InvestorQ : What exactly is a calendar spread margin in IRFs trading?
Tisha Malhotra made post

What exactly is a calendar spread margin in IRFs trading?

Answer
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Moii Chavate answered.
2 years ago


Contracts where futures position at one maturity is hedged by an offsetting futures position at a different maturity would be treated as a calendar spread. The calendar spread margin shall be charged in addition to worst-scenario loss of the portfolio.

NSE Bond Futures II (NBF II)

The calendar spread margin shall be Rs.1500 for one month spread, Rs.1800 for two months, Rs. 2100 for three months and Rs.3000 for spreads beyond three months.

91 Day T-Bill Futures contract

The calendar spread charge shall be at Rs.100/- for spread of one month, Rs 150/- for spread of two months. Rs 200/- for spread of three months and Rs 250/- for spread of four months and beyond will be levied on such positions. The benefit for a calendar spread would continue till expiry of the near month contract. The relevant authority may specify levy of normal margins on calendar spread positions from time to time.

Futures Final Settlement Margin futures contract

Futures Final Settlement Margin is levied at the clearing member level in respect of the final settlement amount due. The final settlement margin is levied from the last trading day of the contract till the completion of pay-in towards the Final Settlement.

Extreme Loss Margin

Clearing members would be subjected to extreme loss margins in addition to initial margins.

NSE Bond Futures II (NBF II)

The applicable extreme loss margin for cash settled interest rate futures contract would be 0.50% of the value of the gross open positions of the futures contract.

In case of calendar spread positions, extreme loss margin will be 0.01% of the value of the far month contract. The relevant authority may specify levy of normal margins on calendar spread positions from time to time.

91 Day T-Bill Futures contract

Extreme loss margin will be 0.03% of the notional value (Rs 200000) of the contract for all gross open positions of the futures contract or as may be specified by the relevant authority from time to time.

In case of calendar spread positions in 91-Day GOI T-bill futures extreme loss margin will be 0.01% of the notional value (Rs 200000) of the far month contract. The relevant authority may specify levy of normal margins on calendar spread positions from time to time.