Introduction of separate risk parameters for intraday margins.
Amendments to the KDPW_CCP Detailed Clearing Rules concerning the rules of calculating minimum amounts charged by participants to clients placing orders for derivatives trades take effect as of 5 June 2013.
The parameter definitions will include new intraday parameters used to calculate margins for positions which are opened and closed within the same day.
The structures of the following messages provided to participants by KDPW_CCP via the electronic communication system ESDI will be modified:
KM.ZRS - SPAN algorithm risk parameters message, and
KM_ZAR - margins and other risk parameters message.
Details of the modifications are presented in Resolutions No. 13/13 and No. 14/13 of the Management Board of KDPW_CCP dated 22 and 23 May 2013.
The new parameters are optional. The decision whether to use them is with KDPW_CCP participants.