編號
Ref. No.: DCRM/SEOCH/075/2017
日期
Date:
07/04/2017
香港聯合交易所期權結算所有限公司
(香港交易及結算所有限公司全資附屬公司)
THE SEHK OPTIONS CLEARING HOUSE LIMITED
(A wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited)
通告 CIRCULAR
Subject:
Risk Management Arrangements in respect of Easter Holidays – Reminder
Enquiry:
2211-6901
Reference is made to the circular (DCRM/SEOCH/059/2017) dated 29 March 2017 regarding the
risk management measures to be adopted by SEOCH in respect of the forth-coming Easter
Holidays. Participants are kindly reminded to take note of the following arrangements:
1. The margin intervals for stock options classes will be increased temporarily after the close of
business on 12 April 2017. Please refer to the Appendix for the temporarily increased margin
interval for each option class. The margin intervals will be restored to normal after the close of
business on 13 April 2017.
2. A special intra-day margin call on SEOCH Participants in respect of all open positions will be
made at around 3:00 p.m. on 13 April 2017.
To assist Participants in better assessing the potential margin impacts, the Clearing House has
made available a simulated Risk Parameter File (“Simulated RPF”) on the HKEX website for
Participants’ margin estimation purpose. This Simulated RPF is prepared based on the settlement
prices of 5 April 2017 and the temporarily increased margin levels. Participants may make use of
the simulated RPF to estimate the clearing house margin requirements under the temporarily
increased margin levels for their portfolios as well as the estimated funding requirements thereof.
Participants should note that the simulated RPF is for reference only and does not intend to
replace any daily RPF which are available at the end of each business day for the calculation of
the actual day-end margin requirements.
For the purpose of the Capital-Based Position Limit (CBPL) assessment and the necessary
additional margin calculation on the trading day prior to the holiday period, the normal margin rates
2
instead of the temporarily increased holiday margin rates will be applied.
In this regard, the
Clearing House will disseminate a tailor-made risk parameter file carrying normal margin rate
(“Normal Margin RPF”) via its website after the close of business on 12 April 2017 to assist
participants in monitoring their CBPL.
The “Simulated RPF” and the “Normal Margin RPF” as mentioned above can be downloaded from
the HKEX website with the hyperlink stated below:
http://www.hkex.com.hk/eng/market/rm/rm_dcrm/riskdata/Documents/HolidayRPF_Apr17.zip
Please ensure that your staffs are fully aware of both the temporary increase in the margin
intervals and the special intra-day margin call and make necessary arrangement with your
designated bank. You are also strongly advised to give advanced notice to your clients regarding
these arrangements where appropriate and ensure adequate margin deposits from your clients are
maintained during the holiday period.
For and on behalf of
The SEHK Options Clearing House Limited
Terence Low
Authorized Signatory
3
Appendix
Stock Options Classes
iShares FTSE A50 China Index ETF
AAC Technologies Holdings Inc.
Anhui Conch Cement Company Limited
AIA Group Limited
Aluminum Corporation of China Limited
ChinaAMC CSI 300 Index ETF
Bank of Communications Co., Ltd.
The Bank of East Asia, Limited
Belle International Holdings Limited
BOC Hong Kong (Holdings) Limited
BYD Company Limited
China Communications Construction Company Limited
China Coal Energy Company Limited
China COSCO Holdings Company Limited
China Cinda Asset Management Co., Ltd
CGN Power Co., Ltd
China Mobile Limited
China Unicom (Hong Kong) Limited
CITIC Limited
CK Hutchison Holdings Ltd.
Cheung Kong Property Holdings Ltd.
China Life Insurance Company Limited
CLP Holdings Limited
China Merchants Bank Co., Ltd.
CNOOC Limited
China Overseas Land & Investment Limited
Cathay Pacific Airways Limited
China Petroleum & Chemical Corporation
China Pacific Insurance (Group) Co., Ltd.
China Railway Construction Corporation Limited
China Railway Group Limited
China Resources Land Ltd.
