References in periodicals archive
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Rolling positions requires the calculation of the net change from one day to the next for each dealer's position in each collateral class.
A potential issue, however, is that if dealers change their trading strategies with the consequence that their net positions fluctuate considerably, the benefits gained through rolling positions, in terms of reducing the amount of credit necessary to settle trades, would be somewhat lessened.
With the rolling positions process, the dealer is obligated to deliver only $1 billion in Treasuries to complete the end-of-day settlement process.
The use of rolling positions dramatically reduces the reliance on intraday credit, for most cases.
Historically, dealers have maintained similar net positions from day to day, a pattern that suggests that rolling positions will dramatically reduce the amount of intraday liquidity needed to settle GCF Repo positions.
The spot index level calculation does not incorporate the premium or discount obtained by rolling positions forward as delivery approaches.
In a contangoed oil futures market, investors in 2006 suffered from the effects of rolling positions forward.
This could be the product of speculators rolling positions out from the front-month series.
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