OTC Clear has completed the calibration of the Liquidity Risk Multiplier for China Yuan interest rate swap (CNY IRS) in accordance with Chapter 4 of their Clearing Procedures. The levels of the Liquidity Risk Multiplier have been determined based on the results of a poll conducted with Clearing Members in March 2023. The Liquidity Risk Multiplier will be effective from May 15, 2023. The Portfolio Level Liquidity Risk Multiplier and Component Level Liquidity Risk Multiplier have been summarized in tables. The margin add-on on portfolios that present material liquidation risk in the potential event of default will be calculated based on the relevant Liquidity Risk Multiplier. The margin add-on will be imposed on the Clearing Member as either the Portfolio Level Add-on or the Component Level Add-on, whichever is higher. An example is given to illustrate the calculation of the margin add-on.
Resource: https://www.hkex.com.hk/-/media/HKEX-Market/Services/Circulars-and-Notices/Participant-and-Members-Circulars/OTC-Clear/2023/Circular_OTCRM_May-2023_017.pdf