September 2005
Intermediate to advanced
272 pages
9h 8m
English
Content preview from Clearing and Settlement of Derivatives
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The clearing house will calculate the VM and initial margin (deposit)
for the transactions, resulting in open positions and closed-out
positions.
Variation margin
Variation margin is the revaluation by a mark to market (MTM)
process of positions. The resultant value is for settlement with the
clearing house.
Example
An investor purchases 1 March Long Gilt futures contract on
Euronext.liffe at a price of 102.05. From the contract specification
we see that the tick size and value is 0.01 and £10 respectively.
That evening the contract’s closing market price on the exchange
is 102.10.
It has moved 5 ticks (102.10 102.05), so the VM ...
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