Repo X-COM Margining methodology · 2016-10-10 · In a repo transaction with positive rate, the...

Repo X-COM Margining

methodology

X-MAR Manual

Version 1.0 – October 2016

X-MAR Manual

1. FOREWORD ................................................................................................................ 3

2. IRMA MARGINS........................................................................................................... 5

2.1. Penalty for failure ............................................................................................................................... 6

2.2. Calculation of IRMA Margins with positive rate .............................................................................. 9

2.2.1. IRMA - Collateral Giver ................................................................................................................ 9

2.2.2. IRMA - Collateral Receiver ........................................................................................................ 11

2.3. Calculation of IRMA Margins with negative rate ........................................................................... 12

2.3.1. IRMA - Collateral Receiver ........................................................................................................ 13

2.3.2. IRMA - Collateral Giver .............................................................................................................. 14

3. INITIAL MARGINS ..................................................................................................... 19

3.1.1. Ordinary Initial Margins .............................................................................................................. 19

3.1.2. Initial margins on fail positions ................................................................................................... 20

4. MARK-TO-MARKET MARGINS ................................................................................ 21

X-MAR Manual

1. Foreword

The present document describes the methodology used to calculate Margins for

guaranteed triparty repo contracts managed by X-COM, the triparty Collateral

Management platform owned by Monte Titoli.

The X-MAR methodology envisages the following types of margins:

a) IRMA Margins (Interest Rate MArgins), which are intended to cover (a) the penalties

charged by CC&G to the counterparty which fails to pay cash or deliver securities at

the intended settlement date of the spot leg and (b) the payment of repo interest at the

intended settlement date of the forward leg;

b) Initial Margins, aims at covering the theoretical costs of liquidation, which CC&G

would incur by liquidating the positions hypothesizing the most reasonably

unfavourable market scenario. Increased Initial Margins will apply in case of unsettled

forward leg due to lack of securities;

c) Mark to Market Margins, covering any gap between the settled amount and the

Market Value of the collateral verified at each MtM recalculation cycle.

The margins described above can be covered both in cash and securities that meet the

eligibility criteria established by CC&G.

X-MAR Manual

Acronyms and abbreviations

The following table shows the definition of acronyms and abbreviations used in this

document.

Table 1-1

Acronym and abbreviation Description

SL Spot Leg (see Spot Leg )

FL Forward Leg (see Forward Leg )

Spot Leg First Leg of repo contract

Forward Leg Second Leg or Term Leg of the repo contract

ISD (Intended Settlement Date) Settlement date agreed in the contract

ISD SL/ ISD Spot Intended Settlement Date of the Spot Leg

ISD FL/ ISD Forward Intended Settlement Date of the Forward Leg

FV SL Validity Date1 of the Spot Leg, i. e. last day of re-cyclyng for the Spot date

FV FL Validity Date of the Forward Leg, i.e. last day of re-cyclyng for the Spot date

G/R Giver/Receiver (see Giver and Receiver)

CG/Giver The party that must deliver securities on the spot date (the seller)

C/R/ Receiver The party that must deliver cash on the spot date (the buyer)

RR Repo rate

1 Collateral Instructions for guaranteed transactions which are not settled (in whole or partially) upon

completion of the clearing and settlement processes on the ISD (are considered as fail and, only in case of lack of collateral, they are re-cycled during the clearing process of next days till the end of validity date (FV, up to five target days).

X-MAR Manual

2. IRMA Margins

Figure 2-1 and Figure 2-2 represents respectively the Margins applied to the two parties in

two different scenarios: positive repo rates (RR> 0) and negative repo rates (RR <0).

A negative repo rate means that the collateral receiver (the buyer who is lending cash)

effectively pays interest to collateral giver (the seller who is borrowing cash).

The following paragraphs provide a more detailed description of the methods and the

timeframe of the calculation.

Figure 2-1: XMAR workflow (RR>0)

Figure 2-2: XMAR workflow (RR>0)

X-MAR Manual

2.1. Penalty for failure

IRMA margins are calculated in order to cover the penalties applied by CC&G to the

participant in malis summarized in Figure 2-1 and Figure 2-2 resulting from the

replacement of CC&G in the original contract. Two scenarios are considered:

CC&G must replace one of the two parties at the end of the spot ISD due to non-

delivery of securities or cash, and;

CC&G must replace the Collateral Giver (Receiver) in case of positive rates

(negative) for failure to pay interest at the end of the term ISD.

The below tables outline the management of the repo rate contracts with positive and

negative rates and the corresponding penalties applied in case of failure. The IRMA

Margins are defined so as to cover the penalties in all case studies described.

X-MAR Manual

Table 2-1: Penalty for failure - positive repo rate

# Spot Leg Status Fail Fail Side Spot Settled amount Repo Interest Forward Leg amount Penalty

1 Settled (at ISD) N

Total

Full amount of repo interest

Traded amount + Full amount of repo interest

None

2 Settled (but after spot ISD)

Y

Securities

None, The penalty is embedded because the seller will remain obliged to pay the full amount of repo interest to the buyer at the repurchase date, even if he delivers the collateral late and therefore has delayed use of the cash, or even if he never delivers the collateral and therefore never has use of the cash.

3 Unsettled 0 Full amount of repo interest

4 Partial Settled (on ISD or later) Partial Partial settled amount + Full

amount of repo interest

5 Unsettled Cash 0 0 0 Yes,

proportional to the refinancing cost potentially withstood by Collateral Giver, under the hypothesis of recourse to central bank refinancing

X-MAR Manual

Table 2-2: Penalty for failure - negative repo rate

# Spot Leg Status Fail Fail Side Spot Settled amount Repo Interest Forward Leg amount Penalty

1 Settled (at ISD) N

Total

Full amount of repo interest

Traded amount + Full amount of repo interest (negative) None

2 Settled (but after spot ISD) Y

Securities

Traded amount + Full amount of repo interest (negative)

Yes, Calculated in each day t from Spot ISD to the effective settlement date of the spot leg proportional to the unsettled amount

Unsettled amount in t * ECB deposit rate where: Spot ISD ≤ t ≤ Spot FV

3 Unsettled Y 0 Full amount of repo interest (negative) Yes,

Calculated in each day t from Spot ISD up to Forward ISD -1 proportional to the unsettled amount

Unsettled amount in t * ECB deposit rate

where: Spot ISD ≤ t < Forward ISD 4 Partial Settled (on ISD or later) Y Partial

Partial settled amount + Full amount of repo interest

(negative)

5 Unsettled Y Cash 0 0 0 Yes,

Equal to the full amount of repo interest agreed in the contract due from the Collateral Receiver to Giver

The case of partial settlement due to lack of cash it is not represented given that it is not allowed by the X-Com system.

X-MAR Manual

2.2. Calculation of IRMA Margins with positive rate

In a repo transaction with positive rate, the Collateral Giver (Cash taker) pays repo

interests to the Collateral Receiver (Cash Giver). It follows that the forward leg

countervalue is greater than the spot leg countervalue (the difference is the amount of

repo interest).

In the event of unsettled spot leg due to a lack of securities (in whole or in part), CC&G will

pay to the Member in bonis an amount equal to the entire amount of interests agreed in

the original contract.

In case of unsettled spot leg due to a lack of cash, CC&G will pay to the Member in bonis

an amount that takes into account the refinancing cost potentially borne by the borrower.

2.2.1. IRMA - Collateral Giver

In the event of a settlement failure or a partial settlement due to a lack of securities, CC&G

will debit a penalty to the failing Collateral Giver.

Failed Contractual Positions on the sell side must be settled by the fifth day after the Spot

ISD (L+5) and in any case within the day before the Forward ISD. After this deadline, the

contract will be subject to an early termination by debiting the penalty (equal to the repo

interest agreed) to the Collateral Giver (in malis) for the benefit of the Collateral Receiver

(in bonis).

To cope with this risk, the Collateral Giver is required to pay an IRMA margins equals to

the repo interest agreed in the contract.

Timeframe of calculation

The IRMA margins payed by the seller are calculated by the first Margin calculation

(intraday or end-of-the-day) following the trade date and up to the effective settlement of

the interests.

X-MAR Manual

Figure 2-3: IRMA – Collateral Giver (RR>0)

Calculation method

The amount of repo interest for each contract is equal to the difference between the

forward leg countervalue (repurchase price) and the spot leg countervalue.

Therefore, the IRMA margin calculated for each contract for the Collateral Giver, equals to

the repo interest, will be calculated as follows:

𝐼𝑅𝑀𝐴 (𝐶𝐺) = 𝑓𝑤𝑑 𝐶𝑇𝑉 – 𝑠𝑝𝑜𝑡 𝐶𝑇𝑉

Example 1

Spot CTV: 100.000.000

Fwd CTV: 100.003.750

Repo Rate: 0,45%

ISD Spot: 24/07/2015

ISD Fwd: 27/07/2015

IRMA - Collateral Giver = 100.003.750 – 100.000.000 = 3.750

X-MAR Manual

2.2.2. IRMA - Collateral Receiver

In the event of a settlement failure due to a lack cash, the contract will be subject to an

early termination by debiting the Collateral Receiver (in malis) with a penalty (a cash

amount commensurate to the refinancing cost).


The IRMA margins payed by the buyer are calculated by the first Margin calculation


the spot leg.

Figure 2-4: IRMA – Collateral Receiver (RR>0)

Calculation method

In the event of a settlement failure due to a lack of cash, it is assumed that the Collateral

Giver will resort to Central Bank lending facility.

More specifically, it is assumed that the participant in bonis will make use of: (a) the ECB’s

Marginal lending facility (MLF) on day t when fail occurs and then (b) the Main Refinancing

Operation (MRO) 2.

2 For IRMA/penalty calculation, such rates are assumed constant and equal to those in force at the trade

date.

X-MAR Manual

The IRMA margin, proportioned to the refinancing cost and to the amount of the loan

traded, will thus be calculated as a sum of the following:

a) the interest rate on the Eurosystem's marginal lending facility (MLF) for the day

corresponding to the Spot settlement date, and;

b) the interest rate on the Eurosystem's main refinancing operations (MRO) for each

day comprised between the day after the Spot settlement date and the day

preceding the Forward settlement date.

Mathematically:

𝐼𝑅𝑀𝐴 (𝐶𝑅) = 𝑆𝑝𝑜𝑡 𝐶𝑇𝑉 ∗ 𝑟𝑀𝐿𝐹 ∗1

360+ 𝑆𝑝𝑜𝑡 𝐶𝑇𝑉 ∗ 𝑟𝑀𝑅𝑂 ∗ [

𝐼𝑆𝐷 𝐹𝐿 − 𝐼𝑆𝐷 𝑆𝐿 − 1

360]

Example 2

Spot CTV: 100.000.000

Fwd CTV: 100.003.750

Repo Rate: 0,45%

ISD Spot: 24/07/2015

ISD Fwd: 27/07/2015

MLF: 0,30%

MRO: 0,05%

IRMA - Collateral Receiver = 100.000.000 [(0,3% + 0,05%*2)/360] = 1.111,11

2.3. Calculation of IRMA Margins with negative rate

In a repo transaction with negative rate, the Collateral Receiver (Cash Giver) pays repo

interests to the Collateral Receiver (Cash taker). It follows that the forward leg

countervalue is lower than the spot leg countervalue.

X-MAR Manual

2.3.1. IRMA - Collateral Receiver

In the event of a settlement failure due to a lack of cash, the contract will be subject to an

early termination by debiting the Collateral Receiver (in malis) with a penalty (equal to the

repo interest agreed) for the benefit of the Collateral Giver (in bonis).

To cope with this risk, the Collateral Receiver is required to pay an IRMA margins equals

to the repo interest agreed in the contract.


The IRMA margins payed by the buyer are calculated by the first Margin calculation


the interests.

Figure 2-5: IRMA –Collateral Receiver (RR<0)

Calculation method

In the event of a settlement failure due to a lack of cash, repo interests payed by the

Collateral Receiver to the Giver are calculated on the traded amount.

X-MAR Manual

Therefore, the IRMA margin calculated for each contract traded by the Collateral Receiver,

equals to the repo interest, will be calculated as the difference between the forward leg

countervalue (repurchase price) and the spot leg countervalue as follows:

𝐼𝑅𝑀𝐴 (𝐶𝑅) = 𝑎𝑏𝑠 (𝐶𝑇𝑉 𝑇𝑒𝑟𝑚𝑖𝑛𝑒 – 𝐶𝑇𝑉 𝑃𝑟𝑜𝑛𝑡𝑖)

Example 3

Spot CTV: 100.000.000

Fwd CTV: 99.998.583,33

Repo Rate: -0,17%

ISD Spot: 24/07/2015

ISD Fwd: 27/07/2015

IRMA - Collateral Receiver = |99.998.583,33– 100.000.000| =| - 1.416,67| = 1.416,67

2.3.2. IRMA - Collateral Giver

In case of unsettled spot leg due to a lack of securities, the penalty charged to Collateral

Giver will be proportionate to the Eurosystem deposit facility interest rate (supposed

negative). It is assumed indeed that the Collateral Receiver (Cash Giver) will be forced to

deposit cash to Central Bank for a period equals to the original maturity of the repo.


