Margins are deposited individually by clearing members to secure the risk of clearing the member’s transactions.
Margins are calculated both for transactions on the cash market and transactions/positions on the derivatives market.
The purpose of margins is to secure the risk of potential losses resulting from changes of exposure under normal market conditions in the liquidation period at a set confidence interval.
Margins are calculated using a portfolio risk measure, i.e., taking into account correlations of positions in a portfolio. A margin is calculated (in PLN) on a daily basis from the date of the transaction until the date of settlement.
Types of margins:
- initial margin (including initial margin for loans)
Margin charged to secure the market risk of transactions in securities and transactions in derivatives which have not yet been settled more
- initial deposit (including initial deposit for loans)
Collateral in acceptable financial instruments which secures changes of intra-day exposure of a member in respect of new transactions, changes of prices, interest rates, exchange rates or risk parameters. The minimum initial deposit is PLN 100,000. more
Information on margin requirements for each account is provided in messages:
- colr.ins.001.02 – posted or released collateral
- colr.ins.002.03 – client collateral registration
- colr.sts.001.03 – posted or released collateral status
- colr.sts.002.01 – client collateral registration status
- colr.sm1.002.03 – collateral register report
- colr.stm.001.02 - statement of credits and debits under the derivatives clearing system and the risk management system
- colr.mrg.001.02 - margin payments
- colr.mrg.004.02 – information on margin deposits charged to clearing accounts
- colr.mrg.005.02 – margin settlements
- colr.mrg.006.02 - account margin
The message structures are available in the tab IT Tools
Securities deposited as collateral – Examples of exchanged messages by functionality