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Margin
Requirements (Initial
Margin Contributions) |
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Initial
Margin Contributions are financial resources that Asigna demands to the
members that maintain open contracts in the market; these resources are
constituted in cash or securities and are managed by Asigna. The
determination of "the amount" to be deposited as margin depends on
the individual risk of every portfolio; this risk is determined by
Theoretical Intermarket Margin System (TIMS)
methodology. TIMS allows Asigna to measure, monitor and manage the level of
risk exposure of their members' portfolios. TIMS can calculate risk exposure
at different account levels. In addition, TIMS uses advanced portfolio theory
to margin all positions relating to the same underlying product and combines
the risk of closely related products into integrated portfolios. TIMS uses advanced pricing models
to project the liquidation value of each portfolio given changes in the price
of each underlying product. These models generate a set of theoretical values
based on various factors including current prices, historical prices and
market volatility. Based on flexible criteria established by Asigna,
statistically significant hedges receive appropriate margin offsets. TIMS organizes all classes of options and futures relating to
the same underlying asset into class groups and all class groups whose
underlying assets exhibit close price correlation into product groups. The
daily margin requirement for a clearing member is calculated based on its
entire position within a class group and various product groups. The margin
requirement consists of four components, a mark to market component, a risk
margin component and a spread and delivery margin components. Premium
Margin The mark to market component takes the form of a premium
margin calculation that provides margin debits or requirements for short
positions and margin credits for long positions. The margin debits and
credits are netted to determine the total premium margin. Therefore, the
premium margin component represents the cost of liquidate the portfolio
at current prices. Risk
Margin The risk margin component is calculated using price theory in
conjunction with margin intervals. TIMS projects the theoretical cost of
liquidating a portfolio of positions in the event of an assumed worst
case variation in the price of the underlying asset. Spread
Margin Spread Margin represents the cost associated with inter-month
correlation risk between long and short futures contracts on the same
underlying asset. Delivery
Margin TIMS recognize the market risk between settlement day and
maturity date for contracts with physical delivery, in other words it is a
flat-rate charge for certain unsettled tendered, exercised, or assigned
contracts. The margin interval determines the maximum one day increase in
the value of the underlying asset (upside) and the maximum one day decrease
in the value of the underlying asset (downside) that can be expected as a
result of historical volatility. The Margin Intervals and Margins for Futures and Options are
as follows:
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