Spread credits
Spread Credit
Historical price development shows varying degrees of correlation between derivatives. This comes into effect on both correlation between different delivery periods within same risk group and correlation between different risk groups within same delivery periods. Time spread credit is only given for opposite contracts within the same risk group with different delivery periods. Inter commodity spread credit is only given to opposite contracts in different risk groups within the same risk domain.
For both the time spread credit and the inter commodity spread credit the below
matrix is used to define the amount of credit given for a certain correlation:
| Correlation | Step credit | Credit |
| >0,99 | 6 steps credit | The margin on the position with the highest margin requirement is reduced by 3/3 of the margin on the position with the lowest margin requirement, which has zero margin. |
| >0,90 | 5 steps credit | The margin on the position with the highest margin requirement is reduced by 2/3 of the margin on the position with the lowest margin requirement, which has zero margin |
| >0,80 | 4 steps credit | The margin on the position with the highest margin requirement is reduced by 1/3 of the margin on the position with the lowest margin requirement, which has zero margin. |
| >0,70 | 3 steps credit | The margin on the position with the lowest margin requirement is reduced by 3/3 of the margin. That is, zero margin on the position with the lowest requirement. |
| >0,60 | 2 steps credit | The margin on the position with the lowest margin requirement is reduced by 2/3. |
| >0,50 | 1 step credit | The margin on the position with the lowest margin requirement is reduced by 1/3. |
| <0,50 | 0 step credit | No Credit is given |
Download the Inter-Commodity Spread Credit matrix
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