VaR Platform and Risk Management

VaR Platform is a risk engine for risk calculation, which is applicable to HKSCC Clearing Participants (CPs) only. VaR Platform offers risk related tools (1) Report Access Platform (RAP) for retrieval of VaR Platform reports and (2) VaR Online for margin and stress test simulation.

RAP is a platform for retrieval of VaR Platform reports and data files via secure file transfer protocol (SFTP) facility.

CPs can apply for a RAP User ID by submitting the RAP Registration and Maintenance for HKSCC or HKCC/SEOCH or Share Registrarform (eService: TechS 8) via Client Connect (https://connect.hkex.com.hk/) with ip addresses of designated workstations; for details please refer to the RAP Technical Guide.

For CPs who would like to develop their own tools to conduct margin and stress test calculation/simulation, can subscribe to access the optional “RPF folder” for retrieval of RPF by submitting the RAP Registration and Maintenance for HKSCC or HKCC/SEOCH or Share Registrar form (eService: TechS 8) via Client Connect (https://connect.hkex.com.hk/).

CPs should note that due to large file size, retrieval of RPF would require a larger bandwidth, please refer to section 7.1 of the RAP Technical Guide available in Client Connect (https://connect.hkex.com.hk/) for the projected download time under different Securities and Derivatives Network (SDNet) bandwidths.

VaR Online is a browser based tool to facilitate CPs to conduct margin and stress test simulation.

VaR Online is a browser based tool to facilitate CPs to conduct margin and stress test simulation.

VaR Online DA should access VaR Online DA functions via https://idm.hkexposttrade.com.hk/user-management/; while VaR Online Business User should access VaR Online user functions via https://rmcd.hkexposttrade.com.hk/.

If a user is assigned with both VaR Online DA and Business User roles, only one single login will be required. After successful login VaR Online DA functions via user-management URL, the user can enter VaR Online URL to switch to access user functions without re-login and vice versa.

For first time login, user will have to enter user ID and a One-Time Password (OTP) received from the user’s registered email, then setup user’s login password. After that, user will be required to setup channel to obtain OTP by mobile device in the ForgeRock Authenticator App or email, and enter the OTP to login the account.

For subsequent login to VaR Online DA functions or user functions, users will have to provide (1) User ID, (2) Password; and (3) OTP generated from the designated OTP channel (i.e. mobile device or email).

VaR DA or VaR Business User access will be locked after 5 consecutive unsuccessful attempts of login within 30 minutes. An email will be sent to the VaR DA or VaR Business User to notify the account status. To unlock the account:

• For VaR DA, should send email to VaRDA_unlock@hkex.com.hk to request for unlock of DA account.
• For VaR Business User, should request its VaR DA to unlock the user account.

Users have to register separate accounts to access Client Connect (https://connect.hkex.com.hk/) and VaR Online; and obtain OTP from the respective user profile to login.

Each RAP User ID will be restricted to a maximum of 5 times sign-on within 5 minutes. The User ID will be locked once it reaches 5 times within 5 minutes and will automatically be unlocked at every 5 minute interval.  CPs are reminded to avoid any intensive polling of reports / data files.

For example, if a RAP User ID has signed on more than 5 times between 12:45:10 and 12:47:30, the User ID will be locked at 12:47:31 then unlocked at 12:50:00 automatically.

CPs can refer to the technical guide under RAP and VaR Online User Guide available in Client Connect (https://connect.hkex.com.hk/).

CPs should refer to the VaR Platform reports, “MTM and Margin Requirement Report” (RMAMR01 and RMAMR03) for estimates of their end-of-day marks and margin requirement.  Please refer to VaR Platform User Guide available in Client Connect (https://connect.hkex.com.hk/) for report availability and details.

CPs may simulate the end-of-day margin requirement by using VaR Online, while CPs should note that the positions shown in VaR Online (when setting “Used positions” = “Real-time” under the “SETTINGS” tab) include pending positions from current and previous trading days, as well as due and overdue positions which will be updated from time to time throughout the day. For CPs who want to simulate the requirement that is closer to the final figure, may adjust the positions in VaR Online by excluding due positions on the current day and add Exercised Options Trade (EOT) positions accordingly. CPs may refer to VaR Online User Guide available in Client Connect (https://connect.hkex.com.hk/) for details.

