Fortis changing margin charge calculation

In the second quarter of 2006 Fortis Brokerage, Clearing and Custody - part of the Merchant Banking division of Fortis - is to switch away from charging its clients exchange margin and offer its customers margin charges based on the correlation between energy contracts. This is created by a principal component analysis of the energy contracts being traded.

This will result in considerable margin cost savings on cross-exchange arbitrage trades and spread trades, says Eric Boonman, sales

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