SPAN Margin Parameter Files

Transcription

1 SPAN Margin Parameter Files Layout Guide ICE Clear Netherlands December 1, 2016 This material may not be reproduced or redistributed in whole or in part without the express, prior written consent of Intercontinental Exchange, Inc. Copyright Intercontinental Exchange, Inc All Rights Reserved.

2 Document history Version Date Responsible Description Risk Analyst Set-up Risk Analyst Added additional rows Version control Item Description Document name SPAN Margin Parameter Files Document type Guide Document owner Risk Version 1.1 Approval body MT Last approval date Approval/advice body [2] Last approval/advice date [2] Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 2

3 Contents 1 INTRODUCTION SCANNING RANGES AND TIERING INTER-MONTH SPREAD CHARGE RATES STRATEGY SPREAD CHARGE RATES INTER-COMMODITY SPREAD CREDIT RATES Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 3

4 1 Introduction ICE Clear Netherlands (ICNL) publishes SPAN margin parameter information in Comma Separated Value (CSV) format. The following document is a guide to information displayed in this format. SPAN margin parameters for all products cleared by ICNL are contained in the following files: a. Scanning ranges and tiering b. Inter-month spread rates c. Strategy spread rates d. Inter-commodity spread rates detailed In the following guide an example will be given to illustrate how the information is organized. For further information please questions to: ICEClearNetherlandsRisk@theice.com. Neither Intercontinental Exchange, Inc. nor any of its affiliates is the source of SPAN. The SPAN methodology was developed by Chicago Mercantile Exchange Inc. and is used by Intercontinental Exchange, Inc. and its affiliates to develop customized versions of SPAN. SPAN is a registered trademark of Chicago Mercantile Exchange Inc., used herein under license. Chicago Mercantile Exchange Inc. assumes no liability in connection with the use of SPAN by any person or entity. Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 4

5 2 Scanning Ranges and Tiering This file contains the margin requirements applicable to outright positions; information on the tiers that different expiries along the forward curve are grouped into and the discounts applied to the scanning ranges. Listed below are the column headings contained in this file together with a description on the information contained in each column: Column Column Heading Description A Effective Date Date the rate takes effect. The changes will be reflected in margin calls made on the following business day. B Exchange Code Cleared Market Code: T = TOM MTF C D Logical Commodity Code Physical Commodity Code The underlying product. For example AEX Index based products have logical commodity code AEX. Not applicable E Contract Name Name of contract F Currency Currency of contract. All ICNL cleared contracts are denominated in EUR. G New Scanning Range New scanning range that will take effect on the date shown in A. This is expressed as a per share value in the contract currency. H I J Previous Scanning Range New Applied Margin Previous Applied Margin Previous scanning range that was superseded. This is the new rate for each tier having taken into account the discount rate shown in column K. This is the previous rate for each tier. K Percentage Change Percentage change between columns I and J. L Tier Tier number. M New Discount The new discount rate for each tier that is applied to the new scanning range shown in column G, expressed as a percentage. N Previous Discount The previous discount rate for each tier that is applied to the previous scanning range shown in column H, expressed as a percentage. O Tier structure from The forward expiry that a tier starts from, with 1 being the front month. P Tier structure to The forward expiry a tier ends with. Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 5

6 Q Indicative Expiry - from The expiry month (or day for daily contracts) of the first contract within a particular tier. Please note that this expiry date will not always be accurate as it is only updated when the margin rates are updated. R Indicative Expiry - to The expiry month (or day for daily contracts) of the last contract within a particular tier. Please note that this expiry date will not always be accurate as it is only updated when the margin rates are updated. S New Volatility Up Shift The new volatility shift up that is applied to option positions when calculating scanning losses, expressed as a percentage of a percentage. T U V W New Volatility Down Shift Previous Volatility Up Shift Previous Volatility Down Shift New Short Option Minimum Charge The new volatility shift down that is applied to option positions when calculating scanning losses. Previous option volatility up shift. Previous option volatility down shift. The new minimum margin requirement applicable to deep out-of-the-money options. The short option minimum charge is only called if it exceeds the value of the SPAN commodity risk. The short option charge is expressed as amount of EUR per lot. X Margin Units This indicates if the scanning range is expressed as per lot, or per share. Y Multiplier Contract value for a price change of one point. Z Market Indicates if the contract is Exchange Traded or OTC traded. AA Asset Class Classification of products AB Sector Industrial sector AC Spread Reference Product Product against which per lot spread charges and intercontract delta ratios are based AD Position Allocation Indicates whether Position Allocation method is applied to this contract. If Yes, the details of the allocation can be found in the published Position Allocation file AE Margin Erosion This indicates whether margin erosion is applied to the front month and if so, which method is used. Linear method Erosion factor = number of remaining days in the settlement month / total number of days in the settlement month Square root of time method Erosion factor = SQRT (number of remaining days in the settlement month / total number of days in the settlement month) Erosion factors are updated daily using the number of calendar days in the month convention and applied to original positions in that contract. Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 6

7 3 Inter-Month Spread Charge s This file contains the margin requirements applicable to inter-month spread positions within the same contact. Intermonth spread charges will not apply currently given the fact that only 1 Tier is applied to equity options in SPAN. Column Column Heading Description A Effective Date Date the rate takes effect; changes will be reflected in margin calls made on the following business date. B Exchange Code Cleared Market Code: T = TOM MTF C Logical Commodity Code Combined commodity code D Contract Name Name of contract E Currency Currency of contract F Front Tier The tier in which the front month of the spread falls. G Front Tier Periods Range of relative months in front tier H Back Tier The tier in which the back month of the spread falls. I Back Tier Periods Range of relative months in back tier J Priority The priority order in which the charges are applied K New Spread Parameter New inter-month spread rate. Note that for equities spread charge rates are quoted on a per lot basis, unlike scanning range. L M N Previous Spread Parameter New Applied Spread Previous Applied Spread Previous inter-month spread rate. The new total margin cost of a one lot spread once scanning risk discounts have been applied. The previous total margin cost of a one lot spread once scanning risk discounts have been applied. O Percentage Change Percentage change between columns M and N P Multiplier Contract value for a price change of one point. Q Per Share Applicable to individual equity products R Asset Class Classification of products. S Sector Industrial sector In order to ensure that SPAN processes inter-month spread charges as efficiently as possible, they are always processed in ascending order of rate. Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 7

8 4 Strategy Spread Charge s This file contains the margin requirements applicable to strategy spread positions within the same contact Strategy spread charges will currently not be applied. Column Column Heading Description A Effective Date Date the rate takes effect; changes will be reflected in margin calls made on the following business date. B Exchange Code Cleared Market Code: T = TOM MTF C Logical Commodity Code Combined commodity code. D Contract Name Name of contract E Currency Currency of contract. F Strategy Type The five strategy spreads available are: B: Butterfly (3 leg spread defined as 1 lot long (short), 2 lots short (long), 1 lot long (short) or +1/-2/+1), C: Condor (4 leg spread defined as 1 lot long (short), 1 lot short (long), 1 lot short (long) and 1 lot long (short) or +1/-1/-1/+1) D: Double-Butterfly (4 leg spread defined as 1 lot long (short), 3 lots short (long), 3 lots long (short) and 1 lot short (long) or +1/-3/+3/-1) E: Extended Double-Butterfly (5 leg spread defined as 1 lot long (short), 2 lots short (long), zero, 2 lots long (short) and 1 lot short (long) or +1/-2/0/+2/-1). I: Intermonth (2 leg spread defined as 1 lot long (short), 1 lot short (long) or +1/-1). G Strategy Period Type The five different period types available are: M: Monthly (positions must be in consecutive months; e.g. Jan13, Feb13, Mar13), Q: Quarterly (positions must be 3 consecutive months apart; e.g. Mar13, Jun13, Sep13), S: Six-monthly (positions must be 6 consecutive months apart; e.g. Mar13, Sep13, Mar14), N: Nine-monthly (positions must be 9 consecutive months apart; e.g. Mar13, Dec13, Sep14), Y: Yearly (positions must be 12 consecutive months apart; e.g. Mar13, Mar14, Mar15). H Period 1 Relative expiry month, e.g.1 (front month) of the first leg of the spread. If prefixed with Q this is the relative quarterly in a Mar, Jun, Sep, Dec expiry cycle. Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 8

