Margin calculation
Stock exchange members who take part as participating clearing members in the clearing system of CCP must deposit collateral with OeKB as the clearing bank for securing the clearing risk. The collateral requirements are calculated on the basis of the balance of open trades and risk factors (margin calculation).
Margin calculation for the cash market
Stock exchange members, who act as direct clearing members in the clearing process, deposit margins defining CCP Austria as beneficiary. The margin requirements are calculated on the basis of the balance of open trades and take the risk factors into account.
Risk factors:
| Bonds and certificates | 0.03000 |
| Securities of the segment "investmentfunds" | 0.05000 |
| Subscription rights and ETF's | 0.10000 |
| Warrants | 0.25000 |
For shares and participation certificates the SICS risk factors are calculated daily.
Automatic monitoring ensures that the value of the margin deposited corresponds to the calculated clearing risk. Thus, CCP. A guarantees the complete coverage of the current clearing risk without tying up liquidity unnecessarily.
Margin calculation for the derivatives market
Derivative market margins are calculated pursuant to the Rules on trading security / Margin Calculation.
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Percentile analysis
- Risk-free interest rate: The risk-free interest rate as mentioned in the rules for margin calculation corresponds to the principal refinancing rate (marginal lending rate) published by Oesterreichische Nationalbank (OeNB), but at least 5% per year.
Margin Group Parameters
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