Variation Margin on securities borrowing and lending is calculated based on last market price (Mark to Market) with the following formula:
The last market price on securities borrowing and lending market is divided into two calculation sessions as 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.