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Margin

Margin Rate – Hong Kong Market
Current Margin Rate
Current Margin Rate (effective from 26 March 2020) is 8%.

Determination of Margin Rate

(i) HKSCC determines the Margin Rate using the following parameters:
Determination of Benchmark Rate
Method
Exponentially Weighted Moving Average
 Volatility
Change on daily closing of Hang Seng Index (HSI) based on historical data for the past 90 trading days
Confidence interval
3 standard deviation of the volatility function (i.e. 99.73%)
Margin Rate = Benchmark Rate x (1 + Buffer Rate)
Buffer Rate     
A 10% cushion will be added on the benchmark rate to avoid frequent adjustment of Margin Rate during a month
Minimum level          
Margin Rate is subject to the minimum of 5%

 
A 10% cushion will be added on the benchmark rate to avoid frequent adjustment of Margin Rate during a month

(ii) Review of Margin Rate

HKSCC performs regular review and update of Margin Rate on a monthly basis. In general, Margin Rate will be updated on the 1st Business Day of each month.

(iii) Ad-hoc Review of Margin Rate

HKSCC also monitors the current Margin Rate to ensure that sufficient cover is provided by the Margin Rate despites the change of market volatility. HKSCC recalculates the benchmark rate on every trading day and compares it against the current Margin Rate. When the benchmark rate exceeds the current Margin Rate, an ad-hoc review and revision of the Margin Rate will be triggered. Margin rate will also be determined by HKSCC in its absolute discretion from time to time by reference to the matters as HKSCC may consider relevant. A circular will be issued to Clearing Participants to notify them of the revision and effective date. 

(iv) Notification of Change in Margin Rate

For monthly review of Margin Rate, HKSCC will notify Clearing Participants of the revised Margin Rate at least three Business Days before the effective day by means of circular.

For ad-hoc review of Margin Rate, notification will be made to Clearing Participants at least one Business Day before the effective day.

All notifications of change in Margin Rate will be available on the HKEx website under “HKSCC Participant Circular”.



Updated 26 Mar 2020

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