Hong Kong Futures Clearing House: Optimized daily settlement price methods for flagship products such as the Hang Seng Index will officially take effect on August 31

Zhitongcaijing · 2d ago

The Zhitong Finance App learned that on August 17, Hong Kong Futures Clearing Limited (Hong Kong Futures Clearing House) issued a notice stating that the optimized daily settlement price method for the flagship products of the Hong Kong Futures Clearing House will officially take effect on August 31, 2026. Such products include futures and options contracts for the Hang Seng Index (HSI), Hang Seng China Enterprises Index (HSCEI) and Hang Seng Technology Index (HSTECH), as well as related Mini-Hang Seng Index and Mini-Hang Seng China Enterprise Index contracts.

From the effective date, the daily settlement price for such products will be determined using the optimized daily settlement price method. The optimized method helps provide a more robust and market-representative daily settlement price calculation, thereby continuously improving the effectiveness of risk management and margin calculation. Any margin impact due to the implementation method change is one-time and limited to the end-of-day deposit calculation on the effective date.

According to the notice issued by the Hong Kong Futures Clearing House on April 30, under the optimized daily settlement price method, the daily settlement price will be determined in accordance with the revised daily settlement price waterfall structure, including the following: (i) using qualified and verified market observable data in the pricing process where feasible; (ii) using optimized modeled theoretical prices when market data is insufficient or inappropriate; (iii) using the daily settlement price of the previous trading day backwards if necessary; and (iv) exercising the Futures Clearing House's discretion in special or unusual circumstances, to ensure The determination of the daily settlement price is fair and reasonable.