BME CLEARING has its own parametric model for Initial Margin calculation. It is called MEFFCOM2, which is similar to an SPAN model, quite an standard in the industry.
This model is used for Initial Margin calculation in the Financial Derivatives (for all contracts except xRolling FX), Cash Equities, Energy and Fixed Income Segments.
The model evaluates the worst possible loss of a portfolio considering several theoretical scenarios that can be increased by large positions (concentration risk).
The model allows offsetting risks bilaterally between different financial instruments (margin classes) as long as it has been verified the two instruments in question are sufficiently correlated (average correlation equal or greater than 70%).
In the case of the Cash Equities and Fixed Income Segments, MEFFCOM2 model has been adapted in order to deal with several position balances and several settlement scenarios (Intended Settlement Dates or ISDs).
For further detail about the Calculation of the Initial Margin using MEFFCOM2, please check our “Procedure for Margin Calculation" Circular of the relevant Segment.