In order to secure its exposure to credit risk, KDPW_CCP requires participants to post margins. The margining model used by KDPW_CCP ensures the quantification of risks arising from changes in the valuation of all types of cleared instruments.
Margins for a portfolio of transactions are determined as Expected Shortfall using relevant parameters and a set of historical market data.
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:
