MarginOutline of IRS Margin
Outline of IRS Margin
Initial Margin
- An amount to cover losses expected to arise as a result of variation of yield curves until completion of settlement of positions of defaulting participant upon occurrence of default of Clearing Participant (to be calculated using yield curves as of 15:02 with respect to positions of each IRS Clearing Particicpant as of 16:00).
Variation Margin
- With respect to positions of each IRS Clearing Participant as of 16:00, an amount to cover variation of NPV obtained using yield curves as of 15:02 from NPV obtained using yield curves as of 15:02 on previous business day.
Intraday Margin
- With respect to positions of each IRS Clearing Participant as of 12:00, an amount equal to the sum of Initial Margin equivalent recalculated using yield curves as of 11:02 and Variation Margin equivalent recalculated using the same yield curves (i.e., variation of NPV from the calculation of Variation Margin on previous day to the time of calculation of such Intraday Margin).
