Effective with the opening of business on Tuesday, September 27, 2011 and thereafter are the following New Inter-commodity Spread Credits.
New Inter-commodity Spread Credits
Commodities |
Position |
Spread Credit |
AUD/CAD(AS) : AUD/USD(KAU) : USD/CAD(SV) |
long-short-short (1:1:1) |
75% |
AUD/USD(KAU) : NZD/USD(ZX) : UAD/NZD(AR) |
long-short-short (4:1:1) |
70% |
AUD/USD(KAU) : NZD/USD(KZX) : AUD/NZD(AR) |
long-short-short (4:2:1) |
70% |
EUR/USD(KEO) : EUR/CAD(KEP) : USD/CAD(SV) |
short-long-short (1:2:1) |
70% |
EUR/USD(KEO) : EUR/GBP(KGB) : GBP/USD(MP) |
long-short-short (2:1:2) |
75% |
EUR/JPY(KEJ) : EUR/CHF(KRZ) : CHF/JPY(KZY) |
long-short-short (4:2:1) |
90% |
EUR/CHF(KRZ) : GBP/CHF(SS) : EUR/GBP(KGB) |
long-short-short (2:1:1) |
80% |
EUR/CHF(KRZ) : USD/CHF(MF) : EUR/USD(KEO) |
long-short-short (2:1:1) |
65% |
NZD/USD(KZX) : NZD/USD (ZX) |
long-short (2:1) |
100% |
EUR/USD(KEO) : US DOLLAR INDEX(DX) |
long-long(2:3) |
75% |
Inter-commodity Spread Credit Changes
Commodities |
Position |
New Spread Credit |
Change |
EUR/USD(KEO) : EUR/CAD(KEP) : CAD/USD(KSV) |
long-short-short (2:1:1) |
65% |
-5% |
AUD/CAD(AS) : AUD/USD(KAU) : CAD/USD(KSV) |
long-short-long (1:3:1) |
70% |
+5% |
Russell 1000 Index Mini (RF) : Russell 1000 Index Growth Mini (RG) |
long-short (1:1) |
90% |
+5% |
Russell 1000 Index Growth Mini (RG) : Russell 1000 Index Value Mini (RV) |
long-short (1:1) |
90% |
+5% |
Russell 2000 Index Mini (TF) : Russell 1000 Index Mini (RF) |
long-short (1:1) |
85% |
+10% |
Russell 2000 Index mini (TF) : Russell 1000 Index Growth Mini (RG) |
long-short (1:1) |
80% |
+10% |
Russell 2000 Index Mini (TF) : Russell 1000 Index Value Mini (RV) |
long-short (1:1) |
85% |
+15% |