Derivatives Holiday Trading

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Are NH CPs not required to meet DDI on H Day?

Yes, NH CPs are not required to meet DDI on H Day.

Are there price limit for H Products in T Session and T+1 Session on H Days?

Price limit up down mechanism will continue to apply, same as Business Day. For MSCI F&O, price limit up down mechanism will apply on T+1 Session only.

Can H CP revise its Liquid Capital (LC) Apportionment on H Day?

As HKSCC and SEOCH markets are not open on H Day, HKCC CP cannot revise its liquid capital apportionment on H Day.

Does HKCC CPs require to settle any HKCC Participant Additional Deposits (HPAD) during H Days?

The settlement of HPAD, which is the CPs’ contribution to the Reserve Fund (RF), will not be required on H Days.

After the implementation of holiday trading, should the monthly review fall, or an ad-hoc review be triggered, on an H Day, HKCC will recalculate the RF based on the latest positions and informs all CPs of their recalculated HPAD on the first Trading Day (which is also the Business Day) after H Day(s).

For CBPL monitoring for H CPs, will positions from NH products also be included during H day?

Yes. Same as the current practice on Business Day, all positions (including both H and NH positions) will be included in CBPL monitoring on H Day. H CP will be required to pay additional margin (if any) on H Day while NH CPs will not be required to fulfill any payment obligation on H Days.

What is the price snapshot for MMC calculation on H Day?

Same arrangement as Business Day will be applied on H Day.

For the avoidance of doubt, as there is no trading for NH Products on H Day, the price snapshot of MMC for NH Products will be the daily settlement price on H-1 day.

Will Clearing House increase margin prior to or during a long holiday?

Currently, HKCC will increase the margin levels temporarily (i.e. holiday margin) for some major products before public holidays. Same arrangement will continue to apply to the following products after the implementation of holiday trading:

(i) NH products (e.g. HSI and HSCEI products)

(ii) H products which has margin offset with NH products

For other H products which do not have margin offset with any NH products, normal margin will be applied. Nevertheless, HKCC has the discretion to apply holiday margins or increase margins on products which may pose liquidity concerns on H days.

With the implementation of Holiday Trading, we will continue to conduct adhoc margin review for H products on H Days (i.e. the effective day of increased margin rates can fall on H Day).

Nevertheless, for the scheduled monthly margin review, the effective day of new margin rates for all products including H products will remain as the next HK Business Day (i.e. not fall on H Day).

H CP is required to settle all margin obligations with the prevailing margin rates (including the adhoc increase in margin) on H Day.

Will NH CPs be subject to IDM call in the afternoon of half day trading?

Yes, all CPs (including NH CPs) will need to settle any shortfall if there is any IDM call in the afternoon of half trading day.

Are there any changes in Last Trading Days for H Products after the implementation of Holiday Trading?

Subject to contract design, Last Trading Day of H Products may or may not fall on H Days. For MSCI F&O, the Last Trading Days may fall on H Days.

Can H CP choose whether or not to clear T+1 trades from previous day on H Days?

No, H CP has to clear the T+1 trades from previous day on HK holidays, same as normal business day.

Can CP fulfill CNH margins by USD fully?

The current collateral policy for RMB margin requirement will remain the same on Holiday Trading Days, i.e. there is a fixed limit of RMB 1 billion for the RMB margin requirement. Where the Clearing Participant’s (CP’s) margin requirement is on or below the limit, the CP is allowed to fulfill all the RMB margin requirement by any acceptable collateral (such as USD cash) where non-cash collateral could satisfy up to 50% of the margin requirement. Beyond limit, the CP’s margin requirement shall be satisfied by RMB cash. Please refer to the Consultation Paper Appendix 5 paras 14 and 16 (p.27) for reference.

Can I perform closeout in DCASS on H Days after the T session market closes? Will it be cleared every day?

Yes, CPs can perform closeout in DCASS on H Days after T session market close and it will be cleared everyday follow the service timeline of normal business day.

Can non-holiday EP receive OMD-D data on H Day?

All OMD-D Clients could connect to OMD-D and receive OMD-D data from their subscribed datafeed during Holiday Trading Days.

Can we continue to report SEOCH HK LOPR on H Day?

Participants are allowed to file LOPR on H-day concerning their reportable positions in SEHK stock options contracts as of previous Business Day.

Can we perform post trade activities like position close outs for NH products on H Day? And if so, will we be required to report these activities on HK LOPR for H+1?

H CPs can perform post trade activities for all HKFE products during H Days. There is no requirements to report LOP in NH Products during H Days. For the purpose to facilitate Holiday Trading Participant’s system setup and reporting logistics, it could opt-in to include the LOP in NH Products together with LOP in H Products in LOPR for the submission during H Days.

The LOP in NH Products shall be reported based on the positions recorded in their own books and apply the same reporting approach on a consistent basis.

Can you please confirm that all existing exchange reports published on non-holidays would be made available for all members?

On H or non-H Days, all existing DCASS reports for HKCC will be made available for all HKCC CPs.

Does CP need to fulfill margin requirement for NH products on H Days?

H CPs are required to settle all payment obligations (including obligations for HKD and other currencies) arising on H Days. NH CPs are not be required to fulfill any HKCC payment obligations during H Days, and outstanding payment obligation will be settled the next Business Day after an H Day (H+1 Day).

During a normal H Day scenario when HKD is not available and USD is available, are clients required to settle margin calls on the next trading day?

H Participants should issue margin calls during H Days to their clients who trade H Products and clients who trade H Products should continue fulfilling their money settlement for margin obligations during H Days.

During HK and US mutual holiday, can clients settle margin call later than the next Trading Day?

For the purpose of EP’s assessment under HKFE Rule 617(b) for the criteria of Established client, it is considered acceptable not to treat the outstanding margin call of the client as an unfulfilled margin call as long as the EP could obtain the documentary evidence that (i) there is sufficient funding with the bank to fulfil the margin obligations, (ii) fund transfer instructions have been placed with the bank pending completion due to the abovementioned reason and (iii) the fund transfer in (ii) being completed on the day which H Products open for trading immediately after US banking holidays.

For DCASS reports generated on H and H+1 Day, will they include both H and NH products?

Yes, for the DCASS reports generated on H and H+1 Days, they will include both H and NH products

For fees will be collected in USD on H Days, are the fees also subjected to a minimum threshold under which CPs will be required to pay in USD? Instead of debiting in HKD when VA and margin call amounts are below the threshold minimum, can HKEX debit the entire amount – VA, margin call and fees in USD instead (regardless of minimum)?

To reduce CP’s operation burden, H CPs are only liable to pay USD for HKD VA shortfall when the total HKD VA shortfall > HK$ 1 million (for settlement of H-1 days’ EOD obligation by 9:15am) and > HK$ 2 million (for MMC settlement). Same as the existing practice, CPs are not liable to pay if VA < threshold.

For LOP, EP needs to submit LOP on H Days. How about non EPs and EPs clients?

Any person (e.g. a client of Holiday Trading EP) who holds open positions in H Products in excess of a LOP and submits the LOPR to HKFE directly (instead of via its Holiday Trading EP(s)) shall be subjected to the LOP reporting procedures on H Products for H Days.

For T+1 trades before the holiday (T+1), such as the Hang Seng Index Futures, will the post-trade business be conducted on the day of the holiday or the next business day?

For H CPs, they could perform the post trade on H Day or the next business day. For NH CPs, they could perform the post trade on the next business day since they are not allowed to perform post trade on H Days.

For the T+1 session trades executed on H-1 Days, will the HKD and non-HKD denominated products possess different clearing date?

The clearing date will be the same, e.g. both on H Days. Since all HKFE products will be allowed for post trade for H CPs on H Days, therefore H Days will be considered as a valid clearing date for the HKFE products regardless HKD/non-HKD denominated.

H CPs need to meet DDI on H Day and will be settled in US dollars. Is it calculated based on all positions (including H and NH products) on H-1? If yes, even if CP only trades and holds NH products on, does it still need to prepare funds on H Day to meet DDI?

Yes, H CPs have to fulfill money obligation of H-1 T and T+1 Session on H Day, even holding for NH products only.

If 1st January falls on Monday to Friday, would it be a normal trading & clearing day for H Products?

New Year's Day (or Holiday of New Year's Day) will not be a trading & clearing day of any HKEX products.

If the next day after mutual holiday is still a HK holiday, will the HKD VA (that was already collected in CNH on mutual holiday) be called in USD on the day after mutual holiday and CNH be released as excess in HKEX?

Assuming the H CP is not able to meet USD VA collection on H Day (HK and US mutual holiday) and requests for alternative currency (e.g. CNH) for settlement. CNH is used to cover the required VA requirement on H Day.
If the next day after mutual holiday is still a HK holiday, any extra HKD VA will be called in USD on the day after mutual holiday and the CNH will be held until the day end collateralisation of the last H Day

If there is only HKD balance in my bank account, when there is DDI in USD for Holiday Trading Products, what will be the arrangement?

