Risk Management
SPAN Parameter Files
DGCX Clearing implements the Standard Portfolio Analysis of Risk (SPAN) based Risk Management System using the SPAN framework licensed by Chicago Mercantile Exchange (CME). SPAN is a globally accepted portfolio-based approach that determines portfolio margining requirements for futures, options, cash, and other instruments.
SPAN considers 16 “what if” scenarios where futures prices and volatilities are altered to varying degrees. The largest loss (represented by a positive value) across the 16 scenarios becomes the SPAN margin for that portfolio.
There are 4 Intraday SPAN runs at 6:00 am, 10:00 am, 3:00 pm and 6:00 pm, as well as an End of Day SPAN file at 11:55pm. All 5 files can be found on the Members FTP. In times of high volatility, DGCX Clearing may generate additional SPAN files, depending on perceived risk. An announcement will be made to members before these additional files are generated to ensure their obligations can be met.
Default Management
DGCX Clearing has implemented a Default Fund (DF) that is sufficient to cover the losses of the two-largest Clearing Members (Cover-2). DGCX Clearing’s own contribution (“skin-in-the-game”) is approximately 35% of the total DF.
In the event of a default of a Clearing Member losses incurred in the management of the default would be met using the following Default Waterfall.