Effective Close of Business April 17, 2006
Changes to Margins on CBOT Futures
| From | To |
| Initial/Maintenance/Hedge | Initial/Maintenance/Hedge |
| Silver | | |
| Mini-sized Silver | $486/$360/$360 | $702/$520/$520 |
| 2 Year Treasury Notes | | |
Changes to Inter-Commodity Spreads
CBOT Futures | From | To |
Ratio | Spread | Spread Credit % | Initial/Maintenance/Hedge | Spread Credit % | Initial/Maintenance/Hedge |
2:3 | Corn vs. Oats | 40% | $1,539/$1,140/$1,140 | 55% | |
10:3 | Mini-sized Corn vs. Oats | 40% | $1,539/$1,140/$1,140 | 55% | $1,154/$855/$855 |
1:1 | Soybeans vs. Soybean Meal | 60% | $864/$640/$640 | 75% | |
5:1 | Mini-sized Soybeans vs. Soybean Meal | 60% | $864/$640/$640 | 75% | $540/$540/$400 |
1:1 | SA Soybeans vs. Soybean Meal | 60% | $891/$660/$660 | 75% | $557/$413/$413 |
2:3 | Soybean Meal vs. Soybean Oil | 45% | $2,228/$1,650/$1,650 | 60% | $1,620/$1,200/$1,200 |
3:1 | 2 Year T-Note vs. Treasury Bonds | 65% | $957/$709/$709 | 75% | $683/$506/$506 |
Changes to Inter-Exchange Spreads
CBOT Futures | From | To |
| Ratio | Spread | Spread Credit % | Spread Credit % |
3:1 | Mini-sized Dow Jones Industrial Average vs. S&P 500 Barra Value | 90% | 85% |
3:2 | Dow Jones Industrial Average vs. S&P 500 Barra Value | 90% | 85% |
3:5 | BIG Dow DJIA $25 vs. S&P 500 Barra Value | 90% | 85% |
1:2 | 5 Yr Swap vs. 1-Month Libor | 55% | 65% |
5:2 | 5 Yr Swap vs. 2 Yr Swap | 70% | 80% |
2:1 | 5 Yr Swap vs. CME 5 Yr Swap | 70% | 80% |
2:1 | 5 Yr Swap vs. CME 10 Yr Swap | 70% | 80% |
Changes to Intra-Crop Year Spread Margin Add-On
| From | To |
| Initial/Maintenance/Hedge | Initial/Maintenance/Hedge |
| Oats | | |
| Wheat | $68/$50/$50 | $135/$100/$100 |
| Mini-sized Wheat | | |
Changes to Implied Volatility Scan Range
In setting margins levels, the Chicago Board of Trade Margin Committee along with the CME Clearing House monitors current and historical price movements covering short-term, intermediate and longer-term data using statistical and parametric and non-parametric analysis. Futures maintenance margin levels are typically set to cover at least the maximum one-day price move on 95% to 99% of the days during these time periods.