W.I.S.E. - CSI 300 China Tracker
CSOP FTSE China A50 ETF
China Shenhua Energy Company Limited
Client
Margin
Intervals
as of 7 Apr
(%)
Temporary
Client
Margin
Intervals
(%)
Clearing
House
Margin
Intervals
as of 7 Apr
(%)
Temporary
Clearing
House
Margin
Intervals
(%)
7
11
8
7
12
7
7
7
8
7
11
8
11
14
11
7
7
8
11
7
11
7
7
7
7
8
7
7
7
7
8
11
7
11
12
7
15
12
7
16
7
7
7
11
7
11
11
11
18
11
8
8
10
11
7
11
10
7
8
7
11
8
8
8
10
11
12
7
11
16
5
8
6
5
9
5
5
5
6
5
8
6
8
10
8
5
5
6
8
5
8
5
5
5
5
6
5
5
5
5
6
8
5
8
9
5
11
9
5
12
5
5
5
8
5
8
8
8
13
8
6
6
7
8
5
8
7
5
6
5
8
6
6
6
7
8
9
5
8
12
4
Stock Options Classes
Client
Margin
Intervals
as of 7 Apr
(%)
Temporary
Client
Margin
Intervals
(%)
Clearing
House
Margin
Intervals
as of 7 Apr
(%)
Temporary
Clearing
House
Margin
Intervals
(%)
China CITIC Bank Corporation Limited
China Telecom Corporation Limited
CITIC Securities Co. Ltd.
Dongfeng Motor Group Co. Ltd.
Esprit Holdings Limited
FIH Mobile Limited
Geely Automobile Holdings Ltd.
Galaxy Entertainment Group Limited
Great Wall Motor Co. Limited
Haitong Securities Co., Ltd.
Hang Seng H-Share Index ETF
Power Assets Holdings Limited
Hong Kong Exchanges and Clearing Limited
Hengan International Group Co. Ltd.
HSBC Holdings Plc.
The Hong Kong and China Gas Company Limited
Henderson Land Development Company Limited
Huaneng Power International, Inc.
Hang Seng Bank Limited
Jiangxi Copper Company Limited
Kunlun Energy Co. Ltd.
Kingsoft Corporation Ltd.
Lenovo Group Limited
Li & Fung Limited
Link Real Estate Investment Trust
China Mengniu Dairy Co. Ltd.
MGM China Holdings Limited
China Minsheng Banking Corporation Limited
MTR Corporation Limited
China National Building Material Company Limited
New China Life Insurance Co. Ltd.
New World Development Company Limited
Ping An Insurance (Group) Company of China, Ltd.
PetroChina Company Limited
PICC Property and Casualty Company Limited
The People's Insurance Company (Group) of China
Limited
GCL-Poly Energy Holdings Ltd.
7
7
11
7
11
14
14
8
11
11
7
7
11
10
7
7
7
11
7
10
11
11
11
11
7
8
10
7
7
14
7
7
11
7
7
7
7
11
8
14
18
19
10
15
11
7
7
11
14
7
7
7
11
7
12
12
12
11
15
7
11
14
7
7
19
8
7
11
7
7
5
5
8
5
8
10
10
6
8
8
5
5
8
7
5
5
5
8
5
7
8
8
8
8
5
6
7
5
5
10
5
5
8
5
5
5
5
8
6
10
13
14
7
11
8
5
5
8
10
5
5
5
8
5
9
9
9
8
11
5
8
10
5
5
14
6
5
8
5
5
11
11
8
8
7
10
5
7
5
Stock Options Classes
Guangzhou R&F Properties Co., Ltd.
Sands China Ltd.
Sun Hung Kai Properties Limited
Standard Chartered PLC
Swire Pacific Limited
Tencent Holdings Limited
Tracker Fund of Hong Kong
The Wharf (Holdings) Limited
Want Want China Holdings Ltd.
Agricultural Bank of China Limited
Bank of China Limited
China Construction Bank Corporation
Industrial and Commercial Bank of China Limited
Yanzhou Coal Mining Company Limited
Zijin Mining Group Company Limited
Client
Margin
Intervals
as of 7 Apr
(%)
Temporary
Client
Margin
Intervals
(%)
Clearing
House
Margin
Intervals
as of 7 Apr
(%)
Temporary
Clearing
House
Margin
Intervals
(%)
12
7
7
8
7
7
7
8
11
7
7
7
7
11
11
15
8
7
10
7
8
7
10
11
7
8
8
7
15
12
9
5
5
6
5
5
5
6
8
5
5
5
5
8
8
11
6
5
7
5
6
5
7
8
5
6
6
5
11
9