Members are requested to refer to the SPAN Risk Parameter File Format for the Commodity Derivatives Segment, attached herewith as Annexure.
ICCL currently uses the Standard Portfolio Analysis of Risk ("SPAN®") methodology for the purpose of real time risk management. The SPAN Risk Parameter Files may be used to calculate ICCL Initial Margin by uploading them in either PC-SPAN or a member’s proprietary systems. The ICCL SPAN Risk Parameter Files are updated at Beginning-of-Day, End-of-Day and at intervals not exceeding 2 hours during the trading hours.
The SPAN Risk Parameter Files for the Commodity Derivatives Segment are available on the website.
Additionally, ICCL has also made a tutorial available on its website to familiarize members with PC-SPAN and SPAN Risk Parameter Files, which may be accessed at the following web link:
http://www.icclindia.com/static/downloads/The_Standard_PortfolioAnalysis_of_Risk.pdf
In case of any assistance/clarification, please do not hesitate to contact us.
For and on behalf of Indian Clearing Corporation Ltd.
Piyush Chourasia
Chief Risk Officer & Head - Strategy
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Risk Department
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Email
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risk.iccl@icclindia.com
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Contact No:
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+91-22-22728759/5820/8811
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