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Expected Shortfall - calculation initial margin

In order to manage the clearing risk of OTC transactions, margins and contributions to the clearing fund are calculated based on the Expected Shortfall. The margin calculation model used by KDPW_CCP allows for a quantification of risk resulting from changes in the valuation of all types of instruments subject to clearing.

The required initial margin is equal of Expected Shortfall for a given account based on the relevant parameters.

KDPW_CCP Expected Shortfall parameters
Parameter

Value

Confidence level

99,7%

Liquidation period

5 days

Observation window

10 years

Decay rate

equal (all historical observations have the same weights)

Perturbation method

- interest rates - additive method with scaling of the liquidation period
- FX rates - multiplicative method with scaling of the liquidation period

Absolute value

no

Compensation

yes, for a given product. The products are as follows: 
-  PLN interest rate derivatives
-  EUR interest rate derivatives 
 - PLN repos and securities sale


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.

 Collateral table *
* Last message update: 2022-09-30