September 2002
Intermediate to advanced
256 pages
6h 37m
English
Content preview from Clearing, Settlement and Custody
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Margin (derivatives), 84–95
calculation methods, 87
and collateral, 92
delta spreads, 89
FX rates/risks, 94
initial margin, 84–5
inter-month spread charge
calculation, 89
interest rate calculations, 96
intra-day margin, 85, 86–7
LDR (London Deposit Rates),
85–6
margining to a client, 93–4
offsets of margins, 88
risk-based margining, 93
scanning risk, 88, 89
single-currency margining and
settlement, 94–5
spot month margin, 87
standard portfolio analysis of risk
(SPAN), 85, 86, 87–8
Theoretical inter-market
margining system (TIMS),
85
tick size, 91
treasury management, 95–6
variation margin (VM), 89–91
Market structure, UK and USA
(ISSA handbook), 3, 4
Market-makers, 36
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