Take advantage of the portfolio-based margin model with risk netting benefits across product types and positions

The portfolio-based margin (PBM) model is an alternative to the standard margin model offered by Saxo to wholesale clients.

Instead of applying a predefined margin requirement to each position or strategy, the portfolio-based model calculates the overall risk level of a portfolio based on individual risk factors. The model then applies a margin requirement to the total exposure in any given underlying asset.

How do I enable portfolio-based margin?

Instrument types covered:

Stocks
Stock options
CFDs
Futures
Futures options
Index options

Standard margin model
This model recognises a set number of simple strategies combining up to two different positions in any given underlying asset. Complex combinations of positions across multiple asset classes and option legs are not recognised and do not receive netting benefits.
Portfolio-based margin model
This model calculates risk scenarios on the combined exposure to any given underlying risk factor. It then applies margin requirements based on the overall exposure in any given underlying asset.

Who will benefit from portfolio-based margin?

As a wholesale client, you might benefit from using the portfolio-based margin (PBM) model if you:

Combine many different positions through a large spectrum of instrument types;

Run option strategies that are not currently recognised by the standard margin model;

Trade multi-leg option strategies, such as butterflies and condors;

Combine CFDs and options with same underlying risk;

Trade calendar spreads on index options and CFDs to achieve netting and margin reductions.

How does portfolio-based margin work?

The model creates a link between instruments based on the same underlying asset or “risk factor” (e.g. equity instruments such as Tesla, the S&P500 index or ETFs).

It recognises related underlying risk factors across instrument types and calculates the margin requirement by stressing all the positions in a risk factor and estimating the greatest possible loss on the combined exposure.