Derivatives Market Risk Management

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.

At least 5 sets of RPFs will be generated and distributed via the SFTP / HKEX website daily. Each file covers all markets cleared by both HKCC and SEOCH.

2 sets of RPFs will be generated around 2 hours after (i) T session close for non-Late Close contracts; (ii) the close of the trading day.  Their file names will have the 3rd character equal to 'P'. Please refer to the Change of T session Trading Hours circular for details.

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 15 minutes before market open 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 User Guide on Client Connect for more details of the RPFs.

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.

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 online 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.

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.