 |
CBOT Contract Specs and Margins
Agricultural Financial
Index Metals
|
Agricultural
Group |
|
Commodity |
Contract
Size |
Tick
Size |
Contract
Months |
Initial
Margin |
Maintenance
Margin |
|
Corn (C) |
5,000 bu |
1/4 cent/bu
($12.50 contract) |
Dec, Mar,
May, Jul, Sep |
$540 |
$400 |
|
Oats (O) |
5,000 bu |
1/4 cent/bu
($12.50 contract) |
Dec, Mar,
May, Jul, Sep |
$675 |
$500 |
|
Rough Rice
(RR) |
2,000
cwt |
1/2
cent/cwt
($10 contract) |
Sep,
Nov, Jan, Mar, May, Jul |
$878 |
$650 |
| Soybean
Meal (SM) |
100
tons
(2,000 lbs. ton) |
10
cents/ton |
Oct,
Dec, Jan, Mar, May, Jul, Aug, Sep |
$776 |
$575 |
| Soybean
Oil (BO) |
60,000
lbs. |
1/100
cent ($0.0001)/lb ($6/contract) |
Oct,
Dec, Jan, Mar, May, Jul, Aug, Sep |
$540 |
$400 |
| Soybeans
(S) |
5,000
bu |
1/4
cent/bu ($12.50/contract) |
Sep,
Nov, Jan, Mar, May, Jul, Aug |
$1,148 |
$850 |
| Wheat
(W) |
5,000
bu |
1/4
cent/bu ($12.50/contract) |
Jul,
Sep, Dec, Mar, May |
$878 |
$650 |
|
mini-sized
Corn (YC) |
last
digit in eighths of a cent |
1/8
cent/bushel
($1.25 per contract) |
Nov,
Dec, Jan, Mar, May, Jul, Sep |
$80 |
$80 |
| mini-sized
Soybeans (YK) |
last
digit in eighths of a cent |
1/8
cent/bushel
($1.25 per contract) |
Sep,
Nov, Jan, Mar, May, Jul, Aug. |
$170 |
$170 |
mini-sized
Wheat (YW) |
last
digit in eighths of a cent |
1/8
cent/bushel
($1.25 per contract) |
Jul,
Sep, Dec, Mar, May. |
$130 |
$130 |
|
|
Financial
Group |
|
Commodity |
Contract
Size |
Tick
Size |
Contract
Months |
Initial
Margin |
Maintenance
Margin |
|
10
Year Agency Notes (DN) |
One
Fannie Mae. Benchmark NoteSM
or Freddie Mac Reference NoteSM
having a face value of $100,000 at maturity. |
One-half
of 1/32 of one point ($15.625), rounded up
to the nearest full cent. |
The
first five consecutive contracts in the
March, June, September, and December
quarterly cycle. |
$1,485 |
$1,100 |
|
10
Year Interest Rate Swap (NI) |
The
notional price of the fixed-rate side of a
10-year interest rate swap that has notional
principal equal to $100,000, and that
exchanges semiannual interest payments at a
fixed rate of 6% per annum for floating
interest rate payments, based on 3-month
LIBOR. |
One
thirty-second of one point ($31.25). |
The
second London business day preceding the
third Wednesday of the delivery month.
Trading in expiring contracts close at 11:00
a.m. New York time on the last trading day. |
$1,890 |
$1,400 |
|
10
Year U.S. Treasury Notes (TY) |
One
U.S. Treasury note having a face value at
maturity of $100,000 or multiple thereof. |
One
half of 1/32 of a point ($15.625/contract)
rounded up to the nearest cent; par is on
the basis of 100 points |
Mar,
Jun, Sep, Dec. |
$1,485 |
$1,100 |
| 10-Year
Municipal Note Index (MB) |
The
notional price of a synthetic 10-year
municipal note with a par value equal to
$100,000 and pays a fixed, semi-annual
coupon of five percent. |
One
thirty-second of one point, or $31.25. |
The
first two consecutive contracts in the
March, June, September, and December
quarterly cycle. |
$1,485 |
$1,100 |
| 2
Year U.S. Treasury Notes (TU) |
U.S.
