June 02, 2017
NOTICE 17/037 New Butterfly Spread Margins for Agricultural Products
Effective Monday, June 5, 2017, ICE Clear US will implement butterfly spread margins for agricultural products. The new spread margins will result in lower margin rates for butterfly spread positions involving three consecutive futures contract months, as described below.
Butterfly Spreads Butterfly spreads are defined as one long position, two short positions and one long position in consecutive months of the same product. Opposite positions also qualify as butterfly spreads. Formerly, the margin requirement of a portfolio containing a butterfly spread would be the sum of two calendar spreads; one spread between first two months and another spread between the second next two months.
Butterfly Spread Margins
Cocoa Butterfly Spread Margins
Speculative- Speculative- Hedge- Hedge- Tiers Maintenance Initial Maintenance Initial T123 350 385 350 350 T234 100 110 100 100 T345 50 55 50 50 T456 50 55 50 50 T567 50 55 50 50 T678 50 55 50 50 T789 50 55 50 50 T8910 150 165 150 150
Cotton Butterfly Spread Margins
Speculative- Speculative- Hedge- Hedge- Tiers Maintenance Initial Maintenance Initial T123 1500 1650 1500 1500 T234 1050 1155 1050 1050
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T345 550 605 550 550 T456 450 495 450 450 T567 400 440 400 400 T678 250 275 250 250 T789 350 385 350 350 T8910 150 165 150 150 T91011 150 165 150 150 T101112 150 165 150 150 T111213 50 55 50 50 T121314 50 55 50 50 T131415 50 55 50 50
Orange Juice Butterfly Spread Margin
Speculative- Speculative- Hedge- Hedge- Tiers Maintenance Initial Maintenance Initial T123 750 825 750 750 T234 200 220 200 200 T345 200 220 200 200 T456 300 330 300 300 T567 400 440 400 400 T678 350 385 350 350 T789 50 55 50 50 T8910 50 55 50 50 T91011 50 55 50 50 T101112 50 55 50 50 T111213 50 55 50 50 T121314 50 55 50 50 T131415 50 55 50 50 T141516 50 55 50 50 T151617 50 55 50 50 T161718 50 55 50 50
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Sugar Butterfly Spread Margin
Speculative- Speculative- Hedge- Hedge- Tiers Maintenance Initial Maintenance Initial T123 150 165 150 150 T234 100 110 100 100 T345 100 110 100 100 T456 100 110 100 100 T567 100 110 100 100 T678 100 110 100 100 T789 100 110 100 100 T8910 100 110 100 100
Coffee Butterfly Spreads Margin
Speculative- Speculative- Hedge- Hedge- Tiers Maintenance Initial Maintenance Initial T123 300 330 300 300 T234 100 110 100 100 T345 100 110 100 100 T456 100 110 100 100 T567 100 110 100 100 T678 100 110 100 100 T789 100 110 100 100 T8910 100 110 100 100 T91011 150 165 150 150 T101112 150 165 150 150 T111213 150 165 150 150 T121314 200 220 200 200 T131415 250 275 250 250
A complete grid of margin rates for all ICE Futures U.S. Agricultural, Index, and Financial Products is available through the ICE web page: Futures US Margin Requirements.pdf
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If you have any questions regarding margin changes, please contact Bruce Domash, Risk Director at 312.836.6709.
FOR MORE INFORMATION ICE Clear US [email protected] (212) 748-4001 (312) 836-6777
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