Assuming a total contract of $32,500 ($6.50 x 5,000 bushels) the futures margin would amount to around 5% of the contract value. Initial Futures Margin is the amount of money that is required to open a buy or sell position on a futures contract. Initial margin is original margin, the amount posted when the original trade takes place. For futures contracts, exchanges set initial margin requirements as low as 5% or 10% of the contract to be traded. For example, if an crude oil futures contract is quoted at $100,000, a futures account holder can enter a long position by posting only $5,000 initial margin, or 5% of the contract value. NASDAQ OMX CASH FLOW MARGIN 2015 6 NASDAQ OMX The Clearinghouse’s repo clearing service demands that its participants pledge both the market value and the initial margin of each repo transaction. NOMX requires margins from all clearing participants and the margin requirement is calculated with the same risk parameters regardless of the clearing participant’s credit rating. NOMX CFM (short for NASDAQ OMX CASH FLOW MARGIN) is a yield curve based margin methodology that captures this correlation of fixed income instruments priced against the same curve.
NASDAQ OMX OMS II 2015 2 NASDAQ OMX DOCUMENT INFORMATION Date Version Comments 2013-07-31 1.0 Initial 2014-08-29 1.1 Margin types, Margin calculations 2015-07-17 1.2 Background, Introduction, OMS II Options & Futures Nasdaq offers trading and clearing in Swedish, Danish, Finnish and Norwegian options and futures. Stock options and futures Index options and futures Stock options and futures Index options and futures Stock options and futures Index options and futures External list Stock options and futures Index options and futures Stock NASDAQ OMX CASH FLOW MARGIN 2011 9 NASDAQ OMX Desirable properties of a margin methodology are that it should mirror realistic circumstances, and at the same time be capital efficient. When margining fixed income derivatives it appears natural to utilize the strong intra curve correlation. NOMX CFM (short for NASDAQ OMX CASH FLOW MARGIN) is a Risk parameters and initial margins. PFI01 further contains all OTC Interest Rate Derivatives (IRS) transactions (according to the Clearing Conditions Chapter VIII) in products as described on the EurexOTC Clear IRS webpage. In addition, the Bond Liquidation Group PBN01 is defined.
NASDAQ OMX CASH FLOW MARGIN 2011 9 NASDAQ OMX Desirable properties of a margin methodology are that it should mirror realistic circumstances, and at the same time be capital efficient. When margining fixed income derivatives it appears natural to utilize the strong intra curve correlation. NOMX CFM (short for NASDAQ OMX CASH FLOW MARGIN) is a Risk parameters and initial margins. PFI01 further contains all OTC Interest Rate Derivatives (IRS) transactions (according to the Clearing Conditions Chapter VIII) in products as described on the EurexOTC Clear IRS webpage. In addition, the Bond Liquidation Group PBN01 is defined. Margin ensures that if the price moves against a buyer or seller that the party has enough money to cover those losses. Margin can be in the form of cash or negotiable and liquid securities. When a buyer or seller opens a new position on a futures contract, the party is required to post original (initial) margin. Futures margin trading in an Individual Retirement Account (IRA) is subject to substantially higher margin requirements than in a non-IRA margin account. Margin rates in an IRA margin account may meet or exceed three times the overnight futures margin requirement imposed in a non-IRA margin account. Futures Margin Rates. Enjoy Day-Trade Margins Overnight Get reduced intraday margin rates overnight on U.S. equity index futures, full-sized Crude Oil, 30-Year Treasury Bond, 10-Year Treasury Note and full-sized Gold and Silver Futures.
NASDAQ OMX CASH FLOW MARGIN 2015 6 NASDAQ OMX The Clearinghouse’s repo clearing service demands that its participants pledge both the market value and the initial margin of each repo transaction. NOMX requires margins from all clearing participants and the margin requirement is calculated with the same risk parameters regardless of the clearing participant’s credit rating. NOMX CFM (short for NASDAQ OMX CASH FLOW MARGIN) is a yield curve based margin methodology that captures this correlation of fixed income instruments priced against the same curve. The amount of initial margin required is this dollar amount multiplied by the contract size. In the example above, the contract size is 100 and initial margin requirement is $49.65. This means that you need to have available $4,965 for every contract you buy. With the general concept of margin in mind, futures trading margins consists of three margin types: Intraday Margin; Initial Margin; Maintenance Margin; This article will focus on Intraday Margin while Initial & Maintenance Margins (commonly referred to as Exchange Margins) is covered in a subsequent post. At a high level, Intraday Margin is the minimum account balance required to enter one contract during trading hours. Initial Margin. Before a futures position can be opened, there must be enough available balance in the futures trader's margin account to meet the initial margin requirement. Upon opening the futures position, an amount equal to the initial margin requirement will be deducted from the trader's margin account and transferred to the exchange's clearing firm. This money is held by the exchange clearinghouse as long as the futures position remains open. Maintenance Margin
The SPAN®(1) risk model is used for the Initial Margin calculation, comparing up to 16 price and volatility scenarios in order to simulate worst case losses for future