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MGEX MARGINS 

In effect as of April 30, 2020.
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
July 20 $1,450 $1,450 $1,885 $1,450
Sep 20 - Dec 21 $1,300 $1,300 $1,690 $1,300

 

Spread
Members and Hedgers  Speculators
Side A  Side B  Initial Margin  Maintenance Margin  Initial Margin  Maintenance Margin 
Jul 20 Sep 20 $300 $300 $390 $300
Jul 20 Dec 20 - Mar 21 $500 $500 $650 $500
Jul 20 May 21 $700 $700 $910 $700
Sep 20 Dec 20 - Mar 21 $500 $500 $650 $500
Sep 20 May 21 $700 $700 $910 $700
Dec 20 Mar 21 $500 $500 $650 $500
Dec 20 May 21 $700 $700 $910 $700
Mar 21 May 21 $700 $700 $910 $700
Mar 21 Dec 21 $900 $900 $1,170 $900
May 21 Jul 21 - Dec 21 $900 $900 $1,170 $900
Jul 21 Sep 21 - Dec 21 $900 $900 $1,170 $900
Sep 21 Dec 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)
Jul 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)
Commodity Code

Member/Hedger

Initial Margin

Member/Hedger

Maintenance Margin

Speculator

Initial Margin

Speculator Maintenance Margin

Spikes Volatility Index (SPK)

Jul 20 (Month 1)

9,200

9,200
11,960

9,200

Spikes Volatility Index (SPK)

Aug 20 (Month 2)

6,600

6,600
8,580

6,600

Spikes Volatility Index (SPK)

Sep 20 (Month 3)

5,200

5,200
6,760

5,200

Spikes Volatility Index (SPK)

Oct 20 (Month 4)

4,300

4,300
5,590

4,300

Spikes Volatility Index (SPK)

Nov 20 (Month 5) – Dec 20 (Month 6)

3,800

3,800
4,940

3,800

 

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

4,810

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
$1,450
$1,450
$1,885
$1,450
HRWI
$1,450
$1,450
$1,885
$1,450
SRWI
$1,450
$1,450
$1,885
$1,450
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.

 

MGEX Month End Initial Margin Totals

June 2020

May 2020

April 2020

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