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: