Risk Management

Variation Margin in the securities lending and borrowing market is calculated using the following formula:

Variation Margin Borrow Position = Transaction volume*Last market price

The final market price for Variation Margin calculations is divided into two calculation sessions, follows:

1. Intraday Session (09.00 – 16.00)
   Last market price calculation is only done for stocks and on certain conditions with batching mechanism.
2. Post Trade Session (16.30 – 17.00)
   Last market price calculation is done for all stocks using closing prices at 16.00 on that day which will become the basis for mark to market calculation on the following day.

Initial margin calculation for securities borrowing and lending uses the same method as HsVAR Initial Margin calculation in Equity Market.