Quantile or Confidence Level is a measure of the probability that the initial margin will be sufficient to cover any losses following market moves. There are differences in the Confidence Level used by different CCP‘s and for different products, varying between 99% and 99.75%. This is decided by a combination of regulation and the risk appetite of the CCP.

These different Confidence Levels are then applied when calculating the VaR or Expected Shortfall as part of the margin algorithm.