FTSE Russell Index Futures Margin Spread Credits and Methodology

Generally speaking, CME Group uses a Historical Value-at-Risk (VaR) methodology to ensure that margins are set to cover 99 percent of potential price moves. CME Group considers several factors to compute the gains and losses a portfolio would incur under different market conditions:

  • Historical price changes at the contract level
  • Seasonality
  • Correlations between products

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