Type of margin requirement amount being specified.
| 1 | = | Additional Margin Component of the total margin calculation which allows the CCP to include amounts generated outside of the Margin Deficit. Additional risk charges collected when a firm is placed on higher than normal surveillance.
Additional margin serves to cover the additional liquidation costs that potentially could be incurred. Such possible close-out costs could arise if, based on the current market value of a portfolio, the worst case loss were to occur within a 24-hour period. It is used for options (also options on futures) and non-spread futures positions, bonds and equity trades. For bonds and equity trades, the additional margin is calculated for security positions but not for the corresponding cash positions. | Added EP102
| | [AdditionalMargin] |
| 2 | = | Adjusted Margin Unadjusted Margin can be modified to become an Adjusted Margin by assigning a specific collateral to it or by applying an exchange rate. | Added EP102
| | [AdjustedMargin] |
| 3 | = | Unadjusted Margin Calculated by adding up the options Premium Margin, the current Liquidating Margin, the Futures Spread Margin and the Additional Margin on account and currency level. | Added EP102
| | [UnadjustedMargin] |
| 4 | = | Binary Add-On Amount Requirement generated from positions in Binary Options which are considered fully margined. Margin for an individual contract in this category represents the total amount that would be paid upon delivery of a contract should it expire in-the-money. This amount is included as a component of Additional Margin in the Total Margin calculation. | Added EP102
| | [BinaryAddOnAmount] |
| 5 | = | Cash Balance Amount Information about cash balance posted to the clearing house to cover the current margin requirement. | Added EP102
| | [CashBalanceAmount] |
| 6 | = | Concentration Margin Reflects a riskier portfolio concentration when a set of closely related products is held. | Added EP102
| | [ConcentrationMargin] |
| 7 | = | Core Margin Specific basic requirement of a position. Core margin is equal to Initial Margin plus a percentage of the Variation Margin. | Added EP102
| | [CoreMargin] |
| 8 | = | Delivery Margin Margin amount calculated between the Last Trade Date or Options Exercise Date and the Delivery or Settlement Date. Can also represent a commodities or energy delivery. | Added EP102
| | [DeliveryMargin] |
| 9 | = | Discretionary Margin Unspecific margin amount added by the risk manager, also called Increase Coverage Amount. | Added EP102
| | [DiscretionaryMargin] |
| 10 | = | Futures Spread Margin Long and short positions of futures with different expiration dates can be offset against each other and are called spreads . The remaining risk stems from the difference in expiration dates which does not provide a perfect price correlation. The purpose of Futures Spread Margin is to cover this risk until the next trading day.
This kind of margin is levied in order to cover those risks associated with a futures spread which could arise between today and tomorrow. | Added EP102
| | [FuturesSpreadMargin] |
| 11 | = | Initial Margin The initial amount required to cover the position. | Added EP102
| | [InitialMargin] |
| 12 | = | Liquidating Margin Calculated for cash, bond and equity positions and is equal to the profits and losses in such positions at the time of calculation. This margin protects the CCP if it is required to close out the position at the current/EOD price.
The liquidating margin (also called Current Liquidating Margin or Net Liquidating Margin) is paid by the buyer or the seller of the bonds. This margin covers losses that would occur if a position were to be liquidated today. The liquidating margin is adjusted daily similar to premium margin. | Added EP102
| | [LiquidatingMargin] |
| 13 | = | Margin Call Amount If the collateral that has been deposited is no longer sufficient, meaning a lack of coverage exists, then the market participant will be called upon to provide additional cash as collateral. | Added EP102
| | [MarginCallAmount] |
| 14 | = | Margin Deficit Amount (Shortfall) Base margin risk charge. This amount represents anticipated losses should the value of a portfolio (all positions in the account) fall below predefined level of Historical Value-at-Risk confidence. Also called Expected Shortfall Amount. | Added EP102
| | [MarginDeficitAmount] |
| 15 | = | Margin Excess Amount (Surplus) Excess long premium value which is generated when long premium value exceeds the sum of any short premium debit requirement and the account's risk charges. Also called Expected Surplus Amount or Margin Credit Amount. | Added EP102
| | [MarginExcessAmount] |
| 16 | = | Option Premium Amount Premium registered on the given trading date.
The amount of money that the options buyer must pay the options seller. | Added EP102
| | [OptionPremiumAmount] |
| 17 | = | Premium Margin Premium margin must be deposited by the seller of a traditional options position. It remains effective until the exercise or expiration of the option, and covers the potential costs of a close-out (liquidation) of the position of the seller at the settlement price. | Added EP102
| | [PremiumMargin] |
| 18 | = | Reserve Margin Reserve margin provides a way to reflect the inflated risk of a position. Reserve margin is equal to a percentage of the variation margin. | Added EP102
| | [ReserveMargin] |
| 19 | = | Security Collateral Amount Information about the security collateral posted to the clearing house to cover the current margin requirement. | Added EP102
| | [SecurityCollateralAmount] |
| 20 | = | Stress Test Add-On Amount Amount in addition to Margin Deficit in the Risk component of the margin calculation. This charge is based on tests which incorporate changes to distributional and confidence level assumptions to evaluate exposure to security concentration and changes in dependence structure; a predetermined percentage of the calculated exposure is collateralized as this charge. | Added EP102
| | [StressTestAddOnAmount] |
| 21 | = | Super Margin Additional risk charge applied to predetermined Cross-Margin accounts. The charge is based on the account's level of Margin Deficit. This amount is included as a component of Additional Margin in the Total Margin calculation. | Added EP102
| | [SuperMargin] |
| 22 | = | Total Margin Sum of all margin amounts at value date. | Added EP102
| | [TotalMargin] |
| 23 | = | Variation Margin Variation margin (also called Contingent Variation Margin or Maintenance Margin) is the daily Profit and Loss (P&L) on Open Positions for the given trading date. The current price is compared to the previous day's price.
Variation margin (a daily offsetting of profits and losses) occurs as a result of the mark-to-market procedure used for futures and options on futures. | Added EP102
| | [VariationMargin] |
| 24 | = | Secondary Variation Margin Variation margin on Option Positions that is calculated based on the market movement. This will be used by CCPs wanting to report the variation for Options and Futures separately. | Added EP102
| | [SecondaryVariationMargin] |
| 25 | = | Rolled up margin deficit | Added EP117
| | [RolledUpMarginDeficit] |
| 26 | = | Spread response margin Risk factor component associated with spread moves, curve shape changes and recovery rates. | Added EP162
| | [SpreadResponseMargin] |
| 27 | = | Systemic risk margin Risk factor component to capture parallel shift of credit spreads. | Added EP162
| | [SystemicRiskMargin] |
| 28 | = | Curve risk margin Risk factor captures curve shifts based on portfolio. | Added EP162
| | [CurveRiskMargin] |
| 29 | = | Index spread risk margin Risk factor component associated with risks due to widening/tightening spreads of CDS indices relative to each other. | Added EP162
| | [IndexSpreadRiskMargin] |
| 30 | = | Sector risk margin Risk factor component to capture sector risk. | Added EP162
| | [SectorRiskMargin] |
| 31 | = | Jump-to-default risk margin Risk factor component to capture extreme widening of credit spreads of a reference entity. Also known as Idiosyncratic Risk. | Added EP162
| | [JumpToDefaultRiskMargin] |
| 32 | = | Basis risk margin Risk factor component to capture basis risk between index and index constituent reference entities. | Added EP162
| | [BasisRiskMargin] |
| 33 | = | Interest rate risk margin Risk factor component associated with parallel shift movements in interest rates. | Added EP162
| | [InterestRateRiskMargin] |
| 34 | = | Jump-to-health risk margin Risk factor component to capture extreme narrowing of credit spreads of a reference entity. Also known as Idiosyncratic Risk. | Added EP162
| | [JumpToHealthRiskMargin] |
| 35 | = | Other risk margin Any other risk factors include in the Margin Model. | Added EP162
| | [OtherRiskMargin] |