Initial margin

The amount of initial margin is determined by product and is stated in the applicable announcement that KELER CCP publishes on its website. The objective of initial margin is to cover the potential change in the product price of at least two days, with a confidence level of at least 99%. KELER CCP determines the initial margin after the calculation of the VaR (Value at Risk), in line with the requirements stated in the applicable regulation. The parameters applied are as follows: minimum holding period of 2 days, confidence level of 99%, and look back period of at least 1 year. The thus calculated risk measure is supplemented with at least the buffer against procyclicality in line with the legal requirements. For futures securities with guaranteed physical delivery there is delivery month supplementary collateral also in the delivery cycle and the trading days before the delivery cycle.

The initial margin requirement to be met is calculated at portfolio level with the use of the SPAN® software developed in Chicago. When the portfolio level initial margin requirement is calculated, the margin requirement calculated based on the net open positions at the segregation level concerned and the related initial margin parameter is decreased with the spread discounts determined by KELER CCP (for products and/or settlement days). The methodology of initial margin determination, the use of the risk measure and the method of spread discount determination are detailed in the methodology document published.

The overview of the Standard Portfolio Analysis of Risk (SPAN) software can be found through CME website:

Related links: