New Inter-commodity Spread Credits September 2011

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%

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