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SPAN – calculating initial margin


The value of margins in organised trading is determined under the SPAN® methodology using the current risk parameters defined by KDPW_CCP. The SPAN® methodology risk parameters are defined as follows:

KDPW_CCP calculates SPAN® model risk parameters as follows:
Parameter Value parameter                        
Confidence level 99% with the exception of VSR, parameters for classes of debt instruments, and classes of instruments with a history of prices smaller than the observation window, where the confidence level is 99.5%      
Liquidation period 2 days– cash instruments in liquidity class 1 and 2, debt instruments and derivative instruments
3 days – cash instruments in other liquidity classes
     
Observation window 10 years      
Weights equal (all historical observations have the same weights)      
Netting Limited under Article 27 (4) of Regulation (EU) No 153/2013 in the calculation of specific risk parameters and the inter-class credit for liquidity classes and the inter-class spread credit for index derivatives      

KDPW_CCP calculates risk parameters based on an analysis of one-day changes of relevant data/market parameters scaled with the root of the liquidation period. To limit the procyclicality of margins, KDPW_CCP follows the approach defined in Article 28(1c) of Regulation (EU) No 153/2013 and determines margins based on a 10-year lookback period.
KDPW_CCP publishes a set of risk parameters at least once a day, or at the end of a stock exchange session. The new set of risk parameters remains in force until it is replaced by a new set.

Risk parameter messages
Message / file structure Name Description Current risk parameter messages Pdf
 rrmmddKM.ZRS KM.ZRS SPAN algorithm risk parameter values  *
 rrmmddRPNJx_ZRS RPNJx_ZRS Instrument list, risk scenarios and other risk parameters (End of day)  - RISK PARAMETERS FILE  *
 rrmmddRPNJx_ZRS RPNJx_ZRS Instrument list, risk scenarios and other risk parameters (Intraday) - RISK PARAMETERS FILE  *
Margin calculation automation tools
 rrmmddLQ.ZRS rrmmddLQ.ZRS LQF file – Securities database used to generate the POSITION FILE for the SPAN application  *  
 PosFile PosFile POSITION FILE  
  Field mapping table for POSITION FILE and LQF file  

Collateral table

Collateral table *
* Last message update: 2019-07-17
The information is also provided in the ESDI system.

 List of bonds and conversion rates for a scheme of futures contracts on Treasury bonds
Message KM no. Date File
2/CF/2019 2019-06-19  
1/CF/2019 2019-03-15  
4/CF/2018 2018-12-20  
3/CF/2018 2018-09-20  
2/CF/2018 2018-06-14  
1/CF/2018 2018-03-15  

List of bonds and conversion rates for scheme of futures contracts on Treasury bonds
 – csv version of the file  * *
** Last message update: 2019-06-19