Risk Management

Equities

Variation Margin for equity market is calculated using the following formula:

Variation Margin for buy position Variation Margin for sell position
Net Settlement Position - Mark to Market Mark to Market - Net Settlement Position

Note:
•    Net Settlement Position  = Transaction Volume * Price agreed on the transaction
•    Mark to Market               = Transaction Volume * Last Market Price

Last Market Price is divided into two calculation sessions:

  1. Intraday Session (Pukul 09.00-16.00)
    Last market price calculation is only done for stocks and with certain conditions and is done with batching mechanism.
  2. Post Trade Session (Pukul 16.30-17.00)
    Final market price is calculated for all stocks based on closing prices at 16.00 for the day which will become the calculation basis for mark to a market calculation for the following day.

In determining the equity initial margin calculation, IDClear sets 2 (two) risk parameters, based on daily frequency and fundamental criteria. The initial margin calculation methods used are as follows: 

  1. Historical Value at Risk (Hs VaR)
    Calculates the worst possible loss for a certain time period with a certain confidence level based on historical data in a normal market condition. This method is used for stocks categorized as liquid stocks.

    The HS VaR Methodology Parameter
    a. Confidence Level is 99 %
    b. Holding Period is 5 days. 
    c. Decay Factor is 97%

  2. Alternate Value at Risk (Alt VaR)
    Calculates the worst possible loss for certain time period with a certain confidence level based on historical data in a normal market condition and in this case the stocks does not have a complete historical price data. This method is used for illiquid stocks.

    Alt VAR Methodology Parameter
    a. Confidence Level is 99 %
    b. Holding Period 10 days 
    c. Decay Factor is 97%

  3. Factor Model
    This calculation method is used for stocks that do not have historical prices.

    T+2

    ∑ (Handover Obligation - Right to Receive)

    T+0

Note:

Obligation Value

  • Stock Delivery = Transaction Volume * Highest Price * 125%, where the Highest Price is captured between T+0 Session 1, T+0 Session 2 dan T+3 Session 1 on Regular and Cash Markets
  • Payment = Payment Obligation * 100%

Rights Value

  • Stock Receiving= Transaction volume * Lowest price of securities * (1 - Haircut), where the lowest price between T+0 Session 1, T+0 Session 2, T+1 Session 1, T+1 Session 2, T+2 Session 1, T+2 Session 2, and T+3 Session 1 in Regular Market and Cash Market is selected.
  • Cash Receiving = Cash to be received * 100%