H CPs are strongly advised to notify HKEX as early as possible before the settlement deadline in such contingency. HKEX will advise the HKD amount using the FX rate and hair cut in CCMS.

Is HKEX supporting excess withdrawal on H day?

HKEX is able to support the withdrawal process (we have such process in place today). However, on holiday, HKEX is capable to process the withdrawal, but the settlement banks are not able to support this on day 1 (due to number of concerns in its banking infrastructure/system and etc). This is under our radar and we are actively working with them.

Is it allowed to settle margin requirements of MSCI products in HKD on H Day?

To alleviate the funding pressure on H Days, HKEX revises the 50-50 collateral rule for HKD and USD denominated contracts on H Days. H CPs are allowed to fulfill all their HKD and USD margin requirements by any acceptable collaterals (where non-cash collateral could satisfy up to 50% of the margin requirements) on H Days.

Is there a change on the LOPR submission timings during H Days?

There is no change on the submission deadline, LOPR for H Products shall be filed with HKFE by no later than 12:00 noon of the next Trading Day after the positions are opened or accumulated.

Is there any intraday Risk Parameters Files (RPF) generated during H Days? Will NH products be included in RPF on H Days?

Risk Parameters Files (including intraday RPF) will be generated on H Days.
Same as Business Day, all products including H products, NH products and SEOCH products will be included in the RPF.

On H Days, if other currencies or collateral are enough to cover USD margin, will DDI USD be issued during holidays?

No need to generate DDI for margin on H Days.

On H Day, will we need to pay H-1 shortfall or just pay holiday products' shortfall?

H CPs are required to fulfill H-1 shortfall for all HKFE products on H-Day.

To clear HKD denominated post trade, is there any DCASS input cutoff time on T+1 session on holiday trading day?

Yes, the DCASS input cutoff time will follow the timeline of normal business day, e.g. 03:00 HKT.

What documentary evidence is considered acceptable to satisfy the exception condition for assessment criteria of Established Clients on mutual holidays under HKFE Rule 617(b)?

The acceptable evidence shall include any confirmation, statement or instruction directly from or provided to the relevant banks in written form.

What is the timeline to expand Holiday Trading to other asset classes?

HKEX plans to allow all non-HKD denominated futures and options to be H Products. Initial stage will include MSCI futures and options as H Products. Subject to market conditions and readiness after the initial stage, HKEX will further include futures and options of other asset classes to be H Products.

Which products would be subject to holiday margin? Which CPs are required to settle the holiday margin?

Holiday margin will be applied to (i) NH Products and (ii) H Products that are eligible for margin offset with NH Products. All CPs, including both H CPs and NH CPs, are required to settle the holiday margin.

What will be the change for IV (information vendors)? Will the exchange market data system be open for connection? If we can connect, will we receive data in all the channels or only some channels?

There is no change on the interface and the message structure in Orion Market Data Platform - Derivatives (OMD-D). OMD-D Clients are suggested to refer to Appendix 1 of OMD-D Interface Specification which highlights the difference of the message behavior between a normal trading day and a Holiday Trading Day.

OMD-D Clients are suggested to review their systems and operation procedure and make necessary change to ensure the readiness of their systems for the implementation of Holiday Trading, especially with the updated key values and statistics will be shown correctly.

OMD-D will be operating on Holiday Trading Days and all multicast channels would have real time messages or at least heartbeat message disseminated.

OMD-D Interface Specification can be found in the web corner

Whilst it has been confirmed that non holiday products would be locked from trading (H-shares, Hang Seng) on HK Holidays - will DCASS equivalently lock them at the product level from any post trade allocation?

No equivalent lock in DCASS, since during holidays, all HKFE products (products cleared under HKCC, including Hang Seng products) will be allowed for post trade activities (e.g. give-up/take-up) in DCASS for H CPs only.

Will the operating schedule for close out/transfer position for offset claim/give in & give up process whether be changed for H/NH CPs?

No, the operating schedule will remain unchanged, follow the same on normal business day.

Will the T+1 transactions of H CP on the previous day, such as HSI Futures, be reflected in CCMDS01 on an H day or the next day as currently?

Yes, it will be reflected on CCMDS01 report on H Day.

Would HKCC perform default management during H Days?

The default management process during an H Days will be similar to the procedures on a Business Day. H Products which are not subject to holiday margin, HKCC will perform default management on HK public holidays. For H Products which are subject to holiday margin, the market risk exposure throughout the H Days will be mitigated by the margin collected beforehand, so there will be sufficient resources for HKCC to perform liquidation after H Days. HKCC retains the flexibility to perform liquidation on H Days.