9 I Period 2 Relative expiry month of the second leg of the spread J Period 3 Relative expiry month of the third leg of the spread K Period 4 Relative expiry month of the fourth leg of the spread. Applies only to condor spreads. L Indicative Expiry 1 The expiry month of the first leg of the particular spread. Please note that this expiry date will not always be accurate as it will not be updated on each occasion an expiry occurs. M Indicative Expiry 2 The expiry month of the second leg of the particular spread. Please note that this expiry date will not always be accurate as it will not be updated on each occasion an expiry occurs. N Indicative Expiry 3 The expiry month of the second leg of the particular spread. Please note that this expiry date will not always be accurate as it will not be updated on each occasion an expiry occurs. O Indicative Expiry 4 The expiry month of the second leg of the particular spread. Please note that this expiry date will not always be accurate as it will not be updated on each occasion an expiry occurs. P New Spread Parameter New strategy spread rate. This is quoted in currency units per position delta, which generally equates to the equivalent of a one lot futures position. Q Previous Spread Parameter R New Applied Spread S Previous Applied Spread Previous strategy spread rate. The new total margin cost of a one lot strategy once scanning risk discounts have been applied. The previous total margin cost of a one lot strategy once scanning risk discounts have been applied. T Percentage Change Percentage change between columns R and S U Multiplier Contract value for a price change of one point. ING is EUR 100 (100 shares per lot) V Per Share Applicable to individual equity products W Asset Class Classification of products. X Sector Industrial sector. Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 9

10 5 Inter-Commodity Spread Credit s This file contains the margin requirements applicable to inter-commodity spread positions. The percentages shown are the amount the scanning ranges for each leg of the spread are reduced by where the position is part of an Column Column Heading Description A Effective Date Date the rate takes effect; changes will be reflected in margin calls made on the following business date. B Exchange Code 1 Cleared Market Code for the contract that forms leg 1 of the C Asset Class 1 Classification of leg 1 product D Sector 1 Industrial sector of leg 1 product E Logical Commodity Code 1 Combined commodity code for the contract that forms leg 1 of the F Contract Name 1 Name of contract for the contract that forms leg 1 of the intercommodity spread. G Tier 1 The Inter-commodity tier used in this spread for the contract that forms leg 1. H Tier Periods 1 Range of relative months in leg 1 intercontract tier I Delta Ratio 1 The Delta Ratio used in this spread for the contract that forms leg 1. K Currency 1 Currency of contract for the contract that forms leg 1 of the L Exchange Code 2 Cleared Market Code for the contract that forms leg 2 of the M Asset Class 2 Classification of leg 2 product N Sector 2 Industrial sector of leg 2 product O Logical Commodity Code 2 Combined commodity code for the contract that forms leg 2 of the P Contract Name 2 Name of contract for the contract that forms leg 2 of the intercommodity spread. Q Tier 2 The Inter-commodity tier used in this spread for the contract that forms leg 2. R Tier Periods 2 Range of relative months in leg 2 intercontract tier S Delta Ratio 2 The Delta Ratio used in this spread for the contract that forms leg 2. T Leg Side 2 Market side for leg 2 of the spread Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 10

11 U Currency 2 Currency of contract for the contract that forms leg 2 of the V Exchange Code 3 Cleared Market Code for the contract that forms leg 3 of the W Asset Class 3 Classification of leg 3 product X Sector 3 Industrial sector of leg 3 product Y Logical Commodity Code 3 Combined commodity code for the contract that forms leg 3 of the Z Contract Name 3 Name of contract for the contract that forms leg 3 of the intercommodity spread. AA Tier 3 The Inter-commodity tier used in this spread for the contract that forms leg 3. AB Tier Periods 3 Range of relative months in leg 3 intercontract tier AC Delta Ratio 3 The Delta Ratio used in this spread for the contract that forms leg 3. AD Leg Side 3 Market side for leg 3 of the spread AE Currency 3 Currency of contract for the contract that forms leg 3 of the AF New Credit The percentage of the scanning range that is credited back when a position is part of an AG Previous Credit The previous inter-commodity spread credit rate. AH Percentage Change Percentage change between columns AF and AG AI Volatility Credit Option volatility credit rate as a percentage. Intercontinental Exchange SPAN Margin Parameter Files - Layout Guide v Page 11