After the collateralisation process, CCASS will calculate the actual payment amounts, CPs should refer to the following CCASS reports to fulfil their payment obligations:

• Posting / Collateralisation Result Report (intra-day) (CCMPY01)
• Posting / Collateralisation Result Report (day-end) (CCMPY02)

To mitigate potential under-collateralisation risk if an adverse mark-to-market change is observed after the intra-day call, excess cash collateral will NOT be released during intra-day, rather will only be released during day-end CCASS payment process.

In general, the relationship between Tier P sub-portfolio risk profile and corresponding margin requirements is summarized as follows:

CPs may pledge Specific Stock Collateral (SSC) or Specific Cash Collateral (SCC) to settle transactions by stock or money. For detail of the operation, please refer to CCMS Terminal User Guide section 7.1 Collateral Management Services available in Client Connect (https://connect.hkex.com.hk/).

CPs may pledge Specific Stock Collateral (SSC) or Specific Cash Collateral (SCC) to cover CNS positions which will be excluded from the marks and margin requirement calculation.  If the collateral applied is at Tier P sub-portfolio, the margin requirement can be higher or lower subject to the characteristic of sub-portfolio risk profile after pledged.  For details of the relationship between Tier P sub-portfolio risk profile and margin requirement, please refer to the previous FAQ “What is the relationship between Tier P sub-portfolio risk profile and corresponding margin requirements?”.

CPs can also opt to replicate the scenario of SSC or SCC arrangement by using VaR Online to simulate the requirement.  Please note that SSC are pledged in CCMS according to corresponding stock code and settlement date while SCC are arranged in CCMS according to corresponding stock code and trade date.  All cross-day position netting should be performed after considering SSC / SCC.  For more details on covering positions and cross-day position netting, please refer to section 4.3 “Specific Stock / Cash Collateral Position Cover” and section 4.5 “Cross-day Position Netting” of the Initial Margin Calculation Guide available in Client Connect (https://connect.hkex.com.hk/). 

Specific Stock Collateral (SSC)

CPs should arrange SSC before the cut-off time at 11:00 for the intra-day Marks collateralisation and 19:00 for the day-end Marks collateralisation, while SSC inputted after 18:30 is not guaranteed on-hold on the same day.

Specific Cash Collateral (SCC)

CPs should arrange SCC before the cut-off time at 11:45 for CPI payment (subject to CPI setup) and 18:00 for DDI payment.

CP should refer to VaR Platform report, “Daily Participant Margin Multiplier Report” (DWH0081C) for their own margin multipliers and the corresponding effective dates, the flat rate margin multiplier takes effect on the next business day after the review date.

The latest Tier N margin rate and Default Fund threshold information are available in Clearing – Risk Management section in HKEX website (https://www.hkex.com.hk/Services/Clearing/Securities/Risk-Management?sc_lang=en). Any changes to the above information will be announced via circular.

HKSCC will notify those CPs who are subject to payment of Default Fund add-on requirements with payment details. Default Fund add-on to be collected will be “Default Fund add-on requirements” shown in MTM and Margin Requirement Report (RMAMR01) minus “Collateral on-hand (OCF)” shown in Special-Use Collateral Balance Report (CCMSU04).

A monthly Default Fund review will take place at the first business day of each month, subject to ad-hoc review from time to time. Circulars will be issued on the day of Default Fund review (i.e. first business day of the month); while CPs must pay their Default Fund contribution requirements, if any, by 17:45 (via DDI) on the following business day.

CPs can refer to the following reports generated after the Default Fund review and collateralisation for their requirements:

• Default Fund Requirement Report (RMADF01) – available around 10:30 via RAP
• Statement of Default Fund Contribution (CCMDF02) – available around 12:00 noon via CCASS

CPs should refer to CCASS report “Statement of Default Fund Contribution” (CCMDF02) for their actual contribution requirements, which should be paid by 17:45 (via DDI) on the following business day.