Portfolio Margin
Risk-based margin for entire portfolio
What is Portfolio Margin?
Portfolio Margin A margin methodology that calculates requirements based on the overall risk of the entire portfolio rather than individual positions. Portfolio margin uses theoretical pricing models to stress-test positions across various scenarios. This typically results in significantly lower margin requirements (40-70% less) for hedged portfolios compared to Reg T margin.
Complete Definition
A margin methodology that calculates requirements based on the overall risk of the entire portfolio rather than individual positions. Portfolio margin uses theoretical pricing models to stress-test positions across various scenarios. This typically results in significantly lower margin requirements (40-70% less) for hedged portfolios compared to Reg T margin.
Example
An iron condor on SPY requires $5,000 Reg T margin per spread but only $1,500 portfolio margin because the risk is defined and hedged.
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