Initial Margin
In the Equities Market IM is calculated for each clearing member and client (optional). Initial margin values are calculated using a portfolio margining approach that considers potential changes in the underlying risk factors of each security and assets posted as collateral. In this case exposures to common risk factors can be offset, thus reducing margin requirements. Collateral sufficiency is assessed considering the portfolio's 'single limit', that is, the net value of the portfolio containing trades and collateral considering adverse market conditions.
Eligible Collateral
Assets accepted as collateral are as follows:
| Asset type |
|---|
| Russian RUB |
| Renminbi (CNY) |
| Shares* |
| OFZs* |
| Corporate bonds* |
*Securities list accepted as collateral is determined by NCC and is available on NCC website
Foreign currency and equity haircuts are defined in accordance to three distinct concentration levels, so more concentrated positions entail more conservative haircuts. Mark-to-market is performed on a daily basis as well as during the trading session (if the bands are changed).
Market Risk Rates (haircuts)