What means segregated margin call and non-segregated margin call in the example. Why it is calculated that way? Thank you.



1 Answer 1


Regulatory requirements in the US require the Initial Margin (IM) to be held in a segregated account, so the calculations are describing the associated collateral flows. Essentially the amount of segregated IM required to be posted is max(0, calculated IM - threshold) where threshold is set by the regulators (currently 50mm I believe). The actual amount of Calculated IM is calculated by a bank’s internal models.

  • $\begingroup$ Thank you for your reply. But why putting IM in a segregation account will alter the margin call calculation when compared with non-segregated account? Thank you. $\endgroup$
    – Tom Ho
    Commented Dec 11, 2022 at 3:16
  • $\begingroup$ I think because non segregated IM can be commingled with VM so the total margin call for unsegregated funds needs to take into account only the non-seg IM plus the VM. $\endgroup$
    – dm63
    Commented Dec 11, 2022 at 4:04

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