Joint Audit Committee

Margin Handbook

Adobe PDF format

Preface

Chapter 01 - DEFINITIONS

Chapter 2 - MARGIN RATES AND REQUIREMENTS
  • Standard Portfolio Analysis of Risk Margin System (SPAN®)
  • SPAN® Margin System Requirements
  • Hedge Accounts
Chapter 3 - MARGIN DEPOSITS
  • Acceptable Margin Deposits
Chapter 4 - MARGIN CALLS
  • Issuance of Margin Calls
  • Computation of Margin Calls
  • Aging of Margin Calls
  • Reduction and Deletion of Margin Calls
  • Issuance of Margin Calls
Chapter 5 - UNDERMARGINED CAPITAL CHARGES
  • Accounts Subject to an Undermargined Capital Charge
  • Current Margin Calls
  • Calculation of Undermargined Capital Charges
  • Examples
Chapter 6 - UNDERMARGINED AND IN DEBIT TRADING
  • Types of Trading
  • Allowable Trading Activity
  • Miscellaneout
  • Examples
Chapter 7 - OMNIBUS ACCOUNTS
  • Reporting of Positions
  • Margin Rates and Requirement
  • Undermargined Accounts
  • CBOT Required Notification (Regulation 416.03)
  • NFA Required Notification (Rule 2-33)
Chapter 8 - PROPRIETARY ACCOUNTS
  • Financial Statement Presentation
  • Covered Positions
  • Calculation of Proprietary Capital Charges
  • Examples
Chapter 9 - COMBINED ACCOUNTS
  • Related Accounts
  • Affiliated Accounts
  • Joint Accounts
  • Examples
Chapter 10 - MISCELLANEOUS MARGIN TOPICS
  • Excess Margin Payments
  • Concurrent Long and Short Positions
  • Alternative Margining Systems
Chapter 11 - STANDARD PORTFOLIO ANALYSIS of RISK (SPAN®)
  • SPAN Overview
  • Advantages and Rationale of SPAN
  • Option Equity and Risk Margin
  • Margin Calculations
  • Risk Arrays
  • Futures Scan Range
  • Volatility Scan Range
  • Extreme Move Scenario
  • Other Factors Affecting SPAN Margin Requirements
  • A Simple Margin Calculation
Chapter 12 – CROSS-MARGINS FOR EQUITY INDEX AND INTEREST RATE FUTURES AND OPTIONS
  • General Information
  • Eligible Participants
  • Margin Collateral and Requirements
  • Net Capital Implications of Cross-Margins