The IRMA margins payed by the seller are calculated by the first Margin calculation

(intraday or end-of-the-day) following the trade date and up to the effective liquidation of

the corresponding penalty charged to the Collateral Giver.

The above penalty will be settled during the Daily Settlement:

X-MAR Manual

the day after the effective settlement date of the Forward Leg, in case of partial or

total settlement of the spot leg, but over the Spot settlement date;

the day after the end of validity date of the Forward Leg, in case of settlement

failure of the Forward leg;

the day after the Forward settlement date, in case of total settlement failure of the

Spot leg.

Figure 2-6: IRMA –Collateral Giver (RR<0)

Calculation method

As represented in Figure 2-6 the amount of IRMA depends on the status of the spot leg

and varies accordingly. Three cases can be identified:

1) Trade date ≤ t < ISD Spot3:

Between the trade date and the ISD spot the IRMA paid by the Collateral Giver are

calculated on the entire amount negotiated (not yet being known the outcome of the spot

3 Intraday margins calculated in t = ISD spot fall within this case if the spot leg had not yet settled by

calculation time.

X-MAR Manual

leg settlement):

𝐼𝑅𝑀𝐴 (𝐶𝐺) = 𝐶𝑇𝑉 𝑃𝑟𝑜𝑛𝑡𝑖 ∗ |𝑇𝐷| ∗ [𝐼𝑆𝐷 𝐹𝐿 − 𝐼𝑆𝐷 𝑆𝐿

360]

where |TD| represents the absolute value of ECB deposit facility interest rate in force at

trade date4.

In case of total settlement of the spot leg at ISD Spot, the IRMA charged to the Collateral

Giver will no longer be calculated.

Example 4

We are between the trade date and the ISD spot (t = 28/07/2015)

Spot CTV: 100.000.000

ECB deposit rate: -0,20%

Trade date: 27/07/2015

ISD Spot: 29/07/2015

ISD Fwd: 03/08/2015

IRMA - Collateral Giver = 100.000.000 * |-0,20%| * 5/360 =| - 2.777,78| = 2.777,78

Margin date (t) Spot CTV Repo rate Duration IRMA CG

27-jul 100.000.000 0,20% 5

2.777,78

28-jul 2.777,78

2) ISD Spot ≤ t ≤ effective settlement date (t ≤ ISD FL -1):

Whereas spot leg is not yet completely settled at the end of ISD SL, IRMA due by the

Collateral Giver are calculated on the unsettled amount for each day comprised between

ISD Spot and the effective settlement of the forward leg.

Unlike case 1) the IRMA will be determined as cumulated daily IRMA calculated on each

day of fail and a projection of future IRMA, assuming that the unsettled amount remains

unchanged until the day before the ISD FL. In mathematical terms:

4 The penalty (and consequently the IRMA) considers that rate invariable and equal to that in force at the

trade date.

X-MAR Manual

𝐼𝑅𝑀𝐴 (𝐶𝐺) = ∑ (𝐶𝑇𝑉 𝑠𝑝𝑜𝑡 𝑢𝑛𝑠𝑒𝑡𝑡𝑙𝑒𝑑𝑖

𝒕

𝒊=𝑰𝑺𝑫 𝑺𝑳

∗ |𝑇𝐷| ∗1

360) + 𝐶𝑇𝑉 𝑠𝑝𝑜𝑡 𝑢𝑛𝑠𝑒𝑡𝑡𝑙𝑒𝑑𝑡 ∗ |𝑇𝐷| ∗ [

𝐼𝑆𝐷 𝐹𝐿 − (𝑡 + 1)

360]

𝑤ℎ𝑒𝑟𝑒 𝐼𝑆𝐷 𝑆𝐿 ≤ 𝑡 ≥ 𝐼𝑆𝐷 𝐹𝐿 − 1

where:

CTV spot unsettled is the difference between the traded amount and the settled

amount for the day t;

TD is the ECB deposit rate in force at the trade date.

The first term is the cumulative daily IRMA for each day of fail between ISD Spot and the

margin calculation t; the second is the projection of IRMA for the days after t and up to the

day preceding ISD FL.

