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Overview of CH RM in Cash and Derivatives Market (Derivatives Market…
Overview of CH RM
in Cash and Derivatives Market
Cash Market
Marks
= contract value of CNS position
− mkt value of CNS position
Margin
= Margining position
x Margin Rate
x Margin Multiplier
− Favorable marks
− Margin Credit
Margining position
Margin Rate
Max [Benchmark rate + 10%; 5%]
Benchmark rate
[EWMA] 3B
Concentration Collateral
Guarantee Fund
Basic Contribution
100M HKD
x CP's share of avg daily
CNS position of all CPs
in the preceding month
(上一 個月)
Min contribution
requirement
DCP
Max [50,000;
No. of trading right x 50,000]
GCP
Max [150,000;
(no. of trading right + no. of NCPs)
x 50,000 HKD]
Dynamic Contribution
(Required GF size
− Aggregate of CPs' Basic Contributions,
Appropriations and Accumulated Income)
x CP's share of avg daily CNS position
of all CPs in preceding month
− Dynamic Contribution Credit
CP's daily CNS position
is higher of
total cross-day net LONG CNS position + money settlement obligations
total cross-day net SHORT CNS position
Derivatives Market
Marks
P/L from mkt movement
Margin rate
for PRiME model
EWMA 90-day 99.73%
Intra-day margin call
triggered when margin is eroded
by significant market movement
Concentration Margin
Reserve Fund
Initial Contribution
CP = 1.5M HKD
GCP = 7.5M HKD
CBPL
HKCC & SEOCH
Net Limit
= 3 x Liquid Capital
Gross Limit
= 6 x Liquid Capital
Liquid Capital
GCP = 20M HKD
CP = 5M HKD
After Hour
Futures Trading (AHFT)
Monitor CP's exposures
by CBPL every hour
to control accumulation
Intra-day margin call
at following day market open