Equities Margin

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

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 for 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, KPEI 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. The time period is 505 days. The data set (anchor date) starts from H-1 of the system date.
  b. Confidence Level is 99 %
  c. Holding Period is 5 days
  d. 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. The time period is 505 days. The data set (anchor date) starts from H-1 of the system date.
  b. Confidence Level is 99 %
  c. Holding Period 10 days 
  d. Decay Factor is 97% 
   
3.  Factor Model
  This calculation method is used for stocks that do not have historical prices, such as Initial Public Offering (IPO) prices, Warrants, Rights and stocks that have an equity value less than Rp 300 Billion and haircut above 75%.

Note:

  • Stock Delivery Obligation Value = 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 Obligation Value = Payment Obligation * 100%
  • Stock Receiving Rights Value = Transaction Volume * Lowest Price * (1 - Haircut), where the Lowest Price is captured 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 on Regular and Cash Markets
  • Cash Receiving Rights Value = Cash to be received * 100%