Initial Margin Calculation Guide - HKEX
HKSCC - VaR PlatformInitial Margin Calculation GuideINITIAL MARGIN CALCULATION GUIDEHong Kong Exchanges and Clearing LimitedVaR PlatformVersion 1.21June 2022DisclaimerHKEX endeavors to ensure the accuracy and reliability of the information provided, but takesno responsibility for any errors or omissions or for any losses arising from decisions, action,or inaction.Page 1 of 36
HKSCC - VaR PlatformInitial Margin Calculation GuideTABLE OF CONTENTS1.INTRODUCTION . 42.INITIAL MARGIN RISK PARAMETER FILE . 53.2.1Layout of Initial Margin Risk Parameter File . 52.2Specifications of Initial Margin Risk Parameter File . 6CALCULATION OF TOTAL MTM AND MARGIN REQUIREMENT . 83.1Required Inputs. 83.1.1Risk Parameters and Margin Adjustments. 83.1.2Positions . 83.2Calculation Process . 93.2.1Overview of the Calculation Process for Total MTM and Margin Requirement . 93.2.2Identify Applicable Market Risk Components for Each Instrument in Portfolio . 93.2.3Identify Margin Adjustments and Other Risk Components . 113.2.4Calculate Market Risk Components . 113.2.4.1 Portfolio Margin . 113.2.4.1.1Historical Value-at-Risk Component (“HVaR”) . 113.2.4.1.2Stress Value-at-Risk Component (“SVaR”). 123.2.4.1.3Portfolio Margin Floor. 133.2.4.2 Flat Rate Margin . 143.2.4.3 Liquidation Risk Add-on (“LRA”). 153.2.4.3.1Instrument-level LRA . 153.2.4.3.2Portfolio-level LRA . 163.2.4.4 Structured Product Add-on . 173.2.4.5 Corporate Action Position Margin . 183.2.4.6 Holiday Add-on . 193.2.5Aggregate Market Risk Components and Perform Margin Adjustments . 193.2.5.1 Rounding on Aggregated Market-risk-component Margin . 193.2.5.2 Consideration on Favorable MTM . 203.2.5.3 Application of Margin Credit . 203.2.6Calculate or Retrieve Other Risk Components from Report . 213.2.6.1 MTM Requirement . 213.2.6.2 Position Limit Add-on . 213.2.6.3 Credit Risk Add-on . 213.2.6.4 Ad-hoc Add-on . 213.2.7Summary of Market Risk Components with Margin Adjustments and Other RiskComponents. 21Page 2 of 36
HKSCC - VaR PlatformInitial Margin Calculation Guide3.2.84.Derive Total MTM and Margin Requirement from Results under §3.2.5 & §3.2.6 22APPENDIX . 234.1Detailed Calculation on Position Limit Add-on . 234.2Guarantee Fund Risk Collateral . 244.3Specific Stock / Cash Collateral Position Cover . 244.3.1Specific Stock Collateral for Short Position. 244.3.2Specific Cash Collateral Position Cover . 264.4Corporate Action Position Adjustment . 264.4.1Position Quantity Adjustment for Bonus Share / Stock Split / StockConsolidation . 284.4.2Create Benefit Entitlement Position for Cash Dividend . 284.4.3Create Benefit Entitlement Position for Stock Dividend . 294.4.4Create Benefit Entitlement Position for Rights Issue / Open Offer . 304.4.5Combined Effects on Position Adjustment for Combination of CorporateActions . 304.4.6Position Adjustment for Stock Conversion . 314.5Cross-day Position Netting . 314.6Cross-currency Netting on MTM Requirement . 324.7Intra-day MTM Requirement Calculation . 334.7.1Intra-day MTM Requirement Calculation (11:00 a.m. HKT) . 334.7.2Intra-day MTM Requirement Calculation (2:00 p.m. HKT) . 35Page 3 of 36
HKSCC - VaR PlatformInitial Margin Calculation Guide1.INTRODUCTIONHong Kong Securities Clearing Company Limited (“HKSCC”) adopts Next Generation initialmargin model to determine the initial margin (“IM”) requirement of Clearing Participants’(“CPs”) portfolios. The model contains portfolio margin component for Primary Tier (“TierP”) instruments, flat rate margin component for Non-constituent Tier (“Tier N”) instruments,corporate action position margin component and other margin add-on components.The Next Generation initial margin model is developed in accordance with the regulatoryrequirements and international best practices (e.g., CPMI-IOSCO Principles for FinancialMarket Infrastructures). To promote transparency of the model, a file containing the keyrisk parameters required for calculating IM (a.k.a., “Initial Margin Risk Parameter File”, or“IMRPF”) will be disseminated to all HKSCC’s CPs on a daily basis upon the launch ofNext Generation initial margin model.This document outlines how to use the Initial Margin Risk Parameter File to calculate thetotal MTM and margin requirement of a portfolio for HKSCC clearable instruments in HongKong market.Page 4 of 36
HKSCC - VaR PlatformInitial Margin Calculation Guide2.INITIAL MARGIN RISK PARAMETER FILE2.1 Layout of Initial Margin Risk Parameter FileAn Initial Margin Risk Parameter File1 (i.e., RPF01) will be generated in csv format andcould be downloaded by CPs on each business day2. The layout of the file is shown below:RPF01:This file includes instrument price returns for historical Value-at-Risk (“HVaR”) scenarios,stress Value-at-Risk (“SVaR”) scenarios, flat rate margin scenarios, beta hedge informationfor liquidation risk add-on, instrument delta information for liquidation risk add-on, pricethreshold and add-on% for structured product add-on and corporate action position marginscenarios.Valuation DT1/4/2019HVaR WGT0.75SVaR WGT0.25HVaR Scen Count1000SVaR Scen Count1018STV Count200HVaR CL0.994SVaR CL0.98HVaR Measure4SVaR Measure4Rounding10000Holiday 2370.9 3000000001.1 1000000001.2 2000000001 2500000001 2500000001.3 599610.0447370.2526738-0.3187210.500.5The number of scenario types is subject to change from time to time and will be reflected in the IMRPF. HKSCC will notify CPsbefore any change is made in accordance with applicable General Rules of CCASS/CCASS Operational Procedures.2The dissemination time is around 9:00 p.m. HKT subject to system finalization.1Page 5 of 36
HKSCC - VaR PlatformInitial Margin Calculation Guide2.2 Specifications of Initial Margin Risk Parameter FileField NameDescriptionFormatValuation DTValuation dateDD/MM/YYYYHVaR WGTWeighting of the historical Value-at-Risk(“HVaR”) component in the initial marginmodelWeighting of the stress Value-at-Risk(“SVaR”) component in the initial marginmodelNumber of scenarios used for calculatingHVaR componentDECIMALS (X,10)3;SVaR WGTDECIMALS (X,10);SVaR Scen CountNumber of scenarios used for calculatingSVaR componentSTV Count4Number of stress test scenariosHVaR CLConfidence level applied to HVaRSVaR CLConfidence level applied to SVaRHVaR MeasureRisk measure type for HVaR componentINTEGER (X,0)3;e.g., a value of 1000 means 1000 riskscenarios for HVaR calculation.INTEGER (X,0);e.g., a value of 1018 means 1018 riskscenarios for Stress VaR calculation.INTEGER (X,0);e.g., a value of 200 means 200 stresstest scenarios for STV.DECIMALS (X,10);e.g., a value of 0.994 means 99.4%confidence level.DECIMALS (X,10);e.g., a value of 0.98 means 98%confidence level.4 – FHS ES (Discrete)5SVaR MeasureRisk measure type for SVaR component4 – FHS ES (Discrete)RoundingRounding parameter for margincalculationHoliday FactorScaling factor for calculating holiday addon. It is calculated as square root(H) – 1,where H is the number of consecutiveHong Kong holidays excluding Saturdaysand SundaysInstrument identifiere.g. Stock code, or underlying stock codefor corporate action position margininstruments like distribution in specie(“DSP”), cash dividend (“DIV”), rightsissue (“SRI”), etc.INTEGER (X,0);e.g., a value of 10,000 means toround up the figure to 10,000.DECIMALS (X,10)HVaR Scen CountInstrumentIDTEXTThe second number in INTEGER() and DECIMALS() refers to the maximum decimal places supported by IMRPF.For potential future use only.5FHS ES stands for Filtered Historical Simulation Expected Shortfall, also known as Conditional Value-at-Risk (“CVaR”) or ExpectedTail Loss (“ETL”) or average tail loss. It is the risk measure calculated based on Exponential Weighted Moving Average (“EWMA”)rescaled historical returns in the look back period. “Discrete” meaning only discrete data points on the distribution tail will be selectedfor calculation. There is no interpolation required between discrete data points.34Page 6 of 36
HKSCC - VaR PlatformInitial Margin Calculation GuideField NameDescriptionFormatFieldTypeLabel to indicate the record type:1 – HVaR Scenarios2 – SVaR Scenarios3 – Flat Rate Scenarios4 – Beta hedge information forliquidation risk add-on5 – Instrument delta information forliquidation risk add-on6 – Price threshold and add-on% forstructured product add-on7 – Corporate action position marginscenariosScenario returns for each instrument inHVaR componentOn the right of “FieldType 1”:- total number of scenarios shouldbe same as “HVaR Scen Count”Scenario returns for each instrument inSVaR componentOn the right of “FieldType 2”:- total number of scenarios shouldbe same as “SVaR Scen Count”Return for each instrument in flat ratemargin componentOn the right of “FieldType 4”:INTEGER (X,0)FieldType 1ColumnsFieldType 2ColumnsFieldType 3ColumnsFieldType 4ColumnsDECIMALS (X,10)-2nd column: Instrument betaDECIMALS (X,10)3rd column: Delta equivalentposition market value threshold- 4th column: Cash delta perquantity (i.e., market price)On the right of “FieldType 5”:DECIMALS (X,10)1st column: Underlying groupTEXT-2nd column: DeltaDECIMALS (X,10)-3rd column: Conversion ratioDECIMALS (X,10)4th column: Cash delta perquantityOn the right of “FieldType 6”:-DECIMALS (X,10)1st column: Price thresholdDECIMALS (X,10)2nd column: One-tenth of tick sizemultiplierOn the right of “FieldType 7”:DECIMALS (X,10)--Numbers next to“FieldType”INTEGER (X,0)--FieldType 7ColumnsDECIMALS (X,10)1st column: Bucket rate-FieldType 6ColumnsDECIMALS (X,10)-FieldType 5ColumnsDECIMALS (X,10)1st column: Benefit entitlementtype2nd column: Price of the benefitentitlement (Shows 1 for cashdividend)- 3rd column: Short position addon%- 4th column: Long position addon%Scenario numbersINTEGER (X,0)1 – Distribution in specie2 – Rights issue3 – Cash dividendDECIMALS (X,10)DECIMALS (X,10)DECIMALS (X,10)INTEGER (X,0)Page 7 of 36
HKSCC - VaR PlatformInitial Margin Calculation Guide3.CALCULATION OF TOTAL MTM AND MARGIN REQUIREMENT3.1 Required Inputs3.1.1Risk Parameters and Margin AdjustmentsTo derive total MTM and margin requirement, the risk parameters (including market riskand other risk components) and margin adjustments below are required. The sources arestated as follows:SourcePortfolio marginYMTM6 and MarginRequirement Report7-Flat rate marginY-Liquidation risk add-onY-Structured product add-onY-Corporate action position marginHoliday add-onRounding on aggregated marketrisk-component marginConsideration on favorable MTMY-Y-Y--YApplication of margin credit-YMTM requirement-YPosition limit add-on-YCredit risk add-on-YAd-hoc add-on-YIMRPFMarket riskcomponent8MarginadjustmentOther riskcomponent3.1.2PositionsThe following position details of portfolios are required to calculate total MTM and marginrequirement: InstrumentID (e.g., 700 for Tencent Holdings) Quantity9 (e.g. -1,000,000 means to deliver 1,000,000 shares) Contract value10 in HKD equivalent (e.g., In VaR Platform, -384,000,000 meansthe CP has a receivable of 384,000,000) Market value11 in HKD equivalentThe above information for CPs’ entire portfolios could be retrieved from “MarginablePosition Report” (“RMAMP01”), which will be disseminated to CPs after each margin calland day-end margin estimation process12. When using the information in the “MarginablePosition Report”, please note that:MTM refers to “Mark-to-Market” a.k.a. the Marks.The report will be generated on each business day for CPs to download via Report Access Platform (“RAP”).Please note that corporate action position margin will be determined on a case-by-case basis. HKSCC will notify CPs in advance,if applicable.9Positive value means it is a long position. Negative value means it is a short position.10Negative value means it is a receivable for CP in VaR Platform.11Market value Position quantity x Instrument market price. The sign is determined by the position quantity. (i.e., Negative quantitymeans a short position and that market value is also negative.)12The dissemination time is around 11:45 a.m., 5:00 p.m. and 9:00 p.m. HKT subject to system finalization.678Page 8 of 36
HKSCC - VaR PlatformInitial Margin Calculation Guide For non-HKD denominated instruments, contract values and market values areconverted to HKD equivalent using the latest available FX rates without haircutwhen the position snapshot is captured;Positions covered by specific stock / cash collateral are excluded13; andAll positions are adjusted for corporate actions14; andAll positions are cross-day netted15.In addition, users could opt to generate the marginable positions by their own if they wouldlike to calculate margin and marks more frequently during the day. The generation ofmarginable position will include three main steps: (i) adjustment of specific stock / cashcollateral cover, (ii) Corporate Action positions adjustment and (iii) cross-day positionsnetting. Appendix 4.3 to 4.5 demonstrate the detailed steps for reference.A sample portfolio is shown below for illustration of calculation in the subsequentsection:Contract valuein HKD EquivalentMarket valuein HKD 0,000,0003.2 Calculation Process3.2.1Overview of the Calculation Process for Total MTM and Margin RequirementTotal MTM and margin requirement is calculated according to the steps as follows: Identify applicable market risk components for each instrument in the portfolio(See §3.2.2); Identify margin adjustments and other risk components (See §3.2.3); Calculate market risk components (See §3.2.4); Aggregate market risk components and perform margin adjustments (See §3.2.5); Calculate or retrieve other risk components from report (See §3.2.6); and Derive total MTM and margin requirement by adding results from §3.2.5 & §3.2.6(See §3.2.8).3.2.2Identify Applicable Market Risk Components for Each Instrument in PortfolioUsers shall identify applicable margin components by using the CP-specific “MarginablePosition Report” and “Initial Margin Risk Parameter File” according to the steps as follows:131415Please refer to Appendix 4.3 for Specific Stock Collateral / Specific Cash Collateral covered position exclusion logicPlease refer to Appendix 4.4 for the corporate action position adjustment logicPlease refer to Appendix 4.5 for the cross-day position netting logicPage 9 of 36
HKSCC - VaR PlatformInitial Margin Calculation GuideStep 1: Identify all corresponding FieldType(s) in the “Initial Margin RiskParameter File” for each instrument shown in the “Marginable PositionReport”.Please note that Instrument Code in the “Marginable Position Report” is the same asInstrumentID in the “Initial Margin Risk Parameter File” for each tradeable instrument. Forcorporate action entitled instruments, the instrument code would be decomposed into twofields in FieldType 7 (See §2.2).For example, Instrument Code 658 is found in the “Marginable Position Report”. Usersshall find out “658” under the column InstrumentID and identify the correspondingFieldType(s) associated with the instrument in the “Initial Margin Risk Parameter File”. Inthis case, FieldType 3 is identified for the instrument.For example, a corporate action entitled instrument “DSP700” is found in the “MarginablePosition Report”, users shall find out “700” under the column InstrumentID and “1” underthe next column in FieldType 7.After repeating the aforementioned step for each instrument, user should identify theinstruments subject to holiday add-on16.The holiday add-on will apply to all instrumentsexcept for those having FieldType 7 (i.e. instruments subject to corporate action positionmargin). Finally, the identification result of the sample portfolio is shown as follows:Market risk componentPortfolio marginInstrumentCode /InstrumentIDHVaRSVaRFlat ratemarginLiquidation osition I3606------Y60954YY--Y--HolidayfactorY-YStep 2: Identify applicable margin components for each instrument by referring tothe FieldType definitions stated in §2.2.Please note that the holiday add-on will not be applicable upon the launch of VaR Platform. HKSCC will notify CPs before theimplementation.16Page 10 of 36
HKSCC - VaR PlatformInitial Margin Calculation GuideFor example, users should only include the InstrumentID 658 and 3606 for flat rate margincalculation according to the identification results shown in the above table (see §3.2.4.2 forcalculation process on flat rate margin in details).3.2.3Identify Margin Adjustments and Other Risk ComponentsUsers shall follow the rules below to determine which instrument should be included in thecalculation of other risk components: Positions limit add-on applies to all Hong Kong market instruments; and Credit risk add-on and ad-hoc add-on are not applicable to any instruments fromthe Initial Margin Risk Parameter File. Instead, users shall refer to the add-onamounts directly from the “MTM and Margin Requirement Report”.The margin adjustments below are applied on a portfolio basis (See §3.2.8 for details): Rounding on aggregated market-risk-component margin; Consideration on favorable MTM; and Application of margin credit.3.2.4Calculate Market Risk Components3.2.4.1 Portfolio MarginThe portfolio margin is the weighted average of the following two components, subject tothe portfolio margin floor:(i) Historical Value-at-Risk (“HVaR”) component; and(ii) Stress Value-at-Risk (“SVaR”) component.For the calculation of (i) and (ii), it is required to treat each IPO17 stock and its relevantstructured product(s) 18 as an individual portfolio and group other non-IPO relatedinstruments together as another separate portfolio.3.2.4.1.1 Historical Value-at-Risk Component (“HVaR”)HVaR is calculated according to the steps as follows:Step 1: Calculate the portfolio returns of positions in each scenario underFieldType 1 identified as per instructions in §3.2.2.For example:Portfolio return19 in scenario 1 for IPO instrument group 1876 (Market value1876 Return1876) (3,000,000 0.011128) 33,384Portfolio return20 in scenario 1 for IPO instrument group 3690CPs could refer to the IPO Indicator Report (“DWH0303”) on Report Access Platform (“RAP”) daily to identify the stocks that aresubject to IPO segregation and its relevant structured product(s) required to be grouped as an individual portfolio when calculatingHVaR and SVaR (i.e., stocks which are newly listed within the recent 180 calendar days, subject to SFC approval).18If the underlying (as shown under Column 1 of FieldType 5 in the IMRPF) of an instrument in FieldType 5 is an IPO stock, thisinstrument is a relevant structured product.19Round off any (Market valuei x Returni) term to the nearest integer if the result is a decimal number.20Round off any (Market valuei x Returni) term to the nearest integer if the result is a decimal number.17Page 11 of 36
HKSCC - VaR PlatformInitial Margin Calculation Guide (Market value3690 Return3690) (7,000,000 0.012241) 85,687Portfolio return21 in scenario 1 for non-IPO instruments (Market value700 Return700) (Market value1299 Return1299) (Market value2823 Return2823) (Market value26883 Return26883) (Market value60954 Return60954) (-400,000,000 0.01391) (80,000,000 0.01125) (30,000,000 0.011628) (2,000,000 0.136461) (10,000,000 -0.104288) -5,085,118Step 2: Repeat step 1 for all HVaR scenarios under FieldType 1 (i.e., 1,000referring to HVaR Scen Count in the Initial Margin Risk ParameterFile).A set of scenario returns under FieldType 1 will be obtained as follows:FieldType 1Portfolio return for IPOstock 1876Portfolio return for IPOstock 3690Portfolio return fornon-IPO instrumentsScenario 1Scenario 2 Scenario 1,00033,384-44,367 -985,687-113,876 -21-5,805,1185,202,132 