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Initial Margin

Initial Margin Calculation

In the Derivatives Market IM is calculated for each clearing member, brokerage company (subbroker) and client (optional).

Initial margin values are calculated using a portfolio margining approach that considers potential changes in the underlying risk factors of each financial instrument. In this case exposures to common risk factors can be offset, thus reducing margin requirements.

Initial Margin is calculated and simulated with the help of Margin Calculation Module

Eligible Collateral

Assets accepted as collateral are as follows:

Asset Type
Russian RUR
Foreign currencies
Equities

The value of foreign currencies and equities  are reassessed on a daily basis based on current market prices and corresponding haircuts. The total share and the individual amounts of foreign currencies and equities posted as collateral are subject to concentration limits.

Methodology for selecting foreign currencies and securities accepted as collateral

Report on Collateral Pools and Funds