Example 5

We are between the ISD Spot and the day preceding ISD forward (t = 31/07/2015)

CTV Spot: 100.000.000

Settled amount in t: 85.000.000

Unsettled amount in t: 15.000.000

ECB deposit rate: -0,20%

Trade date: 27/07/2015

ISD Spot: 29/07/2015

ISD Fwd: 03/08/2015

A B C D E F G H I

Margin date (t)

Unsettled amount

Repo rate dd (1) dd (2) IRMA (1) accrued IRMA (1)

IRMA projection (2)

IRMA CG

27-jul 100.000.000 0,20% 5

2.777,78

28-jul 100.000.000 0,20% 5

2.777,78

29-jul 100.000.000 0,20% 1 4 555,56 555,56 2.222,22 2.777,78

30-jul 100.000.000 0,20% 1 3 555,56 1.111,11 1.666,67 2.777,78

31-jul 15.000.000 0,20% 1 2 83,33 1.194,44 166,67 1.361,11

01-aug 15.000.000 0,20% 1 1 83,33 1.277,78 83,33 1.361,11

02-aug 15.000.000 0,20% 1 0 83,33 1.361,11 - 1.361,11

X-MAR Manual

3) ISD FL ≤ t ≤ FV FL

If at the end of the ISD term the contract and consequently the penalty charged to the

Collateral Giver have not yet settled due to lack of securities, IRMA will be calculated

until the effective settlement of the penalty

The amount will correspond to the IRMA calculated in t=ISD FL-1 (column I of the table

below) or likewise to the sum of daily IRMA calculated between ISD SL e ISD FL-1

(column F ).

Example 6

A B C D E F G H I

Margin date (t)

Unsettled amount

Repo rate dd (1) dd (2) Daily IRMA

(1) accrued IRMA (1)

IRMA projection (2)

IRMA CG

27-jul 100.000.000 0,20% 5

2.777,78

28-jul 100.000.000 0,20% 5

2.777,78

29-jul 100.000.000 0,20% 1 4 555,56 555,56 2.222,22 2.777,78

30-jul 100.000.000 0,20% 1 3 555,56 1.111,11 1.666,67 2.777,78

31-jul 15.000.000 0,20% 1 2 83,33 1.194,44 166,67 1.361,11

01-aug 15.000.000 0,20% 1 1 83,33 1.277,78 83,33 1.361,11

02-aug 15.000.000 0,20% 1 0 83,33 1.361,11 - 1.361,11

03-aug 15.000.000 0,20% 0 0 - 1.361,11 - 1.361,11

… 15.000.000 0,20% 0

- 1.361,11

1.361,11

FV FL 15.000.000 0,20% 0 0 - 1.361,11

1.361,11

X-MAR Manual

3. Initial Margins

3.1.1. Ordinary Initial Margins

The Margins Initials are designed to evaluate the maximum possible loss in the event of

closure of the positions in most unfavourable scenario of prices / rates movements . The

amount of the Initial Margins is proportional to the haircuts provided set by CC&G for each

security deposited as collateral.


Initial Margins are calculated starting from the effective settlement of spot leg up to the

effective Settlement of the forward leg (ISD term or FV FL).

Figure 3-1: Ordinary Initial Margins

Calculation method

When spot leg settles, the Collateral Receiver delivers a cash amount equal to X to the

Collateral Giver who simultaneously provide the Receiver with an equivalent countervalue

X-MAR Manual

of securities equal to X + H, where H represent the haircut countervalue applied5. In order

to ensure a proper risk management, Collateral Receiver will be request to pay an amount

of Initial Margin equal to twice the Haircut applied (2H).

𝑂𝑟𝑑𝑖𝑛𝑎𝑟𝑖 𝐼𝑛𝑖𝑡𝑖𝑎𝑙 𝑀𝑎𝑟𝑔𝑖𝑛 = 2 ∗ 𝐻𝑎𝑖𝑟𝑐𝑢𝑡 = 2 ∗ (𝐶𝑇𝑉 𝑚𝑒𝑟𝑐𝑎𝑡𝑜 − 𝐶𝑇𝑉 𝑔𝑎𝑟𝑎𝑛𝑧𝑖𝑎)

where the collateral value is calculated as:

𝐶𝑜𝑙𝑙𝑎𝑡𝑒𝑟𝑎𝑙 𝑣𝑎𝑙𝑢𝑒 = [𝑄𝑢𝑎𝑛𝑡𝑖𝑡à × (𝑃𝑟𝑒𝑧𝑧𝑜 + 𝑟𝑎𝑡𝑒𝑜) × 𝑉𝑎𝑙𝑜𝑟𝑖𝑠𝑎𝑡𝑖𝑜𝑛 𝑟𝑎𝑡𝑖𝑜

(1 + 𝐻𝑎𝑖𝑟𝑐𝑢𝑡)] /100

The valorisation ratio is equal to the product of pool factor and the indexing coefficient (for

inflation-linked bonds).

