In order to secure credit risk exposures, KDPW_CCP requires participants to post margins. The KDPW_CCP margin calculation model quantifies the price risk of all types of cleared instruments.

The margin requirement is equal to HVaR (historical value at risk) for a given account based on the relevant parameters:

• holding period
• confidence level
• decay rate
• number of historical events (time horizon)
• method used to calculate rates for VaR scenarios.

Margins (and other risk measures, if any) are calculated in three steps:

• generate scenarios from the market history;
• price the portfolio using historical scenarios;
• statistical analysis – calculate quantile values.

The method of calculating margins and the rules of valuation of derivatives and repo transactions (including discount and forward curves) are laid down in Appendix 6 to the Detailed Rules of the OTC Clearing System.