| ID | Datatype |
|---|---|
| 1644 | int |
| ID | Name | Value | Description | Supported | Added | EP | Updated | EP | Deprecated | EP |
|---|---|---|---|---|---|---|---|---|---|---|
| 1644001 | AdditionalMargin | 1 | SYNOPSIS:
Additional Margin
ELABORATION: Component of the total margin calculation which allows the CCP to include amounts generated outside of the Margin Deficit. Additional risk charges collected when a firm is placed on higher than normal surveillance. Additional margin serves to cover the additional liquidation costs that potentially could be incurred. Such possible close-out costs could arise if, based on the current market value of a portfolio, the worst case loss were to occur within a 24-hour period. It is used for options (also options on futures) and non-spread futures positions, bonds and equity trades. For bonds and equity trades, the additional margin is calculated for security positions but not for the corresponding cash positions. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644002 | AdjustedMargin | 2 | SYNOPSIS:
Adjusted Margin
ELABORATION: Unadjusted Margin can be modified to become an Adjusted Margin by assigning a specific collateral to it or by applying an exchange rate. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644003 | UnadjustedMargin | 3 | SYNOPSIS:
Unadjusted Margin
ELABORATION: Calculated by adding up the options Premium Margin, the current Liquidating Margin, the Futures Spread Margin and the Additional Margin on account and currency level. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644004 | BinaryAddOnAmount | 4 | SYNOPSIS:
Binary Add-On Amount
ELABORATION: Requirement generated from positions in Binary Options which are considered fully margined. Margin for an individual contract in this category represents the total amount that would be paid upon delivery of a contract should it expire in-the-money. This amount is included as a component of Additional Margin in the Total Margin calculation. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644005 | CashBalanceAmount | 5 | SYNOPSIS:
Cash Balance Amount
ELABORATION: Information about cash balance posted to the clearing house to cover the current margin requirement. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644006 | ConcentrationMargin | 6 | SYNOPSIS:
Concentration Margin
ELABORATION: Reflects a riskier portfolio concentration when a set of closely related products is held. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644007 | CoreMargin | 7 | SYNOPSIS:
Core Margin
ELABORATION: Specific basic requirement of a position. Core margin is equal to Initial Margin plus a percentage of the Variation Margin. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644008 | DeliveryMargin | 8 | SYNOPSIS:
Delivery Margin
ELABORATION: Margin amount calculated between the Last Trade Date or Options Exercise Date and the Delivery or Settlement Date. Can also represent a commodities or energy delivery. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644009 | DiscretionaryMargin | 9 | SYNOPSIS:
Discretionary Margin
ELABORATION: Unspecific margin amount added by the risk manager, also called Increase Coverage Amount. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644010 | FuturesSpreadMargin | 10 | SYNOPSIS:
Futures Spread Margin
ELABORATION: Long and short positions of futures with different expiration dates can be offset against each other and are called “spreads”. The remaining risk stems from the difference in expiration dates which does not provide a perfect price correlation. The purpose of Futures Spread Margin is to cover this risk until the next trading day. This kind of margin is levied in order to cover those risks associated with a futures spread which could arise between today and tomorrow. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644011 | InitialMargin | 11 | SYNOPSIS:
Initial Margin
ELABORATION: The initial amount required to cover the position. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644012 | LiquidatingMargin | 12 | SYNOPSIS:
Liquidating Margin
ELABORATION: Calculated for cash, bond and equity positions and is equal to the profits and losses in such positions at the time of calculation. This margin protects the CCP if it is required to close out the position at the current/EOD price. The liquidating margin (also called Current Liquidating Margin or Net Liquidating Margin) is paid by the buyer or the seller of the bonds. This margin covers losses that would occur if a position were to be liquidated today. The liquidating margin is adjusted daily similar to premium margin. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644013 | MarginCallAmount | 13 | SYNOPSIS:
Margin Call Amount
ELABORATION: If the collateral that has been deposited is no longer sufficient, meaning a lack of coverage exists, then the market participant will be called upon to provide additional cash as collateral. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644014 | MarginDeficitAmount | 14 | SYNOPSIS:
Margin Deficit Amount (Shortfall)
ELABORATION: Base margin risk charge. This amount represents anticipated losses should the value of a portfolio (all positions in the account) fall below predefined level of Historical Value-at-Risk confidence. Also called Expected Shortfall Amount. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644015 | MarginExcessAmount | 15 | SYNOPSIS:
