September 2005
Intermediate to advanced
272 pages
9h 8m
English
Content preview from Clearing and Settlement of Derivatives
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Spot month margin
This is an additional rate of margin which is charged by the clearing
house to cover the risk that they incur between the last trading day
of a contract and its ultimate delivery. It covers the risk of a default
during the delivery process.
There are no offsets allowed for spread positions. The clearing
house on settlement day 1 releases initial and spot month margins,
once they are satisfied that delivery has been effected correctly.
Margin methods
The method for calculating margin also varies from clearing house to
clearing house. It may be different for futures and traded options.
However, in 1988 the CME devised a ...
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