編號 DCRM/HKEx/190/2011 Ref. No.: 日期 Date: 9 December 2011

香港交易及結算所有限公司是香港聯合交易所有限公司、香港期貨交易所有限公司及香港中央結算有限公司之認可控制人 Hong Kong Exchanges and Clearing Limited is the recognised controller of The Stock Exchange of Hong Kong Limited, Hong Kong Futures Exchange Limited and Hong Kong Securities Clearing Company Limited

通告 CIRCULAR

事項 Subject: Volatility Scan Range Update

查詢 Enquiry: Mr. Hill Ng / Mr. Marc Luk 2211-6945 / 2211-6905

In view of the recent volatile market conditions, the Exchanges and the Clearing Houses have determined to revise the volatility scan range (VSR) of the option contracts with effect from the commencement of trading on Wednesday, 28 December 2011 as follows:

Volatility Scan Range (VSR) Option Contract Current New options & 4% 5% Mini – Hang Seng Index options Hang Seng China Enterprises Index options 3% 5% Stock options 3% - 19% 6% – 15%

The VSR is a margin parameter designed to capture the inherent volatility risk of option. All portfolios with index option positions will generally experience an increase in the clearing house and client margin requirements as a result of the increase in their VSRs. As for the stock option positions, the margin impact may vary from portfolio to portfolio and would depend on the position composition of each portfolio as the magnitude of change in VSR for each stock option class is different (see Appendix).

To assist Participants in better assessing the potential margin impacts, the Clearing Houses will make available a few sets of simulated Risk Parameter Files (RPF) on the HKEx website for Participants’ margin estimation purpose. These simulated RPF, prepared based on the RPF as of 12, 14, 19 and 21 December 2011 as adjusted by the new VSRs, will be available from the HKEx website (http://www.hkex.com.hk/eng/market/rm/rm_dcrm/riskdata/Documents/RPFSample_Dec11.zip) on 13, 15, 20 and 22 December 2011. Participants may make use of these simulated RPF to estimate the respective clearing house and client margin requirements under the new VSRs for their portfolios as well as the estimated funding requirements thereof.

Participants should note that these simulated RPF are for reference only and do 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.

香 港 中 環 港 景 街 一 號 國 際 金 融 中 心 一 期 1 2 樓 12/F, One International Finance Centre, 1 Harbour View Street, Central, Hong Kong 電話 Tel: + 852 2522 1122 傳真 Fax: +852 2295 3106 網址 Website: www.hkex.com.hk 電郵 E-mail: [email protected]

Please ensure your staffs are fully aware of the change in the VSR and make necessary funding arrangements with your designated bank. You are also strongly advised to give advance notification to your clients and ensure adequate margin deposits from your clients are maintained to meet the higher margin requirements where appropriate.

Besides, Participants are reminded that the above-mentioned VSRs are for your firm’s financially strongest clients. Exchange Participants should set their margin requirements according to each client’s individual circumstances.

Felix Wang Vice President Derivatives Clearing Risk Management Risk Management Division

Appendix

VSRs for Stock Options

VSR (%) Stock Option Current New Agricultural Ltd. 5 8 AIA Group Ltd. 8 8 Aluminum Corporation of China Ltd. 14 15 Anhui Conch Cement Co. Ltd. 8 8 Bank of China Ltd. 4 7 Co. Ltd. 4 7 Belle International Holdings Ltd. 6 6 BOC Hong Kong (Holdings) Ltd. 12 12 BYD Co. Ltd. 9 8 Cathay Pacific Airways Ltd. 11 10 Cheung Kong (Holdings) Ltd. 9 9 China CITIC Bank Corporation Ltd. 4 6 China Coal Energy Co. Ltd. 5 10 China Communications Construction Co. Ltd. 5 7 Corporation 4 6 China COSCO Holdings Co. Ltd. 10 12 China Life Insurance Co. Ltd. 7 8 China Merchants Bank Co. Ltd. 4 7 Ltd. 11 8 China National Building Material Co. Ltd. 7 7 China Overseas Land & Investment Ltd. 8 10 China Pacific Insurance (Group) Co. Ltd. 4 8 China Petroleum & Chemical Corporation 10 10 China Railway Construction Corporation Ltd. 5 8 China Railway Group Ltd. 6 10 China Shenhua Energy Co. Ltd. 5 7 China Telecom Corporation Ltd. 9 8 (Hong Kong) Ltd. 15 12 CITIC Pacific Ltd. 9 9 CLP Holdings Ltd. 6 6 CNOOC Ltd. 11 11 Esprit Holdings Ltd. 5 14

VSR (%) Stock Option Current New Foxconn International Holdings Ltd. 5 6 Guangzhou R&F Properties Co. Ltd. 8 8 Ltd. 8 9 Henderson Land Development Co. Ltd. 11 9 Hong Kong Exchanges and Clearing Ltd. 7 8 HSBC Holdings Plc. 8 8 Huaneng Power International, Inc. 11 10 Hutchison Whampoa Ltd. 10 9 Industrial and Commercial Bank of China Ltd. 4 7 iShares FTSE A50 China Index ETF 5 7 Jiangxi Copper Co. Ltd. 6 11 Li & Fung Ltd. 11 11 MTR Corporation Ltd. 10 9 New World Development Co. Ltd. 14 12 PetroChina Co. Ltd. 19 14 PICC Property and Casualty Co. Ltd. 6 9 (Group) Co. of China, Ltd. 3 9 Ltd. 8 6 Ltd. 8 7 Swire Pacific Ltd. 'A' 8 8 Holdings Ltd. 7 8 The Bank of East Asia, Ltd. 9 9 The Hong Kong and China Gas Co. Ltd. 10 8 The Wharf (Holdings) Ltd. 9 9 Tracker Fund of Hong Kong 9 8 W.I.S.E. - CSI 300 China Tracker 5 7 Yanzhou Coal Mining Co. Ltd. 6 10 Zijin Mining Group Co. Ltd. 9 11