Margins Handbook  (Microsoft Word '97 format)
2nd Edition (July, 1999)

This version of the handbook is in Microsoft Word '97 format.  To view the chapters, you will need to have Microsoft Word installed on your system.   The Margins Handbook is also available in Adobe .pdf  format.

Preface

Chapter 1 - 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
    Margin Deposits - Acceptability By Exchange (Exhibit)

Chapter 4 - MARGIN CALLS
    Issuance of Margin Calls
    Computation of Margin Calls
    Aging of Margin Calls
    Reduction and Deletion of Margin Calls
    Examples

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
    Miscellaneous
    Examples

Chapter 7 - OMNIBUS ACCOUNTS
    Reporting of Positions
    Margin Rates and Requirements
    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