End of Day and
Historical information

Information to calculate collateral for the products of Derivatives, Energy and Repo of BME Clearing’s CCP

Margins and Risks Calculations

This product includes relevant information for margins calculations of the segments Derivatives, Energy and Repo of BME Clearing.

  • Settlement data from the contract subgroups and contract types.
  • Volatility curve used for theoretical prices calculation.
  • Theoretical prices and deltas used for initial margins calculation.
  • Parameters of the Margin Valuation Arrays.
  • Inter-array and intra-array offsets in the calculations of margins for positions of opposite sign.

Additionally the product includes an email notification service with all the circulars and operating instructions published by BME Clearing on calculations related to settlement and margins.

The information is available daily after the market close (information available on T).

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