September 2002
Intermediate to advanced
256 pages
6h 37m
English
Content preview from Clearing, Settlement and Custody
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䊏 Inter-month spread charge rate = £60
䊏 Inter-month spread charge = 5 × 60 = £300
The total margin in the above example would be calculated as the
sum of the scanning risk and the inter-month spread charge.
Scanning risks will be the maximum loss. It should be noted that on
SPAN reports losses are usually shown as a positive number.
The largest loss is £1500 and occurs at the price down 3/3 scenario.
It should be noted that as these are futures-only positions, adjusting
the volatility has no impact. The theoretical losses for the volatility up
and volatility down scenarios are the same.
We already know that the inter-month spread charge is £300.
Therefore ...
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