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: 2022-07-01
|
|
|
|