Initial Margin

Initial Margin Calculation

Risk Calculation is based on in house proprietary VAR – like model that accounts for 99% confidence level. The main particularity of the model is a usage of PCA (Principal Component Analysis) approach to obtain the initial margins levels.

Risk methodology in the Standardized Derivatives Market

Eligible Collateral

Types of assets accepted as collateral:

Asset Type
Russian RUR
Foreign currencies

Interest is accrued on the assets blocked as collateral.