SA Securities

The Cash securities margin is structured around a core risk module, a VaR based risk framework and a set of Additional Margins:

  • Total Initial Margin (TIM):
    • Initial Margins:
      • VaR based measure initial margin;
      • Pool initial margin: for position not eligible to VaR;
    • Wrong Way Risk (indirect - WWR): covers the contagion effect in the financial, insurance and bank sectors;
    • Event Risk (ER): a floor to Initial Margin and WWR, to cover idiosyncratic tail losses on concentrated positions;
    • Self-Referencing Risk (SRR) Margin (direct Wrong Way Risk): covers the direct self-referencing risk;
  • Additional Margins:
    • Liquidity and Concentration Margin (LCRM): captures the market liquidity risk given position size and concentration;
    • De-Netting and settlement Risk (DNR): covers the de-netting effect of cash security physical settlement;
    • Legal Entity identifier Margin (LEM): captures the non-linearity effect linked to the default of a legal entity while margin being computed as independent margin account.
  • Contingency Variation Margin (CVM): the unrealized PnL of the portfolio.

More details here.