Skip Ribbon Commands
Skip to main content
Polski   English|
Sign In
Navigate Up

SPAN – calculating initial margin


The value of the initial deposit required to be paid by clients of clearing members may be determined using the SPAN® methodology using up-to-date risk parameters defined by KDPW_CCP. KDPW_CCP publishes a set of risk parameters at least once a day, or at the end of a stock exchange session.

KDPW_CCP SPAN® risk parameters
Parameter Value parameter                        
Confidence level 99%      
Liquidation period 2 days      
Observation window 10 years      
Volatility decaying All historical observations have equal weight      
Perturbation method Relative/additive scaled by square root of liquidation period      

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: 2019-05-24
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
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  
4/CF/2017 2017-12-15  
3/CF/2017 2017-09-14  
2/CF/2017 2017-06-14  
1/CF/2017 2017-03-17  
4/CF/2016 2016-12-16  
3/CF/2016 2016-09-15  
2/CF/2016 2016-06-16  
1/CF/2016 2016-03-17  
4/CF/2015 2015-12-17  
3/CF/2015 2015-09-18  
2/CF/2015 2015-06-18  
1/CF/2015 2015-03-23  
5/CF/2014 2014-12-19  

List of bonds and conversion rates for scheme of futures contracts on Treasury bonds
 – csv version of the file  * *
** Last message update: 2019-03-18