Nodal Clear employs an expected shortfall methodology for its initial margin calculations. The calculation is calibrated to cover an expected loss to a 99.5% 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.
Additional information on the Nodal Clear margin model can be obtained by contacting Clearing Services below or at (703) 962-9861.