Are baskets permitted in portfolio margining?
Reduced margin is available for baskets; the margin requirement will be equal to the haircuts promulgated in SEA Rule 15c3-1, provided the capitalization requirements are met. The OCC’s TIMS risk model cannot accommodate convertible bonds, yet they are eligible products for the portfolio margin account. How should a firm calculate the appropriate requirement? (Updated 06/08) In order to calculate the requirement for convertible bonds, firms must utilize the P/L provided by TIMS for the underlying common stock, of which the requirement would be 15 percent. In addition, if there is a bond premium (market value of the bond less the value of the underlying stock if converted), the firm must add 15 percent of the bond premium to the requirement. The bond must also be readily convertible, i.e., within 90 calendar days and any cost to convert must be added to the requirement. For a convertible bond that is not readily convertible, firms may charge 15 percent of the market value of the convert
