Margin Methodology

Nodal Clear employs an expected shortfall methodology for its initial margin calculations. The calculation is calibrated to cover an expected loss to a 99.7% confidence level.

All margin calculations are conducted at the portfolio level. As inputs to the portfolio calculation, Nodal Clear’s margin methodology employs return observations from recent trading activity (past one to two years), and return observations from periods specifically selected by the Nodal Clear risk team as periods exhibiting a particular stress scenario. Antitheticals for all return observations are calculated, so in total the model relies on over 1,000 return observations.

Clearing members and participants can view their initial margin requirements as well as calculate requirements for prospective portfolios via an initial margin calculator available to those with log-in credentials for the Exchange platform.

Additional information on the Nodal Clear margin model and initial margin calculator can be obtained by contacting Account Management below or at (703) 962-9820.