Margining Methodology - Hong Kong Market
HKSCC adopts a two-tier margin approach that follows the classification of Hang Seng Composite Index (“HSCI”). Stocks which are constituents of Hang Seng Composite LargeCap Index or Hang Seng Composite MidCap Index, all equity ETPs, and structured products of the aforementioned Tier P instrument(s) as underlyings are subject to Tier P margin calculation. All other non-Tier P instruments and structured products are subject to Tier N margin calculation. In addition, HKSCC may apply Margin add-ons to Clearing Participants to monitor and control the risk exposure of HKSCC.
Tier P: Value-at-Risk based (VaR based) Portfolio Margining is adopted, subject to minimum margin level of 3.2% (effective from 14 August 2023).
Tier N: Flat rate margin of sub-margin groups is as below, subject to Clearing Participant-specific margin multiplier (where appropriate).
- Margin group 11: Flat rate margin of 12% (effective from 13 June 2022)
- Margin group 22: Flat rate margin of 30% (effective from 16 Dec 2022)
- Margin group 33: Flat rate margin of 55% (effective from 27 Oct 2025)
Further details of the Margining Methodology and examples are available at the link to Initial Margin Calculation Guide.
(i) Review of Tier N Margin Rate
HKSCC performs regular review and update of Tier N Margin Rates where appropriate. In addition, Tier N Margin Rates may be determined by HKSCC in its absolute discretion from time to time by reference to the matters as HKSCC may consider relevant.
(ii) Notification of Change in Tier N Margin Rate
If any change of Tier N Margin Rates is considered appropriate, notification will be made to Clearing Participants at least one Business Day before the effective day.
All notifications of change in Margin Rates will be available on the HKEX website under “HKSCC Participant Circular”.
Note:
- Include all instruments not in other sub-margin groups.
- Currently include Bitcoin and Ethereum ETPs only.
- Currently include Virtual Asset ETPs other than Bitcoin and Ethereum. Product list of Virtual Asset ETPs (under the asset class “Virtual Asset”) is available at the link to Exchange Traded Products.