In the margin calculations for MBSD, members are allowed to group aggregate accounts under the same legal entity into one or more portfolios, subject to certain restrictions and limitations. Required Fund Deposits are calculated based on the aggregate positions in each portfolio. This can potentially reduce Clearing Fund charges due to netting effect and diversification across positions held in a member’s different accounts, when combined in a portfolio.
Grouping accounts into a margin portfolio is subject to certain restrictions and limitations. For example, a dealer account and a broker account cannot be grouped into the same portfolio, even though both accounts are under the same legal entity. Additionally, members must make a single (“all or none”) election regarding whether to combine all similar (e.g., dealer or broker) accounts into a single portfolio, or to maintain all of the accounts separate for purposes of the Clearing Fund calculations.
If a member chooses to margin across aggregate accounts, meaning that the Required Fund Deposit is calculated on the net activity of all accounts belonging to a single Legal Entity, it must designate a primary aggregate as the “Deposit Aggregate Account” for reporting and Clearing Fund. Note that this does not impact Cash Settlement; Cash Settlement via NSS remains at the individual aggregate level.