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Model for determination of margin/marks (Derivatives (SEOCH (Key…
Model for determination
of margin/marks
Derivatives
SEOCH
Key Parameters
for PRiME model
Margin rate
The higher of
min margin = 5%
Benchmark rate
[EWMA] +/- 3B
IMS rate
HKCC
Key Parameters
for PRiME model
Margin rate
The higher of
MMCR
Benchmark rate + 10%
[EWMA] Benchmark Rate = A + 3B
IMS rate
Of opposite
directional risk
money market
product
Benchmark rate + 10%
[SMA] Benchmark rate = A + 3B
ICS rate
Delta/Spread Ratio
(1/Beta)*(A's contract size/B's contract size)
ICS rate
= R^2 - Haircut
Haircut is calibrated by
back-testing of 99.73%
for 5 -year periods
Spot month charges and
physical delivery contract charge
Securities
HKSCC
Mark to Market model
value of Mark
the diff between
money position of
stock position
under CNS position
prevailing mkt value of stock position
using the nominal price
as pre-determined time for intra-day Marks
or closing price for end of day Marks
Standard Margin System
Margin position
x Margin rate
x Margin multiplier
−Favorable Marks Offset
−Margin Credit
Margin Rate
The higher of
5%
Benchmark + 10%
[EWMA] 3B
Margin credit
HKD 5M