Skip Ribbon Commands
Skip to main content
Navigate Up


HVaR - change of the confidence interval parameter

KDPW_CCP has changed the confidence interval of the HVaR (OTC) margining model from 99.5% to 99.7% as of 9 March 2020.

The change follows an increase in market volatility and addresses the requirement of adequate margining of participants’ exposures.

Last modified: 16-03-2020 Go up