What It Means
ELM (Extreme Loss Margin) is a margin buffer charged on top of VaR Margin in the equity cash market, meant to cover genuinely extreme, tail-risk price moves that VaR's own model doesn't assume.
How It Works
It's a flat rate: 3.5% of a stock's value for regular equities, and 2% for broad-market index ETFs (not sector-specific ones). Unlike VaR margin, ELM is collected and adjusted in real time against a broker's total assets across all its clients — not calculated separately per client.