Daily Margin Calculation Sample Clauses

Daily Margin Calculation. Under the Existing Agreement, the cross-margining calculation is not based upon FICC’s VaR model. Rather, FICC and CME each separately hold and manage its own positions and collateral and independently determine the amount of margin that it would make available for cross-margining (after they each first conduct their own internal offsets). Once each Business Day, FICC and CME exchange files with respect to their members’ positions that are eligible for cross-margining. FICC computes the amount by which a member’s margin requirement can be reduced, by comparing that member’s Eligible Positions and related margin requirements at GSD against those at CME. FICC and CME may then each reduce the amount of collateral that they collect to reflect the offsets between the Cross-Margining Participant’s positions at FICC and its (or its Affiliate’s) positions at CME.16 Currently, the calculation of the offsets each Clearing Organization applies relies upon a methodology for the conversion of CME Eligible Products into equivalent GSD Treasury security products, as well as the use of minimum margin factors to measure interest rate exposure. Additionally, the Clearing Organizations limit the potential margin reductions from cross-margining. Specifically, they apply a Disallowance Factor to a given CME and GSD 16 See Section 5 of the Existing Agreement, “Calculation of the Cross-Margining Reduction,” supra note 4. Offset Class (an “Offset Class” being a grouping of securities by maturity).17 Based on these Disallowance Factors, margin offsets are determined for each Offset Class. The sum of these margin offsets provides the member’s Cross-Margining Reduction) at CME and at GSD.18