Esempio 7

CTV Spot: 100.000,00

ISIN deposited: XS0000123456

Quantity:: 100.000

Price : 104,00

Accrual: 1,00

Valorisation ratio 1,00

Haircut: 5,00%

Collateral value : 100.000,00

Haircut (value) : 5.000,00

Ordinary Initial Margins = 2 x Haircut = 10.000,00

3.1.2. Initial margins on fail positions

Fail positions due to lack of securities on the forward leg - for the counterparty in malis -

are margined with the same methodology described above, keeping these positions

segregated from the ordinary ones and applying, to the fail positions only, an increasing

percentage6 on margins (PM) for each day of fail (the maximum number of days is equal to

the difference between the FV FL and ISD FL).

5 For the sake of simplicity, the interposition of CC&G is omitted.

6 Such percentages are reported on CC&G’s website.

X-MAR Manual

𝐼𝑛𝑖𝑡𝑖𝑎𝑙 𝑚𝑎𝑟𝑔𝑖𝑛𝑠 𝑜𝑛 𝑓𝑎𝑖𝑙 = 𝐼𝑛𝑖𝑡𝑖𝑎𝑙 𝑚𝑎𝑟𝑔𝑖𝑛𝑠 ∗ [1 + (𝑃𝑀 ∗ 𝑛𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑑𝑎𝑦𝑠 𝑜𝑓 𝑓𝑎𝑖𝑙)]

In case of fail due to lack of securities at the ISD FL, the Collateral Receiver can return the

securities until the day of the end of validity. Margins in fail Initials are no longer calculated

once the securities have been delivered.

Figure 3-2: Initial Margin on fails: Effective settlement after ISD FL

4. Mark-to-Market Margins

Mark to Market Margins aim at covering any gap between the collateral value and the

bilateral exposure.

In order to ensure the alignment of positions at current market values, the X-COM system

revaluates collateral both intraday and end of day and compare the value of the

guarantees with the amount of bilateral exposure. Whereas the new value of the securities

is lower than the bilateral exposure the system send a request to the Collateral Giver of

securities integration (ACS - Automatic Search Collateral). If the guarantee amount is still

insufficient to cover the amount of the bilateral exposures, CC&G will require the Collateral

Giver a Mark-to-Market Margin after a certain interval of time (cut-off) from the ACS

X-MAR Manual

generation in order to cover the difference.


The calculation of Mark-to- Market Margins starts from the effective settlement of the Spot

Leg up to the ISD FL.

Figure 4-1: Mark-to-Market Margin

Calculation method

Mark-to-Market Margins are calculated as the difference between the collateral value and

the amount settled for the front Leg7.

𝑀𝑎𝑟𝑔𝑖𝑛𝑖 𝑑𝑖 𝑀𝑎𝑟𝑘 − 𝑡𝑜 − 𝑀𝑎𝑟𝑘𝑒𝑡 = 𝑎𝑏𝑠 [𝑚𝑖𝑛 (𝐶𝑜𝑙𝑙𝑎𝑡𝑒𝑟𝑎𝑙 𝑣𝑎𝑙𝑢𝑒 − 𝑆𝑒𝑡𝑡𝑙𝑒𝑑 𝐴𝑚𝑜𝑢𝑛𝑡; 0)]

Example 8

CTV Spot: 100.000,00

7 After reaching the end of validity of the SL, if the repo is not fully settled, the amount of the forward leg will

be cut down accordingly and set equal to the Settled Amount.

X-MAR Manual

Settled Amount: 100.000,00

ISIN deposited: XS0000123456

Quantity: 100.000

Price : 100,22

Haircut: 5,00%

Collateral value : 96.400,00

Haircut (value) : 4.820,00

Ordinary Initial Margins= 2 x Haircut = 9.640,00

Mark-to-Market Margins= |min (96.400,00 – 100.000,00; 0)|= 3.600,00

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