TIMS Calculation, referencing the Theoretical Intermarket Margin System, is a sophisticated methodology utilized by clearinghouses, particularly for derivatives, to determine the margin requirements for a portfolio of related contracts. In institutional crypto derivatives clearing, its principles apply to robust risk-based margining.
Mechanism
This calculation employs a portfolio-based risk assessment approach, analyzing the potential price changes across a diverse range of futures and options contracts. It accounts for correlations and offsets between positions, netting risk where appropriate, to arrive at a single, aggregate margin requirement that reflects the overall risk of the entire portfolio, rather than summing individual contract risks.
Methodology
The strategic application of TIMS calculation aims to ensure sufficient collateral coverage against potential market movements while simultaneously optimizing capital efficiency for clearing members and their clients. By assessing systemic risk more holistically, this methodology reduces excessive margin calls compared to simpler gross margin systems, thereby promoting liquidity and stability within regulated crypto derivatives markets.
We use cookies to personalize content and marketing, and to analyze our traffic. This helps us maintain the quality of our free resources. manage your preferences below.
Detailed Cookie Preferences
This helps support our free resources through personalized marketing efforts and promotions.
Analytics cookies help us understand how visitors interact with our website, improving user experience and website performance.
Personalization cookies enable us to customize the content and features of our site based on your interactions, offering a more tailored experience.
