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The Traded Options Market will be closed for business from 25 to 28 March 2016. In order to assure that safeguards are in place against potential market risk that may arise during the aforesaid periods when some of the major markets are open, the Clearing House has decided to adopt the following risk management measures:
- The clearing house and client margin intervals for all options classes will be increased temporarily after the close of business on 23 March 2016 (i.e. the adjusted margin requirement must be settled on or before 9:15 a.m., 24 March 2016). Details of the temporary margin intervals will be announced on 18 March 2016 via a separate circular. The margin intervals will be restored to normal after the close of business on 24 March 2016 (i.e. after settling the day-end requirements as of 24 March 2016, Participants may withdraw surplus margin collateral, if any, in the morning of 29 March 2016 by submitting withdrawal requests via CCMS by 11:00 a.m.).
- A special intra-day margin call in respect of all open positions will be made at around 3:00 p.m. on 24 March 2016. You are required to ensure completion of payments within one hour after receiving notification of details of your special intra-day margin call.
Please note that the temporary increase in the margin intervals will generally increase the margin requirements as at the close of business of 23 March 2016. While the degree of increase may vary from portfolio to portfolio, the impact on the margin requirements could be greater for certain options series, especially those out-the-money series which are most sensitive to an increase in the margin intervals. To assist Participants in assessing the potential margin impacts at both clearing house and client levels, the Clearing House will make available a set of simulated Risk Parameter Files (“RPF”) on 18 March 2016 for Participants’ margin estimation purpose. Detailed arrangement will also be included in the margin circular to be released on 18 March 2016.
Please ensure that your staffs are fully aware of both the special intra-day margin call and the temporary increase in the margin intervals 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 that adequate margin deposits from your clients are maintained during the holiday period.
Despite the special intra-day margin call mentioned above, the Clearing House may make additional intra-day margin calls on 24 March 2016 should market conditions warrant.
For and on behalf of
The SEHK Options Clearing House Limited
