Frequently-Asked Questions

What does “portfolio margining” mean?
Portfolio margining is a method that the exchange uses to calculate a participant’s requirements as regards his deposit margin, with due account for correlation between instruments. The simplest example is given below. If you have a position to buy in the current month and a position to sell a month later, then, according to the “gross” pattern, the deposit margin is equal to two deposit margin rates, whereas in the portfolio margining pattern the deposit margin requirements would be less than one rate. However, this perspective also implies switching to the guarantee-based system using guarantee (reserve) funds.

What does “VENP” mean?
VENP (Value Estimate of Open Positions) is the maximum possible loss from specific positions that may arise as a result of the most unfavorable course of events with respect to such positions:
– the price change within the current day (up to the price change limit) resulting in the greatest loss on such positions;
– failure to pay the loss (variational margin) on the following day;
– compulsory liquidation of positions at the prices resulting in the greatest loss (those closest to the price change limit).
VENP is determined on the basis of the positions in a given position account for each series of derivatives and price change limits.

What does “VLOP” mean?
VLOP (Value Limit of Open Positions) is the maximum permissible value of VENT. A Clearing Member’s VLOP is the maximum amount of the deposit margin that may be reserved against the Clearing Member’s positions, that is, the amount to which his positions may be opened. A Clearing Member establishes VLOP separately for each position account as well as the aggregate VLOP for all client accounts and for all accounts of that Clearing Member.

How is VLOP established?
A Clearing Member establishes VLOP with respect to his own trading accounts, those of his clients, and also for Trading Members to whom he provides settlement services. A Trading Member, in his turn, establishes the VLOP determined for him by the Clearing Member for his own trading accounts and those of his clients.
At the time that the trading session opens, a Clearing Member’s VLOP is established as equal to his deposit margin at the time.
How is VENP determined for a pair of opposite positions in the same position account in the course of trading?
The VENP for a pair of opposite positions in a position account will have a fixed value determined by the difference in the values of those positions.

What does “VENPplan” mean?
VENPplan is the maximum value of VENP that may be generated in case of the execution of all or some of the orders active at the time. The VENPplan may not exceed the VLOP. If the VENPplan exceeds the VLOP as a result of a Trader entering an order, should that order be taken into account, the order is not accepted by the Trading System.
How can one view the value of the limit (VLOP) assigned to a Section Member using the Workstation?
The amount of VLOP (Value Limit of Open Positions) assigned to a Section Member can be found by making the following inquiry from the Workstation:
for CMA Workstations –Tables menu – Limitations – By Groups;
for MICEX Trade FO Workstations –Tables menu – Limitations.

What does “T+1 day limitation” mean?
The parameter “VLOP for T+1” (or “Declared DM”) is established by a Clearing Member using the Workstation. With the help of this parameter, a Clearing Member can control his deposit margin and variational margin (to withdraw excessive funds from the market or transfer them to the deposit margin). This parameter is determined as the maximum amount that a Clearing Member considers reasonable to keep in the deposit margin account. That is, the funds not exceeding the value of the “VLOP for T+1” (“Declared DM”) parameter, together with the existing deposit margin, may be transferred from the balance in the derivatives market trading account to the deposit margin. If, as a result of settlements, the amount of a Clearing Member’s funds in the deposit margin exceeds the value of the “VLOP for T+1” parameter, the amount equal to the excess will be transferred to the Clearing Member’s trading account.