6,738Step 3: Calculate HVaR component of the portfolios by averaging the worst 6scenarios 22 , where HVaR Measure parameter indicates an ES(Discrete) risk measure, and HVaR CL parameter indicates aconfidence level of 99.4%.HVaR for IPO instrument group 1876 -7,546.5HVaR for IPO instrument group 3690 -19,369HVaR for non-IPO instruments -4,793,885.673.2.4.1.2 Stress Value-at-Risk Component (“SVaR”)SVaR is calculated according to the steps as follows:Step 1: Calculate the portfolio return of positions for each scenario underFieldType 2 identified as per instructions in §3.2.2.For example:Portfolio return23 in scenario 1 for IPO instrument group 1876 (Market value1876 Return1876)212223Round off any (Market valuei x Returni) term to the nearest integer if the result is a decimal number.(1-99.4% (HVaR CL)) x 1,000 (HVaR Scen Count) scenarios 6 scenarios, rounding up to the nearest integer.Round off any (Market valuei x Returni) term to the nearest integer if the result is a decimal number.Page 12 of 36
HKSCC - VaR PlatformInitial Margin Calculation Guide (3,000,000 0.040616) 121,848Portfolio return24 in scenario 1 for IPO instrument group 3690 (Market value3690 Return3690) (7,000,000 0.044678) 312,746Portfolio return25 in scenario 1 for non-IPO instruments (Market value700 Return700) (Market value1299 Return1299) (Market value2823 Return2823) (Market value26883 Return26883) (Market value60954 Return60954) (-400,000,000 0.041026) (80,000,000 0.037588) (30,000,000 0.026217) (2,000,000 0.254769) (10,000,000 -0.321378) -15,321,092Step 2: Repeat step 1 for all SVaR scenarios under FieldType 2 (i.e., 1,018referring to SVaR Scen Count in the Initial Margin Risk ParameterFile).A set of scenario returns under FieldType 2 will be obtained as follows:FieldType 2Portfolio return forIPO stock 1876Portfolio return forIPO stock 3690Portfolio return fornon-IPO instrumentsScenario 1Scenario 2 Scenario 1,018121,848228,468 -166,599312,746586,404 -427,602-15,321,092-35,058,992 25,818,414Step 3: Calculate SVaR component of the portfolio is the average of the worst21 scenarios 26 , where SVaR Measure parameter indicates an ES(Discrete) risk measure, and SVaR CL parameter indicates aconfidence level of 98%.SVaR for IPO instrument group 1876 -23,535.29SVaR for IPO instrument group 3690 -60,407.67SVaR for non-IPO instruments -16,147,985.333.2.4.1.3 Portfolio Margin FloorPortfolio margin floor is the product of:(i) Portfolio margin floor base; and(ii) Portfolio margin floor rate.242526Round off any (Market valuei x Returni) term to the nearest integer if the result is a decimal number.Round off any (Market valuei x Returni) term to the nearest integer if the result is a decimal number.(1-98% (SVaR CL)) x 1,018 (SVaR Scen Count) scenarios 21 scenarios, rounding up to the nearest integer.Page 13 of 36
HKSCC - VaR PlatformInitial Margin Calculation GuideWhere the portfolio margin floor base is the higher of gross long and short marketvalue of positions under FieldType 1 or 2, and portfolio margin floor rate is currentlyset as 2.5%27.The portfolio margin floor is calculated according to the steps as follows:Step 1: Calculate the portfolio margin floor base.Portfolio margin floor base Maximum [Absolute value of (Market value1299) Absolute value of (Marketvalue1876) Absolute value of (Market value2823) Absolute value of (Marketvalue3690) Absolute value of (Market value26883) Absolute value of (Marketvalue60954) , Absolute value of (Market value700)] Maximum [(80,000,000 3,000,000 30,000,000 7,000,000 2,000,000 10,000,000) , 400,000,000] Maximum [132,000,000 , 400,000,000] 400,000,000Step 2: Calculate portfolio margin floor by applying the 2.5% margin floor rateto the base.Portfolio margin floor Portfolio margin floor base x Portfolio margin floor rate 400,000,000 x 2.5% 10,000,000As a result, the portfolio margin will be:Portfolio margin28 Maximum [Sum of (HVaR x HVaR