Treasury notes having a face value at
maturity of $200,000 or multiple thereof. |
One
quarter of 1/32 of a point
($15.625/contract) rounded up to the nearest
cent/contract; par is on the basis of 100
points. |
Mar,
Jun, Sep, Dec |
$810 |
$600 |
| 30
Day Federal Funds (FF) |
$5
million |
$20.835
per 1/2 of one basis point (1/2 of 1/100 of
one percent of $5 million on a 30-day basis
rounded up to the nearest cent). |
First
25 calendar months (and the next two months
in the Mar, Jun, Sept, Dec cycle
thereafter). |
$540 |
$400 |
| 30
Year U.S. Treasury Bonds (US) |
One
U.S. Treasury bond having a face value at
maturity of $100,000 or multiple thereof. |
1/32
of a point ($31.25/contract); par is on the
basis of 100 points. |
Mar,
Jun, Sep, Dec |
$2,430 |
$1,800 |
|
5
Year Agency Notes (DF) |
One
Fannie Mae. Benchmark NoteSM
or Freddie Mac Reference NoteSM
having a face value of $100,000 at maturity. |
One-half
of 1/32 of one point ($15.625), rounded up
to the nearest cent. |
Mar,
Jun, Sep, Dec |
$1,080 |
$800 |
| 5
Year Interest Rate Swap (NG) |
The
notional price of the fixed-rate side of a
5-year interest rate swap that has notional
principal equal to $100,000, and that
exchanges semiannual interest payments at a
fixed rate of 6% per annum for floating
interest rate payments, based on 3-month
LIBOR. |
One
thirty-second of one point ($31.25). |
The
first three consecutive contracts in the
Mar.-June-Sept.
-Dec. quarterly cycle. |
$1,215 |
$900 |
| 5
Year U.S. Treasury Notes (FV) |
One
U.S. Treasury note having a face value at
maturity of $100,000 or multiple thereof. |
One
half of 1/32 of a point ($15.625/contract)
rounded up to the nearest cent/contract; par
is on the basis of 100 points. |
Mar,
Jun, Sep, Dec |
$1,013 |
$750 |
| mini-sized
10 Year U.S. Treasury Notes (YN) |
One
U.S. Treasury note having a face value at
maturity of $50,000 or multiple thereof. |
=
of 1/32 of a point ($7.8125 per contract); par
is on the basis of 100 points. |
Mar,
Jun, Sep, Dec. |
$743 |
$550 |
| mini-sized
30 Year U.S. Treasury Bond (YH) |
One
U.S. Treasury bond having a face value at
maturity of $50,000 or multiple thereof. |
1/32
of a point ($15.625 per contract); par is on
the basis of 100 points. |
Mar,
Jun, Sep, Dec. |
$1,215 |
$900 |
| mini-sized
Deferred Eurodollar (YE2) |
Eurodollar
Time Deposit having a principal value of
$500,000 with a three-month maturity. |
=
of one basis point (or $6.25/contract) |
Mar,
Jun, Sep, Dec. |
|
|
| mini-sized
Eurodollar Futures (YE) |
Eurodollar
Time Deposit having a principal value of
$500,000 with a three-month maturity. |
=
of one basis point (or $6.25/contract) |
Mar,
Jun, Sep, Dec |
$338 |
$250 |
|
Index
Group |
CBOT
mini-sized Dow Futures
$5 multiplier (YM) |
Five
($5.00) times the Dow Jones Industrial
AverageSM Index. |
Minimum
price fluctuation is one point ($5.00 per
contract). |
Mar,
Jun, Sep, Dec. |
$2,000 |
$2,000 |
| Dow
Jones AIG Commodity Index (AI) |
$100
times the Dow JonesSM-AIGSM
Futures Price Index |
0.1
points ($10 per contract) |
Mar,
Jun, Sep, Dec. |
$650 |
$650 |
| Dow
Jones Industrial Average (DJ) |
$10
times the Dow Jones Industrial AverageSM
(DJIA). |
1
point ($10) |
Mar,
Jun, Sep, Dec |
$4,000 |
$4,000 |
|
Metals
Group |
| mini-sized
New York Gold (YG) |
33.2
fine troy oz. |
10
cent/fine troy oz. (or $3.32 per contract). |
Jan,
Feb, Mar, Apr, May, Jun, Jul, Aug, Sep, Oct,
Nov, Dec. |
$300 |
$300 |
| mini-sized
New York Silver (YI) |
1,000
troy ounces. |
$.001/troy
oz. (or $1.00 per contract). |
Jan,
Feb, Mar, Apr, May, Jun, Jul, Aug, Sep, Oct,
Nov, Dec. |
$150 |
$150 |
|
|
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