1,500 |
$1,950 |
$1,500 |
| HRWI |
$900 |
$900 |
$1,170 |
$900 |
| SRWI |
$950 |
$950 |
$1,235 |
$950 |
| NCI |
$600 |
$600 |
$780 |
$600 |
| NSI |
$1,400 |
$1,400 |
$1,820 |
$1,400 |
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.
* Rate charged for spreads consisting of two AJC futures contracts within the same crop year (Crop Year defined as November through September contract months).
** Rate charged for spreads consisting of two AJC futures contracts, each within a different crop year (Crop Year defined as November through September contract months).
*** 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 2102.00., 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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