CPs should note that during the Familiarisation Programme, the VaR Platform is not in commercial operation and should not be used in any commercial context or form. As such, the VaR Platform and any output that can be obtained from such platform including without limitation the new set of margin reports are, during the Familiarisation Programme, provided for familiarisation purposes only. CPs therefore should not rely on the VaR Platform or any output from such platform in any way and should continue their normal risk management measures, prepare funding and make payments according to existing CCASS reports and schedule until the business implementation of the VaR Platform and the new risk models.
Information Package
VaR Platform Familiarisation Programme Information Package (Dec 2021)
Report Comparison (for familiarisation only, subject to further update)
MTM & Margin Report Comparison Guidelines (Aug 2021)
Default Fund Report Comparison Guidelines (Aug 2021)
Northbound MSTD & MSCD Requirements Comparison Guidelines (Aug 2021)
Phase 1
Report Specifications (for familiarisation only, subject to further update)
-New VaR Platform reports - to be retrieved from RAP:
1. Marginable Position Report (RMAMP01) (Apr 2022)
2. MTM and Margin Requirement Report (RMAMR01) (May 2022)
3. MTM and Margin Requirement Report (Summary Version) (RMAMR03) (May 2022)
Phase 2
Report Specifications (for familiarisation only, subject to further update)
-New VaR Platform reports - to be retrieved from RAP:
4. Corporate Action Event Report (DWH0229) (May 2021)
5. Series Price Report (DWH0305) (Feb 2022)
6. IPO indicator (DWH0303) (Aug 2021)
7. Daily Participant Margin Multiplier Report (DWH0081C) (Sep 2021)
8. Risk – Stress Testing Report (RMAST01) (May 2021)
9. Default Fund Requirement Report (RMADF01) (Mar 2022)
10. Risk - Northbound MSTD Requirement Report (RMCNM01) (Feb 2022)
11. Risk - Northbound MSCD Requirement Report (RMCNM03) (Sep 2021)
Only applicable to CPs who would like to replicate the margin calculation:
12. Initial Margin Risk Parameter File (RPF01)
- refer to Initial Margin Calculation Guide for file specification
13. Stress Testing Risk Parameter Files (RPF02, RPF03, RPF04)
- refer to Stress Test Value Calculation Guide for file specification
VaR Online
User Guide
Section 1 Overview (Apr 2022)
Section 2 Getting Started (Jun 2022)
Section 3 Settings & Screen Standard (May 2021)
Section 4 Margin and Stress Test Simulation for Clearing Participants (Apr 2022)
Report Specification (for familiarisation only, subject to further update)
- To be retrieved from RAP:
Business Launch
Report Specifications (for familiarisation only, subject to further update)
- New CCASS report – to be retrieved from CCASS Terminal/ Participant Gateway:
15. Statement of Default Fund Contributions (CCMDF02) (Jun 2021)
- Modified CCASS reports – to be retrieved from CCASS Terminal/ Participant Gateway:
- Modified CCMS reports – to be retrieved from CCASS Terminal/ Participant Gateway:
23. Posting / Collateralisation Result Report (CCMPY01 / CCMPY02) (Jun 2021)
25. Participant Collateral Account Movement Report (CCMMV01) (Jun 2022)
26. Special – use Collateral Balance Report (CCMSU04) (Jun 2022)
27. Collateral Parameters Information List (CCMIR02) (Jun 2022)
28. Monthly Interest & Accommodation fee Report – Detail (CCMIA02) (Jun 2022)