Margins shall cover liabilities arising from transactions and arising from non-execution or undue execution of such transactions.
Types of margins:
- initial margins
- initial deposits
Information on margin requirements
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.sm1.002.02 - Collateral register statement
- colr.mrg.003.02 – Margin payments
The message structures are available in the tab IT tools – OTC trading
In order to manage the clearing risk of OTC transactions, margins and contributions to the clearing fund are calculated based on the historical Value at Risk (VaR) simulation model.
The margin requirement is equal to HVaR (historical value at risk) for a given account based on the relevant parameters.