Stress Testing
HKSCC constructed stress scenarios by applying the implied historical correlation from signature historical stress periods, hypothetical, theoretical and idiosyncratic stress scenarios. Please refer to the Stress Test Value Calculation Guide for details.
A Guarantee Fund has been set up to cover losses incurred by HKSCC as a result of guaranteeing the CNS trades in Eligible Securities, including China Connect Securities, or acceptance of defective securities deposited by Clearing Participants who subsequently defaulted in Hong Kong and/or China Connect Market(s).
The resources available to the Guarantee Fund comprise Basic Contributions and Dynamic Contributions made by Clearing Participants, interest income of the Guarantee Fund, Clearing House’s resources appropriated as contributions to the Guarantee Fund (10% of Guarantee Fund size) and other resources as arranged by HKSCC from time to time.
Clearing Participants’ contributions to the Guarantee Fund are in two parts, Basic Contribution and Dynamic Contribution and are in proportion to their average daily Expected Uncollateralized Loss for the most recent 60 Business Days, subject to a minimum amount.
The minimum aggregate amount of Basic Contributions is HKD100 million. There is no minimum aggregate amount for Dynamic Contributions. Generally, each Clearing Participant is allowed a HKD1 million Dynamic Contribution Credit in arriving at its required Dynamic Contribution. Clearing Participants’ required contributions are reviewed on the first business day of every month and ad hoc recalculation will be made when daily risk exposure exceeds 90% of the sum of the existing aggregate value of the Guarantee Fund and the Dynamic Contribution Credit utilized by all Clearing Participants.
A threshold is imposed on the Guarantee Fund. Guarantee Fund risk collateral in the amount of Expected Uncollateralized Loss of the Clearing Participant in excess of 50% of the Guarantee Fund threshold will be collected from the concerned Clearing Participants should the Guarantee Fund threshold be reached.
Guarantee Fund Threshold: HKD7.3 billion (effective 13 June 2022).