WGT SVaR x SVaR WGT) , Portfolio marginfloor] Maximum [Absolute value of ((-7,546.5 x 75%) (-23,535.29 x 25%) (-19,369 x 75%) (-60,407.67 x 25%) (-4,793,885.67 x 75%) (-16,147,985.33 x 25%)) , 10,000,000] Maximum [Absolute value of ((-11,543.70) (-29,628.67) (-7,632,410.59)) ,10,000,000] 10,000,0003.2.4.2 Flat Rate MarginFlat rate margin is calculated according to the steps as follows:Step 1: Aggregate absolute market value of long positions and absolute marketvalue of short positions separately for each position identified as perinstructions in §3.2.2.The portfolio margin floor is subject to change from time to time. HKSCC will issue circulars to notify the market before any changeis made.28Round off to the nearest integer if the result is a decimal number.27Page 14 of 36
HKSCC - VaR PlatformInitial Margin Calculation GuideFor example:InstrumentIDQuantityAbsolute m
Initial Margin Calculation Guide Page 8 of 36 3. CALCULATION OF TOTAL MTM AND MARGIN REQUIREMENT 3.1 Required Inputs 3.1.1 Risk Parameters and Margin Adjustments To derive total MTM and margin requirement, the risk parameters (including market risk and other risk components) and margin adjustments below are required. The sources are
Translation (NAT) should be employed at the EP's network so that the CCCG servers at HKEX are still connecting to the BSS with IP addresses at SDNet/2 EP's subnet (i.e. A.B.C.1 to A.B.C.223). In addition, the EP's network devices should be configured with the routing to the HKEX CCCG servers via the "Virt-IP" provided by the SDNet/2
PC London SPAN margin calculation - Positions, Prices and Parameters (determined by LCH.Clearnet Ltd and reviewed on a continual basis). A change to any one of these will result in a change to the margin requirement. Initial Margin Calculation PC London SPAN uses the following calculation to work out the initial margin requirements.
additional margin is not placed and the margin level falls below the Cut Margin Level. Cut Margin Level (currently set at 3%) - when margin level of your FXMT account falls below 3%, all your outstanding position(s) will be force-liquidated without prior notice. For Forward Contract - Maximum 1 year for all currency pairs except USD / CNH.
the same margin group are calculated based on data from the previous 30 and 250 business days, respec-tively. An offsetting effect between products of two margin classes within the same margin group is only granted if min(ρ30, ρ250) 0.5. The details of netting at margin class and margin group level for the forward-looking margin are described
promotional strategy - Better decisions OPERATING MARGIN WILL NOT CHANGE - classification only! Old gross margin : Old operating margin . New gross margin . New operating margin . Strategy for margin expansion : Core business Fixed cost containment : Fixed cost: 2012 : 2013 . 2014 . freeze* 30
margin is the percent by which the generating capacity exceeds th e peak demand and is defined as: The current generation reserve margin requirement for the ERCOT region is 12.5%, as approved by the ERCOT Board in August 2002. The following is a brief summary of the methodology for the reserve margin calculation (Reference 8.4-1).
Part 2. PRiME Calculation Algorithm This part explains how the margin requirements are calculated. It describes the different components in arriving at the final margin requirement. Part 3. Examples This part contains examples to illustrate the steps in calculating the margin requirement as stated in Part 2.
mastery of it : writing . In a recent survey, academic staff at the University identified the interrelated skills of essay-writing and reasoning as the two most important skills for success in higher education; when asked which skills students most often lacked, essay-writing was again at the top of their list. Needless to say, writing ability is also highly prized by employers. The purpose of .
