Reconcile margin, collateral and account exposure

Work through inverse P&L, shared-equity stress, conditional collateral deposits, maintenance deductions and marginal collateral bands.

Course outline

1. 1

   Inverse futures P&L: calculate profit and collateral value

   Calculate coin-settled futures P&L and account value in USD. Use a worked ledger to separate contract profit from the changing value of collateral.

   8 min
2. 2

   Cross margin risk: stress several positions together

   Calculate joint position losses, maintenance margin and remaining account equity. Avoid assigning the same shared collateral to several positions twice.

   7 min
3. 3

   Margin top-up: calculate eligible collateral after haircuts

   Work out how much collateral a hypothetical margin shortfall requires. Include eligibility factors, quantity increments and price changes before crediting.

   7 min
4. 4

   Maintenance margin tiers: apply the rate and deduction

   Reconcile a progressive maintenance-margin schedule with its rate-minus-deduction formula. Test a tier boundary without inventing a sudden margin cliff.

   7 min
5. 5

   Collateral haircuts: calculate tiered credit and liabilities

   Calculate recognized collateral across marginal tiers, then subtract liabilities. Distinguish market value from collateral credit and ineligible balances.

   7 min

Open full-size diagram

1. Inverse futures P&L: calculate profit and collateral value
2. Cross margin risk: stress several positions together
3. Margin top-up: calculate eligible collateral after haircuts
4. Maintenance margin tiers: apply the rate and deduction
5. Collateral haircuts: calculate tiered credit and liabilities

Educational material. Examples do not establish a profitable strategy. Trading costs, gaps and liquidation can produce losses beyond a planned stop.