Frequently Asked Questions 

 

Q1: How can Participants acquire the PC SPAN software?

Q2: How many Risk Parameter Files (RPFs) will be generated and distributed via the DCASS Terminals/ HKEX website daily?

Q3: What is the difference between the Early RPFs and Final RPFs?

Q4: Why is there no response after the Risk Parameter File (RPF) has been fed to the PC SPAN software?

Q5: How are the daily settlement prices for Futures and Options contracts determined?

Q6: When will the fixing values be available?

Q7: Are Stock Options and Stock Futures in the same Combined Commodity?

Q8: How do Participants perform client offset claim?

Q9: How do Clearing Houses notify Participants in case of intra-day margin call?

Q10: How can Participants reconcile the Intra-day Margin reports?

Q11: What is the treatment of Intra-Day and End-of-Day Variation Adjustment in relation to Internal and External Position Transfer?

Q12: Apart from initial contribution, when are Clearing Participants required to make additional contribution to Reserve Funds?

Q13: What are the means of contribution to Reserve Funds?

Q14: What kinds of cash and non-cash collaterals are accepted for satisfying margin requirements? Is there any priority of usage and haircut?

Note: This FAQ is for information only and in the event of inconsistencies and / or conflicts between this document and the Clearing Rules and Procedures of HKCC, Options Clearing Rules and the Operational Clearing Procedures for Options Trading Exchange Participants of SEOCH and the relevant Agreements, the Rules, Clearing Procedures and Agreements shall prevail.

Q1: How can Participants acquire the PC SPAN software?

A: Participants can acquire the PC SPAN software directly from the Chicago Mercantile Exchange Inc.

Participants may use other software or develop their own software to calculate their client margin requirements provided that the margin calculated should not be lower than that calculated by using the PC SPAN. Participants are reminded that the minimum margin rates determined by HKEX are for the Participants' financially strongest clients. Participants should set their margin requirements according to each client's individual circumstances.

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Q2: How many Risk Parameter Files (RPFs) will be generated and distributed via the DCASS Terminals/ HKEX website daily?

A: At least 4 sets of RPFs will be generated and distributed via the DCASS Terminals/ HKEX website daily. Each file covers all markets cleared by both HKCC and SEOCH.

1 set of RPFs will be generated around 2 hours after the close of trading for the day. Their file names will have the 3rd character equal to 'P'.

1 set of RPFs will be generated around mid-night of the trading day. Their file names will have the 3rd character equal to 'F'.

2 sets of intra-day RPFs will be available in the HKEX website at around 09:00 and 13:00. Their file names will have the 3rd character equal to 'I'. In case there is Intra-day Margin call, 1 set of intra-day RPFs will be generated for each IDM call and available in the HKEX website immediately after the IDM Clearing Message is issued.

Each set of RPFs mentioned above will have 1 file. The file is used for calculation of Clearing House margin which has the 2nd character of the file name equal to 'P'.

Participants can refer to the DCASS Terminal User Guide for more details of the RPFs.

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Q3: What is the difference between the Early RPFs and Final RPFs?

A: Other than the difference in generation time, they are in general the same except under some exceptional cases where some adjustments are made by the Clearing Houses to the Final RPFs.

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Q4: Why is there no response after the Risk Parameter File (RPF) has been fed to the PC SPAN software?

A: Participants can confirm the successful loading by clicking on the "+" sign on the left of the word "Span" in the Data Window. If the loading is successful, Participants can see the list of risk parameters loaded in the PC SPAN. Also, Participants can check with the "log" screen to confirm the loading status.

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Q5: How are the daily settlement prices for Futures and Options contracts determined?

A: The determination of the daily settlement prices for Futures and Options is basically based on the market price available before the market close as well as the theoretical price calculated if there is no market price available. Participants can refer to the HKCC Procedures (Section 2.3) and Operational Clearing Procedures of SEOCH (Section 9.2.1) for more details.

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Q6: When will the fixing values be available?

A: The fixing values will normally be available via the DCASS Terminal around 6:00 pm to 6:30 pm.

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Q7: Are Stock Options and Stock Futures in the same Combined Commodity?

A: No. Stock Options and Stock Futures are separated into 2 different Combined Commodity. Margin calculation is based on the Combined Commodity level, and no offsetting between Stock Options and Stock Futures will be allowed.

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Q8: How do Participants perform client offset claim?

A: For both HKCC Participants and SEOCH Participants, they can simply transfer the claimed client positions from the Omnibus Client Account to Client Offset Claim Account "COCA" for the client offset purpose. DCASS will calculate the margin of the claimed positions in COCA on a net basis.

For SEOCH, margin offset through COCA must be claimed in pairs of client positions and only the position pairs fulfilling ALL the following conditions are eligible:

  1. The pair of positions is in the COCA;
  2. The pair of positions belongs to the same beneficial owner; and
  3. The positions forming the pair are one short put and one uncovered short call positions sharing the same underlying

For both HKCC Participants and SEOCH Participants, Individual Client Account is also available for the offset purpose. A Participant can simply transfer positions of an individual client from the Omnibus Client Account to a designated Individual Client Account in which the positions will be kept and margined on a net basis.

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Q9: How do Clearing Houses notify Participants in case of intra-day margin call?

A: Clearing Houses will send clearing message to alert Participants in case of intra-day margin call. A pop-up window will be displayed on the DCASS Terminals to alert Participants there is new clearing message received. Participants should check clearing messages regularly via the "Clearing Messages Window".

To facilitate Participants to get used to the notification arrangement, Clearing Houses would still make phone alerts in addition to the Clearing Message alert for intra-day margin call.

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Q10: How can Participants reconcile the Intra-day Margin reports?

A: Participants can reconcile the intra-day margin reports with the margin results generated from PC SPAN after feeding the intra-day RPF and position data file (RPI07) into the PC SPAN.

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Q11: What is the treatment of Intra-Day and End-of-Day Variation Adjustment in relation to Internal and External Position Transfer?

A: The transfer price for a position transfer is the closing quotation on the date of transfer day. After an internal and external transfer of position from the transferring Participant Account to the receiving Participant Account:

On the day of the position transfer, the subsequent intra-day and end-of-day Variation Adjustment calculation of the transferring Participant Account will include those of the transferred positions until the commencement of the next business day.

On the day of the position transfer, the subsequent intra-day and end-of-day Variation Adjustment calculation of the receiving Participant Account will exclude those of the transferred positions until the commencement of the next business day.

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Q12: Apart from initial contribution, when are Clearing Participants required to make additional contribution to Reserve Funds?

A: In addition to making initial contribution to the Reserve Fund, HKCC and SEOCH may also require each Participant to make variable contributions. HKCC and SEOCH will assess the adequacy of the Reserve Funds on the 1st business day of every month to determine whether any variable contribution will be required. Apart from the regular monthly assessments, ad hoc re-calculation of the variable contributions will be made and demanded from time to time if HKCC or SEOCH considers necessary.

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Q13: What are the means of contribution to Reserve Funds?

A: Means of contribution are set out below:

 

Initial Contribution Additional/Variable Contribution
Cash in HKD Cash in HKD, Exchange Fund Bills and Notes

 

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Q14: What kinds of cash and non-cash collaterals are accepted for satisfying margin requirements? Is there any priority of usage and haircut?

A: Please refer to the Collateral Management section (with the hyperlink attached below) for all the details about the acceptable collaterals and their corresponding haircut rates.  The hyperlink of the Collateral Management: http://www.hkex.com.hk/eng/prod/clr/dv_clrsett/colleralmange.htm

 

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