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Clearing 21 margin Calculator

LONDON, NEW YORK – November 21, 2013 – OpenGamma, creators of the first open-source analytics and risk management platform for the financial services industry, today announced a new margining platform for clearing members to support the initial margin calculation requirements of central counterparties (CCPs) on OTC swap transactions.

Governments and regulators are pushing for large structural changes to the OTC derivatives market, such as mandating the central clearing of transactions that have historically been settled bilaterally. This results in the new requirement for initial margin (IM) to be posted on all transactions. Combined with the need for both pre- and post-trade risk-measure-based credit limit checks, it is fueling the demand for much faster calculations of such risk measures. A common approach today is to rely on approximations or proxy measures instead of calculating these margins with a high degree of numerical precision - primarily due to technology constraints - but this is quickly becoming untenable.

“The swaps market is transitioning from one in which overnight batch jobs were the norm to one that requires trades to be cleared in seconds and margin to be posted intraday, ” said Kevin McPartland, Head of Market Structure Research at Greenwich Associates. “In order to provide safe and cost-effective access to clients in that marketplace, it is critical that FCMs manage the flow of margin in a timely and accurate way.”

The OpenGamma Platform for Margining provides a lightweight, low-latency solution that enables clearing members, such as Futures Commission Merchants (FCMs), to run complex margin calculations and stress tests on client accounts and new orders in milliseconds. The platform combines the real-time risk engine of the OpenGamma Platform with a comprehensive in-memory data management platform to support new critical client requests, and replication of the IM and variation margin (VM) calculation methodologies of many of the key CCPs.

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Popular Q&A

avatar
Scottrade initial margin?

What are the initial margin rates at scottrade?
Equities long over $5?
and equities short over $5?

Scottrade's initial margin is the same as all other brokerage firms in the U.S. since margin is set by Federal law and all firms must follow it
The initial margin requirement is $2,000, regardless of whether you are long or short. This means that you must have $2,000 in equity at all times in a margin account.
Only stocks selling above $5 a share are good for margin accounts, the margin requirement for stocks selling less than $5 is 100% of the purchase price. (many firms do not accept stocks selling below $5 in a margin account)

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