Fixed Income Margin

Variation Margin calculation for bonds market uses the same formula as formula as the equity market. The difference between the calculations is the price components calculation gathered from the following:

1. Intraday Session (09.00 - 16.00)
  Last market price calculation is done every time a price update from IBPA occurs
2. Post Trade Session (16.30 - 17.00)
  Last market price calculation is done for all bond products based on IBPA closing price on 16.30 on that day and the price will become the Mark to Market calculation basis for the following day

The initial margin calculation for bond market is as follows: