HKSCC Risk Management Reform Measures. Briefing Session to CCASS Participants August 2012

Transcription

1 HKSCC Risk Management Reform Measures Briefing Session to CCASS Participants August 2012

2 Agenda Margin Guarantee Fund Preparation Notes for the Launch Q & A 2

3 Agenda Margin Guarantee Fund Preparation Notes for the Launch Q & A 3

4 Margin 1 Margin System 2 Specific Cash Collateral (SCC) 3 Preferred Single Settlement Currency 4 Margin and SCC to reduce Cash Prepayment Amount Use of Non-Cash Collateral to meet Marks, Margin and Concentration Collateral Requirement Collection of Exercised Options Trade (EOT) related Marks, Margin and Concentration Collateral Highlights of Modified Online Functions and Reports 8 Highlights of New Reports 4

5 Margin System - What is Margin? T Day T+1 Day T+2 Day T+3 Day Perform mark-tomarket (MTM) and collection of Marks Default of Clearing Participant (CP) Closing-out Contract price Last MTM price Closing out price Covered by Marks Covered by Margin 5

6 Margin System - Margin Requirement Margin Requirement is Calculated At the end of each business day and intra-day when conditions met By the following formula Margin Requirement = Favourable Margining Margin ( X X Margin ) Position Rate Multiplier Marks Margin Credit According to the currency of CNS position 6

7 Margin System - Margining Position 1) Margining Position is the higher of: a) CP s total cross-day net LONG CNS position (valued at MTM prices) - SSC (valued at contract prices) - SCC (valued at MTM prices); or b) CP s total cross-day net SHORT CNS position (valued at MTM prices) - SSC (valued at MTM prices) 2) Margin Multiplier - defined by HKSCC at individual participant level - default as 1 3) Margin Credit - HK$ 5 million SSC: Specific Stock Collateral SCC: Specific Cash Collateral 7

8 Margin System - Margin Rate a) Margin Rate = Benchmark Rate + 10% Cushion b) Subject to a 5% minimum c) The Benchmark Rate is determined as follows: Method Volatility Confidence interval Exponentially Weighted Moving Average (EWMA) Change on daily closing of Hang Seng Index (HSI) based on historical data for the past 90 trading days 3 standard deviation of the volatility function (i.e %) d) Review Frequency: Daily, ad-hoc upward adjustment when condition met Monthly, rate change reflective of market movement 8

9 Margin System - When is HKSCC Margin Rate Adjusted? Business Day 1 Business Day 2 Business Day 4 Current Margin Rate < Daily calculated Benchmark Rate Notifies market of the ad-hoc Margin Rate adjustment via circular Adjusted Margin Rate effective day Example Ad-hoc Adjustment Business Day Margin Rate 5% 5% 5% 5% 5% 6.16% 6.16% Benchmark Rate 4.7% 4.8% 5.6% 5.8% 6.0% 5.9% 6.1%... Monthly Adjustment Current Margin Rate < Daily calculated Benchmark Rate Notify the market of Margin Rate change Effective day of Margin Rate change New Margin Rate = Benchmark Rate X 110% Business Day Margin Rate 6.16% 6.16% 6.16% 6.16% 6.16% 6.16% 6.16% 5.39% Benchmark Rate 4.9% 4.7% 5.1% 5.0% 5.0% 4.9% 4.7% 4.8% Margin Rate to be updated on the 1st business day of each month based on Benchmark Rate determined on the 7th business day before the end of preceding month Next month 9

10 Margin System - Collection in Denominated Currency of CNS position Computation of Marks, Margin and Concentration Collateral Collection CNS position in CNY CNY CNS Position in HKD HKD CNS Position in USD USD Unless Preferred Single Settlement Currency is selected 10

11 Margin System - Intra-day Margin Triggering Conditions Hong Kong public holidays > one calendar day (other than Saturday and Sunday) AND Some of the major overseas markets are open Intra-day Margin calculation and collection on the day prior to the public holidays (No Refund) 11

12 Margin System - Margin Collection and Notification Cycles a) Daily Margin ~14:45 ~15:45 ~16:30 Broadcast message to inform estimation of Margin requirement b) Intra-day Margin (Before Holidays) in addition to Daily Margin Day End DDI to collect Margin DCI to refund Margin Broadcast message to inform report availability Download Margin Payable Report at CCASS Terminal Normal Trading Day 14:00 Calculate intraday Margin requirement ~14:45 Broadcast message to inform report availability Download Intra-day Margin Payable Report at CCASS Terminal Before 16:05 Issue DDI to collect intraday Margin Half Trading Day (Non- Settlement Day) 11:00 Calculate intra-day Margin requirement ~11:45 Broadcast message to inform report availability Download Intra-day Margin Payable Report at CCASS Terminal ~12:00 Issue CPI* to collect intraday Margin or CPs make payment to HKSCC 14:00 Payment deadline * CPI means a payment instruction generated by CCASS and transmitted electronically to a Designated Bank requesting payment be made for the CP. 12

13 Specific Cash Collateral (SCC) - What is it? What is it? SCC Deposit of pre-paid settlement monies for long CNS position SSC Deposit of stocks for short CNS position Settlement Settle money position of covered long CNS position on due settlement day Settle delivery obligation of covered short CNS position on due settlement day Waiver for Marks and Concentration Collateral Exclusion from Marks & Concentration Collateral calculation Waiver for Margin Reduction of Margining Position 13

14 Specific Cash Collateral (SCC) - Maintenance Function a) A maker-checker function b) Input stock code, trade date of the net long CNS position and amount of SCC c) Trade date <= today d) Payment method: CPI (cutoff: 11:45am) ; DDI (authorised by 6:00pm) The currency of the inputted stock will be displayed 14

15 Specific Cash Collateral (SCC) - Account Movement Enquiry Function Detail screen for enquiring movements of the past 30 business days Amount of SCC collected on this specific day Accumulated amount 15

16 Preferred Single Settlement Currency - for Marks, Margin and Concentration Collateral Preferred Single Settlement Currency for Marks & Margin Maintenance Function a) Allow to select ONE currency as the settlement currency b) Convert at exchange rate and haircut ratios determined by HKSCC c) HKD is selected by default (d) If N/A is selected, the shortfall of Marks, Concentration Collateral and Margin will be collected in the denominated currency of the CNS stock position 16

17 Preferred Single Settlement Currency - for Marks & Margin Maintenance Function a) A maker-checker function Select N/A, Yuan Renminbi, Hong Kong Dollar or US Dollar 17

18 Preferred Single Settlement Currency - for Marks & Margin Maintenance Function (Cont d) b) The estimated Marks & Concentration Collateral and Margin amount shown in Broadcast Messages will be in Preferred Single Settlement Currency selected by CP c) Effective immediately after authorisation for next payment generation 18

19 Margin and SCC to reduce Cash Prepayment Amount a) Precondition: Setup Cash Prepayment Standing Instruction in CCASS for releasing CNS allocated shares with CHATS as the selected payment method b) Reduce required Cash Prepayment amount due for settlement on T+2 day Collection amount by CPI CPI amount to be generated on T+2 = Required Cash Prepayment amount - Specific Cash Collateral - Margin Refund Required Cash Prepayment Amount Margin Refund Amount Specific Cash Collateral 19

20 Use of Non-Cash Collateral to meet Marks, Margin and Concentration Collateral Requirement Bank guarantee can be used to meet up to 50% of Marks, Margin and Concentration Collateral Requirement Acceptance criteria: cannot be issued by a group company issued bank met the acceptance criteria and within concentration limit set by HKEx 20

21 Collection of Exercised Options Trade (EOT) related Marks, Margin & Concentration Collateral General Arrangement : HKSCC collects from CP directly Alternative Arrangement : CP chooses to make payment to SEOCH in its capacity as a SEOCH participant Adoption of Alternative Arrangement Benefit: Allow CP to utilize their surplus collateral in its House CCMS A/C maintained with SEOCH, if any, to satisfy EOT related collateral requirement Requirement: CP to submit a prescribed application form (to be provided) to SEOCH 21

22 Collection of Exercised Options Trade (EOT) related Marks, Margin & Concentration Collateral (Cont d) Case 1: Requirement with EOT > Requirement without EOT General Arrangement Alternative Arrangement SEOCH collects from CP s House CCMS A/C in SEOCH SEOCH will then transfer the same to HKSCC HKSCC collects from CCASS CP Requirements without EOT Requirements with EOT HKSCC collects from CCASS CP 22

23 Collection of Exercised Options Trade (EOT) related Marks, Margin & Concentration Collateral (Cont d) Case 2: Requirements with EOT < Requirements without EOT General Arrangement Alternative Arrangement HKSCC collects from CCASS CP Requirements without EOT Requirements with EOT HKSCC collects from CCASS CP 23

24 Highlights of Modified Online Functions and Reports -Modified Collateral Account Balance Enquiry Function Detail screen for enquiring free and on-hold Specific Cash Collateral amount in pending or confirmed status 24

25 Highlights of Modified Online Functions and Reports -Modified Collateral Account Balance Enquiry Function (Cont d) a) Free Specific Cash Collateral 25

26 Highlights of Modified Online Functions and Reports -Modified Collateral Account Balance Enquiry Function (Cont d) b) On-hold Specific Cash Collateral 26

27 Highlights of Modified Online Functions and Reports (a) Reports Marks and Collateral Collection Report (CFIPM01) Enhancement highlights i) Marks and Concentration Collateral calculated in original trade currencies ii) Calculation of additional Marks and Collateral requirement for EOT trades (b) Posting / Collateralisation Result Report (CCMPY01/02) (c) Statement of Money Ledger (CSEMA08/ CSEMS08) i) Conversion of Marks & Margin shortfall from original trade currencies to a Preferred Single Settlement Currency for payment collection ii) Application of the intra-day Marks tolerance limit (CCMPY01 only) i) Rename of Marks on Pending Position A/C to Margin & Pending Marks A/C ii) New transaction codes related to Margin and Specific Cash Collateral 27

28 Highlights of New Reports Reports Available Time (a) (b) Intra-day Margin Payable Report (CRMMG01) Margin Payable Report (CRMMG02) Around 11:45am or 2:45pm on the days having an intra-day Margin Around 8:15pm on each trading day 28

29 Highlights of New Reports - Margin Payable Report (CRMMG02) (Sample Report) a) Section A Symbol for abnormal position Abnormal position will be excluded 29

30 Highlights of New Reports - Margin Payable Report (CRMMG02) (Sample Report) (Cont d) - Section A (Cont d) 30

31 Highlights of New Reports - Margin Payable Report (CRMMG02) (Sample Report) (Cont d) b) Section B Symbol for abnormal position Abnormal position will be excluded 31

32 Highlights of New Reports - Margin Payable Report (CRMMG02)(Sample Report) (Cont d) c) Section C Sum up the amount of CNS positions in respective currencies shown in Section A and B 32

33 Highlights of New Reports - Margin Payable Report (CRMMG02)(Sample Report) (Cont d) d) Section D & E Amount of submitted Specific Stock Collateral to be reduced from Margining Positions Amount of submitted Specific Cash Collateral to be reduced from Margining Positions 33

34 Highlights of New Reports - Margin Payable Report (CRMMG02)(Sample Report) (Cont d) e) Section F Margining Positions in respective currencies 34

35 Highlights of New Reports - Margin Payable Report (CRMMG02)(Sample Report) (Cont d) - Section F & Section G e.g. 10% Default value of Margin Multiplier is 1 1 Total amount equivalent to HK$5M (1) Collateral on-hand In respective currencies or in selected Preferred Single Settlement currency 35

36 Highlights of New Reports - Margin Payable Report (CRMMG02)(Sample Report) (Cont d) f) Section H Margin amount to be refunded on T+2 day = X - Y where X= Margin requirement on T+1 day-end (including EOT on T+1 day) Y= Margin requirement on CNS positions created on T+1 day only (including EOT on T+1) The amount of margin to be refunded is limited to the original amount of cash prepayment and the available cash collateral of respective currency in CCMS account 36

37 Highlights of New Reports - Intra-day Margin Payable Report (CRMMG01) a) Section A to E are the same as Margin Payable Report (CRMMG02) b) For Section F & G, same as Margin Payable Report (CRMMG02) except that no EOT information 37

38 Agenda Margin Guarantee Fund Preparation Notes for the Launch Q & A 38

39 Guarantee Fund 1 New Component of Guarantee Fund (GF) 2 Determination of Required GF Size 3 Calculation of Clearing Participant s (CP s) Dynamic Contribution 4 Collection / Refund of GF Contributions 5 New / Modified Reports 6 Simulation 39

40 Dynamic Contribution Credit New Component of Guarantee Fund (GF) - Dynamic Contribution Existing Future CPs Dynamic Contributions CPs Contributions, HKSCC Appropriations and Accumulated Income CPs Basic Contributions, HKSCC Appropriations and Accumulated Income 40

41 Determination of Required GF Size Stress Testing Assumptions (Note) Daily Daily CNS Position of Counterparty Default: Largest CP + 5 th Largest CP X Price Movement: Non-structured products : +/- 22% Structured products : +/-100% Daily Projected Loss Stressed GF Size Margin of the defaulting CPs under the counterparty default assumption Required GF Size = Largest Daily Stressed GF size in the preceding month Note : Stress testing assumptions may be changed due to market conditions and/or international standard requirement change 41

42 Determination of Required GF Size - CP s Daily CNS Position A CP s daily CNS position is the HIGHER of its: (a) (b) Total cross-day net LONG CNS position (valued at MTM prices) - SSC (valued at contract prices) - SCC (valued at MTM prices) + money settlement obligations; or Total cross-day net SHORT CNS position (valued at MTM prices) - SSC (valued at MTM prices) Note: SSC: Specific Stock Collateral SCC: Specific Cash Collateral 42

43 Calculation of Clearing Participant s (CP s) Dynamic Contribution A CP s Dynamic Contribution Requirement = ( X Required GF Size The CP s share of the average daily CNS positions of all CPs in the preceding month Aggregate of CPs Basic Contributions, HKSCC Appropriations and Accumulated Income ( Dynamic Contribution Credit (Note) Note: Dynamic Contribution Credit A global level of HK$1M for each CP A CP imposes excessive risk to HKSCC may be assigned a different Dynamic Contribution Credit 43

44 Collection / Refund of GF Contributions - Timetable 1 st Business Day 2 nd Business Day... 4 th Business Day Around 8:00 a.m. Determination of Required GF size; and Each CP s GF Basic and Dynamic Contributions requirements Alert pop-up box and Broadcast message to CPs on availability of Statement of Guarantee Fund Contributions (GFR608); and NCP(s) Guarantee Fund Contribution Projection By Position (GFR616) (for GCP only) Due Date of Collection/Refund of GF Contributions Normally by EMSI CPs may download GFR608 and GFR616 through CCASS Terminal using Report Download function CPs may choose to have GFR608 and GFR616 directly printed to their designated printers and/or text downloaded to a designated location of their computer via the Overnight Report Distribution function 44

45 Collection / Refund of GF Contributions - Broadcast Messages and Alert Popup Box Time available: On the next business day after each GF review from 8:00 a.m. Monthly Review Ad hoc Review 2 nd business day of every month The next business day after ad hoc review Broadcast message for GF review Monthly Review MONTHLY G. FUND REVIEW IS COMPLETED. PLEASE RETRIEVE GFR608. FOR GCP, PLS ALSO RETRIEVE GFR616. Ad hoc Review AD-HOC G. FUND REVIEW IS COMPLETED. PLEASE RETRIEVE GFR608. FOR GCP, PLEASE ALSO RETREIVE GFR616. Alert popup box Monthly Review (Note) Ad hoc Review A specific broadcast message was received. Please read it now. AD-HOC G. Fund Review is completed. Please retrieve GFR608. For GCP, please also retrieve GFR616. Note : Same as current alert popup box for monthly review 45

46 Collection / Refund of GF Contributions - Eligible Forms for Settlement of Required GF Contributions Eligible forms for settlement of Required GF Contributions: NO CHANGE Cash Minimum cash contribution requirement DCP: Higher of (i) HK$50,000; or ( (ii) No. of Trading Rights x HK$50,000 GCP: Higher of (i) HK$150,000; or ( (ii) (No. of Trading Rights + No. of NCPs) x HK$50,000 Bank Guarantee / Cash Contribution requirement in addition to the minimum cash contribution requirement In HKD 46

47 New / Modified Reports - Statement of Guarantee Fund Contributions (GFR608) Time available: On the next business day after each GF review from 8:00 a.m. Modifications: Renamed from Statement of Guarantee Fund Contribution Under CCASS Revise the contents due to introduction of Dynamic Contributions to GF Section 1: Basic Contribution GFR608 HKSCC RUN DATE : 02NOV 12 STATEMENT OF GUARANTEE FUND CONTRIBUTIONS RUN TIME : 08:00:01 PAGE : 1 DATE : 02NOV12 PART ID : B00001 PART NAME : ABC SECURITIES LIMITED HK$ HK$ REQUIRED BASIC CONTRIBUTION MINIMUM CASH CONTRIBUTION REQUIREMENT 250, ADDITIONAL CONTRIBUTION REQUIREMENT 1,250, ,500, LESS: BALANCE BROUGHT FORWARD CASH 1,000, BANK GUARANTEE 0.00 ACCRUED INTEREST (NOTE 1) ,000, AMOUNT OF BASIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY 499, ===================== THE AMOUNT OF BASIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY CAN BE SETTLED BY: HK$ ( X ) PAYABLE IN CASH 499, ( ) RECEIVABLE IN CASH 0.00 ( ) TRANSFER FROM "SETTLEMENT BANK GUARANTEE" 0.00 ( ) TRANSFER TO "SETTLEMENT BANK GUARANTEE"

48 New / Modified Reports - Statement of Guarantee Fund Contributions (GFR608) (Cont d) Section 2: Dynamic Contribution HK$ HK$ REQUIRED DYNAMIC CONTRIBUTION CALCULATED DYNAMIC CONTRIBUTION 3,000, LESS: DYNAMIC CONTRIBUTION CREDIT UTILIZED 1,000, ,000, LESS: BALANCE BROUGHT FORWARD CASH 0.00 BANK GUARANTEE 0.00 ACCRUED INTEREST (NOTE 1) AMOUNT OF DYNAMIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY 2,000, ===================== THE AMOUNT OF DYNAMIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY CAN BE SETTLED BY: HK$ ( X ) PAYABLE IN CASH 2,000, ( ) RECEIVABLE IN CASH 0.00 ( ) TRANSFER FROM "SETTLEMENT BANK GUARANTEE" 0.00 ( ) TRANSFER TO "SETTLEMENT BANK GUARANTEE" 0.00 Section 3: Net settlement amount of Basic and Dynamic Contributions THE NET SETTLEMENT AMOUNT OF BASIC CONTRIBUTION AND DYNAMIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY: HK$ ( X ) DDI (NOTE 2) 2,499,995,54 ( ) DCI (NOTE 3) 0.00 ( ) TRANSFER FROM "SETTLEMENT BANK GUARANTEE" (NOTE 4) 0.00 ( ) TRANSFER TO "SETTLEMENT BANK GUARANTEE" (NOTE 4) 0.00 DUE DATE : 06NOV12 REMARKS: NOTES : 1. ACCRUED INTEREST IS CALCULATED DAILY BASED ON THE EXCESS CASH CONTRIBUTION FOR THE LAST MONTH. 2. THE AMOUNT WILL BE COLLECTED BY HKSCC VIA DIRECT DEBIT INSTRUCTION (DDI) ON DUE DATE. 3. THE AMOUNT WILL BE REFUNDED BY HKSCC VIA DIRECT CREDIT INSTRUCTION (DCI) ON DUE DATE. 4. THE AMOUNT WILL BE TRANSFERRED AUTOMATICALLY BY HKSCC ON DUE DATE. *** END OF REPORT *** 48

49 New / Modified Reports - NCP(S) Guarantee Fund Contribution Projection By Position (GFR616) Time available: On the next business day after each GF review from 8:00 a.m. (for GCP only) GFR616 - NCP(s) Guarantee Fund Contribution Projection By Position GFR616 HKSCC RUN DATE : 0 2NOV12 NCP(S) GUARANTEE FUND CONTRIBUTION PROJECTION BY POSITION RUN TIME : 08:00:01 PAGE : 1 DATE : 02NOV12 PARTICIPANT ID : B00002 PARTICIPANT NAME : XYZ SECURITIES LIMITED NCP FIRM ID FIRM NAME AVERAGE PROJECTED POSITION PROJECTED GUARANTEE FUND CONTRIB UTION HK$ HK$ DEF SECURITIES LIMITED 1,000, , GHI SECURITIES LIMITED 2,000, , JKL SECURITIES LIMITED 4,000, , *** END OF REPORT *** 49

50 Simulation A word Simulation is marked on the simulation reports and different Report IDs are used for easy identification (i) Statement of Guarantee Fund Contributions (Simulation) (GFS608) (ii) NCP(s) Guarantee Fund Contribution Projection by Position (Simulation) (GFS616) Availability: 2nd Business Day of each month from 2 August 2012 to launch date No collection of Dynamic Contribution during simulation period Sections in relation to Amount Due From/(To) Your Company in the GFS608 are not applicable 50

51 Simulation - Statement of Guarantee Fund Contribution (Simulation) (GFS608) Section 1: Basic Contribution Items relating to Amount Due From/(To) Your Company are not applicable during simulation period and will be displayed as 0.00 or blank in GFS608 GFS608 HKSCC RUN DATE : 02AUG 12 STATEMENT OF GUARANTEE FUND CONTRIBUTIONS (SIMULATION) RUN TIME : 08:00:01 PAGE : 1 DATE : 02AUG12 PART ID : B00001 PART NAME : ABC SECURITIES LIMITED HK$ HK$ REQUIRED BASIC CONTRIBUTION MINIMUM CASH CONTRIBUTION REQUIREMENT 250, ADDITIONAL CONTRIBUTION REQUIREMENT 1,250, ,500, LESS: BALANCE BROUGHT FORWARD CASH 0.00 BANK GUARANTEE 0.00 ACCRUED INTEREST (NOTE 1) AMOUNT OF BASIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY 1,500, ===================== THE AMOUNT OF BASIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY CAN BE SETTLED BY: HK$ ( ) PAYABLE IN CASH 0.00 ( ) RECEIVABLE IN CASH 0.00 ( ) TRANSFER FROM "SETTLEMENT BANK GUARANTEE" 0.00 ( ) TRANSFER TO "SETTLEMENT BANK GUARANTEE"

52 Simulation - Statement of Guarantee Fund Contribution (Simulation) (GFS608) (Cont d) Section 2: Dynamic Contribution REQUIRED DYNAMIC CONTRIBUTION CALCULATED DYNAMIC CONTRIBUTION 3,000, LESS: DYNAMIC CONTRIBUTION CREDIT UTILIZED 1,000, ,000, LESS: BALANCE BROUGHT FORWARD CASH 0.00 BANK GUARANTEE 0.00 ACCRUED INTEREST (NOTE 1) AMOUNT OF DYNAMIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY 2,000, ===================== THE AMOUNT OF DYNAMIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY CAN BE SETTLED BY: HK$ ( ) PAYABLE IN CASH 0.00 ( ) RECEIVABLE IN CASH 0.00 ( ) TRANSFER FROM "SETTLEMENT BANK GUARANTEE" 0.00 ( ) TRANSFER TO "SETTLEMENT BANK GUARANTEE" 0.00 HK$ HK$ Section 3: Net settlement amount of Basic and Dynamic Contributions THE NET SETTLEMENT AMOUNT OF BASIC CONTRIBUTION AND DYNAMIC CONTRIBUTION DUE FROM / (TO) YOUR COMPANY: HK$ ( ) DDI (NOTE 2) 0.00 ( ) DCI (NOTE 3) 0.00 ( ) TRANSFER FROM "SETTLEMENT BANK GUARANTEE" (NOTE 4) 0.00 ( ) TRANSFER TO "SETTLEMENT BANK GUARANTEE" (NOTE 4) 0.00 DUE DATE : REMARKS: NOTES : 1. ACCRUED INTEREST IS CALCULATED DAILY BASED ON THE EXCESS CASH CONTRIBUTION FOR THE LAST MONTH. 2. THE AMOUNT WILL BE COLLECTED BY HKSCC VIA DIRECT DEBIT INSTRUCTION (DDI) ON DUE DATE. 3. THE AMOUNT WILL BE REFUNDED BY HKSCC VIA DIRECT CREDIT INSTRUCTION (DCI) ON DUE DATE. 4. THE AMOUNT WILL BE TRANSFERRED AUTOMATICALLY BY HKSCC ON DUE DATE. *** END OF REPORT *** 52

53 Agenda Margin Guarantee Fund Preparation Notes for the Launch Q & A 53

54 Preparation Notes to CP for the Launch (a) (b) To ensure sufficient fund to fulfill the obligations of Marks, Margin, Concentration Collateral and Guarantee Fund Contributions To setup the foreign currency bank account with designated bank and properly complete all required authorization for the settlement of Marks, Margin and Concentration Collateral in Preferred Single Settlement Currency 54

55 Preparation Notes to CP for the Launch (Cont d) (c) For the settlement of intra-day Marks and intra-day Margin calculated at 11:00am and deposit of Specific Cash Collateral by CPI (i) Setup the usage of CHATS Payment Instruction for payment in CNY, HKD and USD (ii) Return the Standing Instruction for Settlement of Intraday Marks and Intra-day Margin by CHATS Payment Instruction (CPI) to HKSCC (d) CPs who wish to cover Marks, Margin, Concentration Collateral and Guarantee Fund Contribution by bank guarantee should arrange to deposit bank guarantee in the prescribed form 55

56 Question & Answer 56

57 Thank You 57

58 Appendix 1 Abnormal Positions The following types of positions will be excluded from the Margining Position: Cross-day net position quantity Zero Zero +ve +ve Cross-day net position amount (contract value) +ve -ve +ve Zero

59 Appendix 2 Lists of New / Modified Functions and Reports List of New Functions and Reports Item (a) (b) (c) (d) (e) (f) (g) (h) (i) Functions / Reports Name Specific Cash Collateral Account Movement Enquiry Function Specific Cash Collateral Maintenance Function Specific Cash Collateral Instruction Activity Report (CCMSC01) Preferred Single Settlement Currency for Marks & Margin Maintenance Function Maintain Preferred Single Settlement Currency Activity Report (CCMPS01) Intra-day Margin Payable Report (CRMMG01) Margin Payable Report (CRMMG02) NCP Margin Projection Report (CRMNP03/04) NCP(s) Guarantee Fund Contribution Projection By Position (GFR616) 59

60 Appendix 2 Lists of New / Modified Functions and Reports (cont d) List of Modified Functions and Reports Item (a) (b) (c) (d) (e) (f) (g) (h) (i) Functions / Reports Name Collateral Account Balance Enquiry Function Marks and Collateral Collection Report (CFIPM01) and Intraday Marks and Collateral Collection Report (CRMIM01) NCP Marks Projection Report (CRMNP01/02) Statement of Guarantee Fund Contributions (GFR608) Collateral Account Balance Report (CCMCA02) Statement of Collateral Account (CCMDS01) Participant Collateral Account Movement Report (CCMMV01) Posting / Collateralisation Result Report (CCMPY01/02) Statement of Money Ledger (CSEMA08/CSEMS08) 60

61 Appendix 3 Statement of Money Ledger (CSEMA08/ CSEMS08) New Transaction Codes Transaction codes CL CM CN CO CP CQ Description CCMS Margin SH for IM CCMS Margin SH Refund of Margin SCC Deposit INSTR Transfer of Specific Cash Collateral Free SCC Refund INSTR 61