The Clearing Houses use margin as a main tool to mitigate its future credit exposure to its counterparty. Margin requirement is calculated based on the assessment of the maximum potential losses of a futures or an options contract or a portfolio of futures and options contracts over a one-day period under 16 simulated scenarios and a defined confidence level. The Clearing Houses monitor the margin levels on daily basis in order to ensure that they are at adequate levels.

Clearing House Margining Methodology

In HKCC and SEOCH, Portfolio Risk Margining System (PRiME), a SPAN 1 compatible margining algorithm, is the margining methodology adopted in DCASS to calculate the margin requirements of futures and options products.  Participants can make use of the clearing house Risk Parameter File (RPF) distributed by HKEX for calculation of Clearing House margins.

Client Margining Methodology

Client margin shall be calculated based on clearing house RPF with the application of a multiplier to scale up the margin.  The following is a brief description of the methodology2:

Client Risk Margin for each Combined Commodity shall be calculated based on the Clearing House Risk Margin3:

Client Risk Margin (A)* = Clearing House Risk Margin x Client Margin Multiplier4

*In case the client’s portfolio has solely long option positions in this
Combined Commodity, the Client Risk Margin is capped by the Long Option Value of that Combined Commodity .

If it is a SEOCH portfolio (i.e. premium-paid option), Mark-To-Market Margin5 shall be added in order to achieve the margin requirement for each Combined Commodity

Margin Requirement of a Combined Commodity (B) = (A) + Mark-To-Market Margin

The total margin requirement of a portfolio is the sum of the margins (i.e. (B)) of all Combined Commodities.

Further details of the Client Margining Methodology and examples are available at the link to Client Margining Methodology.


The Clearing Houses monitor and review the Clearing House and client margin levels for the futures and options regularly to ensure to keep track of changes in the latest market conditions.



1.     SPAN (Standard Portfolio Analysis of Risk) is a registered trademark of the Chicago Mercantile Exchange

2.     Terms bear the same meanings as in PRiME Margining Guide

3.     Risk Margin is equivalent to “SpanReq” in PC SPAN

4.     Client Margin Multiplier (effective from 20 March 2017) is 1.33

5.     It is the net option value of the option class and is equivalent to ‘Available Net Option Value’ in PC SPAN multiplied by -1

Updated 17 Mar 2017