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MARGINS
The margin requirement will be calculated on a daily basis at the clearing account level. The objective of margining is to provide adequate cover for the event that HELEX is called to meet the obligations of a defaulting member. Collateral against margin requirements should be posted in the form of pledged deposits (Greek government bonds and foreign currency deposits will also be accepted in the future). Daily margin calls should be settled by posting additional pledged cash in the margin account. Any excess margin amounts will be released from the margin accounts.
RI.VA. Margin Requirement
This is calculated on the basis of the following data: total open positions, historical volatilities, daily mark-to-market. The RI.VA. margin is estimated between a percentage of the total outstanding position per clearing account, depending on the type of products and volatilities.
This should be held in a pledged account at all times.
The exact calculation of the daily margin requirement will be made through the RI.VA. (RIsk Valuation) model, based on the estimation of the worst possible change in the value of an open position due to price volatility of the underlying asset over a specified time period which is assumed to elapse before HELEX is able to close the position in the market. Accordingly, there are two major parameters for the RI.VA. calculation:
- The lead time, which is defined as the elapsed time between the moment of default declaration and the moment that HELEX closes the defaulting member's positions in the market.
- The historical volatility of the underlying price, scaled to the length of the above specified lead time.
Also, the RI.VA. model uses a number of built-in risk parameters, which enhance its ability to measure risks accurately and allow a wide range of analyses for risk management purposes:
- RI.VA. uses certain pricing models for different types of products: futures, stock-lending, stock-borrowing, options (Black-Scholes, binomial).
- It allows for correlation effects between homogeneous products and netting of contracts within the same underlying series.
- It offers the possibility for sensitivity analysis through user-defined stress test scenarios.
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Graphically, the RI.VA. model can be illustrated as follows: 
MEMBER GUARANTY
Each HELEX Clearing Member provides guarantees in favour of HELEX for the fulfilment of their obligations. HELEX is entitled to use the Guaranty provided by Clearing Members in order to satisfy payable claims against the members at any time it seems appropriate. The minimum Guaranty, for Direct Clearing Members is 500.000€ and for General Clearing Members is 3.000.000€. The assets that will be accepted as Guaranties are displayed in the following table:
| Asset Type |
Percentage on Market-to-Market Value |
| Deposits in Euro in a Margin Bank |
100% |
| Deposits in USD in a Margin Bank |
95,75% |
| Letters of credit on first demand |
100% |
| Short term bonds up to 3 years and bonds of variable intterest rate, irrespective of duration |
93% |
| Medium term bonds expiring in 3 to 9 years |
90% |
| Long term bonds expiring 9 years and beyond |
85% |
HELEX shall accept letters of credit provided by credit institutions lawfully operating in Greece. HELEX shall not accept letters of credit provided by credit institution for the fulfillment of its own obligations.
The highest bond valuation is made on the clean price of the bond as it is announced by the Electronic Trading System of Dematerialised Securities of the Bank of Greece (ETDS).
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