Underlying

Market risk rates

Concentration limits

MinPrice

MR1

MR2

MR3

LK1

LK2

HOME

6%

10%

13%

386

1930

10

Underlying

T(m)

IR

VR

VVR

r

HOME

1

0.1

0.2866

0.9431

0.0999

HOME

10

0.1

0.2866

0.7312

0.0999

HOME

30

0.1

0.2866

0.2604

0.0999

HOME

90

0.07

0.2108

0.1915

0.0999

HOME

180

0.06

0.1939

0.1762

0.0999

HOME

270

0.04

0.1855

0.1685

0.0999

HOME

365

0.03

0.177

0.1608

0.0998

HOME

1095

0.03

0.1349

0.1225

0.0995

Underlying

RangeFut for all futures

RangeCS for all calendar spreads

MDRule for all futures

MRaddonUp

for all futures

MRaddonDown

for all futures

HOME

0.5

0.9

Y

0

0

Underlying

Volat

Num

M

MDtimeIcl

MDtimeEcl

freq

count

Spread

AutoShift

NumMR

AutoShift

NumMREvg

Window_size

SOMC

HOME

3

10

3

2

5

12

0.2

10

0

0.5

0.1

Underlying

AutoShiftNumIR

AutoShift

NumIREvg

Fut

Mon

Range

BoundsWdn

CS

Mon

Range

Fut

Mon

TimeDay

FutMonTimeEvg

CS

Mon

TimeDay

CS

MonTimeEvg

Fut

Mon

Num

CS

Mon

Num

Fut

Shift

CS

Shift

HOME

10

0

0.10

Y

0.05

180

180

180

180

1

2

0.25

0.45

Underlying

Negative

Prices

All

First

Priority

StepNum

OptionModel

HOME

N

N

1

Black’s Model

Underlying

Number of settlement periods before the futures expiration for using “Half netting” rule for inter-month spread margining

HOME

2

Underlying

Num

Are included into inter-month spread

HOME

All futures

No