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 *