Margin Excess Amount (Surplus)
ELABORATION: Excess long premium value which is generated when long premium value exceeds the sum of any short premium debit requirement and the account's risk charges. Also called Expected Surplus Amount or Margin Credit Amount. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644016 | OptionPremiumAmount | 16 | SYNOPSIS:
Option Premium Amount
ELABORATION: Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644017 | PremiumMargin | 17 | SYNOPSIS:
Premium Margin
ELABORATION: Premium margin must be deposited by the seller of a traditional options position. It remains effective until the exercise or expiration of the option, and covers the potential costs of a close-out (liquidation) of the position of the seller at the settlement price. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644018 | ReserveMargin | 18 | SYNOPSIS:
Reserve Margin
ELABORATION: Reserve margin provides a way to reflect the inflated risk of a position. Reserve margin is equal to a percentage of the variation margin. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644019 | SecurityCollateralAmount | 19 | SYNOPSIS:
Security Collateral Amount
ELABORATION: Information about the security collateral posted to the clearing house to cover the current margin requirement. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644020 | StressTestAddOnAmount | 20 | SYNOPSIS:
Stress Test Add-On Amount
ELABORATION: Amount in addition to Margin Deficit in the Risk component of the margin calculation. This charge is based on tests which incorporate changes to distributional and confidence level assumptions to evaluate exposure to security concentration and changes in dependence structure; a predetermined percentage of the calculated exposure is collateralized as this charge. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644021 | SuperMargin | 21 | SYNOPSIS:
Super Margin
ELABORATION: Additional risk charge applied to predetermined Cross-Margin accounts. The charge is based on the account's level of Margin Deficit. This amount is included as a component of Additional Margin in the Total Margin calculation. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644022 | TotalMargin | 22 | SYNOPSIS:
Total Margin
ELABORATION: Sum of all margin amounts at value date. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644023 | VariationMargin | 23 | SYNOPSIS:
Variation Margin
ELABORATION: Variation margin (also called Contingent Variation Margin or Maintenance Margin) is the daily Profit and Loss (P&L) on Open Positions for the given trading date. The current price is compared to the previous day's price. Variation margin (a daily offsetting of profits and losses) occurs as a result of the mark-to-market procedure used for futures and options on futures. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644024 | SecondaryVariationMargin | 24 | SYNOPSIS:
Secondary Variation Margin
ELABORATION: Variation margin on Option Positions that is calculated based on the market movement. This will be used by CCPs wanting to report the variation for Options and Futures separately. | ✓ | FIX.5.0SP2 | 102 | ||||
| 1644025 | RolledUpMarginDeficit | 25 | SYNOPSIS:
Rolled up margin deficit
| ✓ | FIX.5.0SP2 | 117 | ||||
| 1644026 | SpreadResponseMargin | 26 | SYNOPSIS:
Spread response margin
ELABORATION: Risk factor component associated with spread moves, curve shape changes and recovery rates. | ✓ | FIX.5.0SP2 | 162 | ||||
| 1644027 | SystemicRiskMargin | 27 | SYNOPSIS:
Systemic risk margin
ELABORATION: Risk factor component to capture parallel shift of credit spreads. | ✓ | FIX.5.0SP2 | 162 | ||||
| 1644028 | CurveRiskMargin | 28 | SYNOPSIS:
Curve risk margin
ELABORATION: Risk factor captures curve shifts based on portfolio. | ✓ | FIX.5.0SP2 | 162 | ||||
| 1644029 | IndexSpreadRiskMargin | 29 | SYNOPSIS:
Index spread risk margin
ELABORATION: Risk factor component associated with risks due to widening/tightening spreads of CDS indices relative to each other. | ✓ | FIX.5.0SP2 | 162 | ||||
| 1644030 | SectorRiskMargin | 30 | SYNOPSIS:
Sector risk margin
ELABORATION: Risk factor component to capture sector risk. | ✓ | FIX.5.0SP2 | 162 | ||||
| 1644031 | JumpToDefaultRiskMargin | 31 | SYNOPSIS:
Jump-to-default risk margin
ELABORATION: Risk factor component to capture extreme widening of credit spreads of a reference entity. Also known as Idiosyncratic Risk. | ✓ | FIX.5.0SP2 | 162 | ||||
| 1644032 | BasisRiskMargin | 32 | SYNOPSIS:
Basis risk margin
ELABORATION: Risk factor component to capture basis risk between index and index constituent reference entities. | ✓ | FIX.5.0SP2 | 162 | ||||
| 1644033 | InterestRateRiskMargin | 33 | SYNOPSIS:
Interest rate risk margin
ELABORATION: Risk factor component associated with parallel shift movements in interest rates. | ✓ | FIX.5.0SP2 | 162 | ||||
| 1644034 | JumpToHealthRiskMargin | 34 | SYNOPSIS:
Jump-to-health risk margin
ELABORATION: Risk factor component to capture extreme narrowing of credit spreads of a reference entity. Also known as Idiosyncratic Risk. | ✓ | FIX.5.0SP2 | 162 | ||||
| 1644035 | OtherRiskMargin | 35 | SYNOPSIS:
Other risk margin
ELABORATION: Any other risk factors include in the Margin Model. | ✓ | FIX.5.0SP2 | 162 |