Collateral Management Service - Valuation

KPEI conducts collateral valuation on assets belonging to Clearing Members as well as its clients that have a market value. The collateral value is adjusted with haircut value, the percentage of eligible collateral, exchange rate, and securities collateral value limits (collateral disallowance). Collateral valuation performed by KPEI, refers to the principle 5 of PFMI-IOSCO. This principle requires KPEI to receive collateral not only considering credit risk, liquidity risk, and lower market risk but also consider the Wrong Way Risk, Concentration Risk, Operational Risk and Legal Risk.

The formula used in valuing online and offline collateral at KPEI is as follows:

  1. Offline collateral with IDR currency
  2. Offline with non IDR currency
    The offline collateral that is newly pledged by the Clearing Member will be effective on the following day after the documents verification is completed.
  3. Cash with IDR currency
  4. Cash with non IDR currency
  5. Stocks
    Stock Online collateral valuation considers the perfect collateral and concentration limits. Volume and value of collateral value exceeding the concentration limits are not accounted as collateral.
  6. Government and Corporate Bonds
    Bonds Online collateral valuation considers the perfect collateral and concentration limit. If the bonds collateral value exceeds the concentration limit then the excess is not accounted as collateral.

To determine the value and type of collateral managed by KPEI please see the collateral statistic data.