SPAN® <br /> margin calculator - KDPW_CCP

SPAN®
margin calculator

As of 7 November 2023, KDPW_CCP S.A. makes available in the GUI application (as part of the KDPW_CCP core services) the SPAN® margin calculator. The calculator is accessed using secure technology on the terms and conditions set out in the Agreement on access to KDPW_CCP’s services via the GUI Application which is concluded by KDPW_CCP S.A. with each member. Users representing members who have signed the agreement will automatically get access to the SPAN® calculator application. Persons representing members who do not yet have access to the GUI application can get access by registering on the website https://www.kdpwccp.pl/en/ (after clicking the “Sign in” icon) and selecting the KDPW_CCP S.A. service. 

SPAN® Calculator:
  • is a tool available from KDPW_CCP S.A. through the GUI application which allows financial institutions with the status of clearing member to obtain illustrative information on the hypothetical value of margins calculated in accordance with the SPAN® methodology applied by KDPW_CCP S.A. and the risk parameters in force on a given day, which are part of the KDPW_CCP S.A. margin requirement; however, such information is only intended for internal use related to the operation of the clearing system;
  • provides margin calculation results which do not cover all components of the margin requirement for a given position, including the liquidity and concentration risk add-on and the wrong-way risk add-on, which may or may not significantly modify its value. Such add-ons require the consideration of additional risks associated with holding a position of a given size in a given financial instrument by a clearing member due to current market conditions;
  • uses a methodology that is not proprietary to KDPW_CCP S.A. It is owned by the Chicago Mercantile Exchange. SPAN® is a trademark registered by and may be used under licence from the Chicago Mercantile Exchange. The Chicago Mercantile Exchange accepts no liability in connection with the use of SPAN® by any person or third party. KDPW_CCP S.A. uses the methodology under the licence granted in connection with the agreement entered into by KDPW_CCP S.A. with the Chicago Mercantile Exchange. Accordingly, the use of SPAN® does not imply the granting of any rights to any person using the GUI application.

The information obtained through the SPAN® calculator is made available for financial institutions with the status of KDPW_CCP’s clearing member. It is for illustrative purposes only and is only intended for internal use related to the operation of the KDPW_CCP’s clearing system, and should not be relied upon as a basis for any action or omission for any purpose whatsoever. Although KDPW_CCP S.A. endeavours to ensure that the illustrative information obtained using the SPAN® calculator is up-to-date and correct, KDPW_CCP S.A. makes no representation, either explicit or implied, as to the completeness, accuracy, reliability, suitability or availability of such information and the calculator. 
KDPW_CCP S.A. accepts no liability for any loss or damage, including but not limited to indirect or consequential loss or damage, or for any loss or damage arising in connection with the use of the information obtained through the SPAN® calculator or in connection with the use of the SPAN® calculator (including in connection with its unavailability). KDPW_CCP S.A. endeavours to ensure the availability and efficient operation of the SPAN® calculator but accepts no liability in this respect. Consequently, the use of the SPAN® calculator (including the methodology contained therein) or any information based thereon is at the sole risk of the person using the GUI application.