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NextGen Risk Management

With a focus on being “Technology Empowered” at the heart of our approach, HKEX is proud to launch NGRM, a brand new platform for post-trade clients; enabling a new risk-adjusted way of calculating the initial margin and stress testing our market default fund. This approach enables client risks to be managed in accordance with compliance and regulatory requirements, whilst at the same time maximising transparency and cost-efficiency across market participants.

 

NextGen Post Trade Platform-Risk Management enquiries:
Tel: (852) 2211 6828
 Email: NG_PostTrade@hkex.com.hk


Updated 08 May 2020

NGRM Videos

Updated 17 Jan 2020

Getting Started

CPs should note that during the Familiarisation Programme, the ORP is not in commercial operation and should not be used in any commercial context or form. As such, the ORP and any output that can be obtained from such platform including without limitation the new set of margin reports are, during the Familiarisation Programme, provided for familiarisation purposes only. CPs therefore should not rely on the ORP or any output from such platform in any way and should continue their normal risk management measures, prepare funding and make payments according to existing CCASS reports and schedule until the business implementation of the ORP and the new risk models. 

Information Package

ORP Familiarisation Programme Information Package (Jul 2021)

Phase 1

Report Specifications (for familiarisation only, subject to further update)

-New ORP reports - to be retrieved from RAP:

      1. Marginable Position Report (RMAMP01) (May 2021)

      2. MTM and Margin Requirement Report (RMAMR01) (May 2021)

      3. MTM and Margin Requirement Report (Summary Version) (RMAMR03) (May 2021)

Report Comparison (for familiarisation only, subject to further update)

      4. MTM & Margin Report Comparison Guidelines (Jan 2021)

 

Phase 2

Report Specifications (for familiarisation only, subject to further update)

-New ORP reports - to be retrieved from RAP:

      5. Corporate Action Event Report (DWH0229) (May 2021)

      6. Series Price Report (DWH0305) (May 2021)

      7. IPO indicator (DWH0303) (Aug 2021)

      8. Risk – Stress Testing Report (RMAST01) (May 2021)

      9. Default Fund Requirement Report (RMADF01) (Aug 2021)

Only applicable to CPs who would like to replicate the margin calculation:

    10.          Initial Margin Risk Parameter File (RPF01)

- refer to Initial Margin Calculation Guide for file specification

    11.         Stress Testing Risk Parameter Files (RPF02, RPF03, RPF04)  

- refer to Stress Test Value Calculation Guide for file specification

 

NGRM Online

User Guide

Section 1 Overview (May 2021)

Section 2 Getting Started (Jul 2021)

Section 3 Settings & Screen Standard (May 2021)

Section 4 Margin and Stress Test Simulation for Clearing Participants (May 2021)

Report Specification (for familiarisation only, subject to further update)

-To be retrieved from RAP:
 

 

Business Launch

Report Specifications (for familiarisation only, subject to further update)

-New ORP reports - to be retrieved from RAP:

      13. Daily Participant Margin Multiplier Report (DWH0081C) (May 2021)

          14. Risk - Northbound MSTD Requirement Report (RMCNM01) (May 2021)

          15. Risk - Northbound MSCD Requirement Report (RMCNM03) (May 2021)

    -New CCASS report – to be retrieved from CCASS Terminal/ Participant Gateway:

     -Modified CCASS reports – to be retrieved from CCASS Terminal/ Participant Gateway: