2 ACCOUNT 2.1 ACCOUNT STRUCTURE 2.1.1 ACCOUNT TYPE There are eight types of clearing accounts in DCASS for trade and position keeping: House Account Market Maker Account Omnibus Client Account Individual Client Account Client Offset Claim Account Daily Account Sink Account APT Account A brief description of their function, their position keeping method and margining style is listed below. Account Type House Function Keep proprietary trades and positions Position Keeping Method Net Margining Style Net Market Maker Keep trades and positions of Market Makers Net Net Omnibus Client Keep trades and positions of clients on an omnibus basis Gross Gross Individual Client Keep trades and positions for a single individual client. Net Net Client Offset Claim Keep spread and offsetable positions of individual clients for client offset claim purpose Gross Net Daily A system account works as an intermediate account for Average Price Trade operation. Trades and positions can only be kept in Daily Account for the day and must be allocated to other accounts before the end of a business day. Otherwise, the trades and positions will be emptied to the Sink Account. If intra-day margin is triggered when there are positions in the Daily Account during the day, the margining style on such positions will be gross. 2.1
Account Type Sink Function A system default account to keep trades and positions not emptied from Daily Account at the end of a business day. Clearing Participants will be required to move trades/positions out of the Sink Account to other accounts on the next day. Position Keeping Method Trades and positions will be attributed to house account and will be kept gross. Margining Style Gross APT A system default account used for calculating average price trades. It will store the contract value difference as a result of the rounding difference in the calculation of the APT. Intermediate trades with zero position N/A Notes: 1) Account types "CNET" and ANET are reserved for Clearing House internal use only. Clearing Participants should ignore any accounts assigned with this account type 2) During the day, an account with Net position keeping method may still have both long and short positions. The Auto-Netting process carried out during the After Business process will automatically net off the positions Separate sets of clearing account types will be created for SEOCH and HKCC Participants. For General Clearing Participants ( GCP ), a separate set of clearing account types (excluding the Daily Account, Sink Account and APT Account) will be created for keeping the trades and positions of each Non-Clearing Participant registered under its appointed GCP. For account structure of Non-Clearing Participant, please refer to section 2.1.3 2.2
2.1.2 NAMING CONVENTION Account Type HKCC SEOCH House HK CABC H (1) HK CABC Hn (2) HK CABC H-XXXXX (3), HK CABC Hn-XXXXX HK CABC P HK CABC Pn HK CABC P-XXXXX HK CABC Pn-XXXXX Market Maker HK CABC R-XXXXX HK CABC nnnn-xxxxx HK CABC M-XXXXX HK CABC Mn Omnibus Client HK CABC C HK CABC Cn HK CABC C-XXXXX HK CABC A HK CABC An HK CABC A-XXXXX Individual Client HK CABC Cnnnn HK CABC Annnn Client Offset Claim HK CABC C9nnn HK CABC A9nnn Daily HK CABC DA HK CABC DAS Sink HK CABC SINK HK CABC SINKS APT HK CABC APT Notes: 1) CABC is the DCASS customer code assigned by HKCC/SEOCH 2) n represents a numerical value ranging from 0 to 9 3) XXXXX is the user group assigned by HKEX s Trading Department for Exchange Participant ABC 2.3
2.1.3 EXAMPLE The followings are the DCASS account structure of: (i) a Clearing Participant of HKCC (ii) a Direct Clearing Participant of SEOCH: 2.4
Notes: 1) Trades for HKFE products executed at HKATS will store in the corresponding DCASS account and the position will be shown in the C1 account. E.g. If traders of ABC specified C as the account to store the trades, the trades will be propagated to HK CABC C. The position will be shown in HK CABC C1 Trades for stock options executed at HKATS will store in the corresponding DCASS account and the position will be shown in the A1 account. E.g. If traders of ABC specified A as the account to store the trades, the trades will be propagated to HK CABC A. The position will be shown in HK CABC A1 2) If no account information or an invalid account is specified in the order (e.g. trader of ABC enters CC instead of C1 as the account to store the trade), the system will automatically store the matched trade into a default account preset in HKATS. If the default account is HK ABC C, the trade will be propagated to HK CABC C, Errol log will be shown under the Attention field in the Trade History window for that particular trade 3) Trades that executed at HKATS and then propagated to DCASS can be identified in the Trade History Window by having Global deal nbr with value and Org. trade nbr being blank 2.5
The followings are the DCASS account structure of: (i) a Non-Clearing Participant registered under its appointed General Clearing Participant of HKCC (ii) a Non-Clearing Participant registered under its appointed General Clearing Participant of SEOCH 2.6
2.2 ACCOUNT DETAILS WINDOW The Account Details window displays information about the Clearing Participant s accounts. Search results can be filtered by specifying part of, or a full account name, and also by using the checkboxes in the Account State field. Account States are Active, Inactive, Deleted or Registered. Checking the All checkbox will include all states in the search. Selection Filters: Filter Account Account State Description Specify a particular account, or use the wildcards (* and %) to retrieve the matching accounts. Only the accounts of the states checked will be displayed: All, Active, Inactive, Deleted or Registered 2.7
List Columns Field Account Account text Auto Netting Created Emptied To Fee Type Position Acct Margin Acct Description Indicates the Account ID Will be used to specify the owner of the account if a customer is created to clear both HKCC and SEOCH products. Indicates whether the account s position will be automatically netted during the After Business process. If the position keeping method of this account is net, it will be set to yes. For the account marked as Auto Netting, there is no need to perform Position Netting operation. The time and date on which this account was created. Trades that are not dealt with before After Business processing will be transferred to this account. Fee association for the account If a Position Account is defined for an account, this is where the positions are being held. Otherwise, positions are retained in the account. This is the account responsible for the margin calculations of all the accounts assigned to it. If a margin account which is not a CNET or ANET account (CNET and ANET accounts are reserved for Clearing House internal use) is defined for an account, the margin calculations for such account will take place at the margin account. Otherwise, margin calculations will take place at the account where the positions are held. Modified Settlement Acct State Account Type The last time any field of the Account Details was changed. The HKATS account in which this account is connected to. The state of the account. Possible states are: Active, Inactive, Registered and Deleted Shows the account types which are grouped into two groups: HKCC and SEOCH (Please refer to Section 2.1 Account Structure ) Type House A/C Market Maker A/C Omnibus Client A/C Individual Client A/C Client Offset Claim A/C Daily A/C Sink A/C APT A/C HKCC HOUSE MM OMNIBUS CLIENT CLIENT DAILY SINK APT SEOCH HOUSE_O MM_O OMNIBUS_O CLIENT_O CLIENT_O DAILY_O SINK_O 2.8
Please note that not all the columns available in the windows will be relevant, and as such, this manual will only list those which are relevant to each window. Those columns that are not contained in the guide can be ignored as they are not applicable to our operations. Note: The following columns are not applicable and are not used: Confirmation By CSD Account Custodian Investor Type Bank Nationality Read Access Risk Risk Currency Conversion Trade Acct Account Alias Journal Number Risk Margin Net For convenience, it is recommended that the non-applicable columns be hidden when using the application. 2.9
2.3 ACCOUNT PROPAGATION WINDOW This window is used for displaying information about propagation relationship. As mentioned above, trades from HKATS accounts will go directly to DCASS accounts. Such relationships are referred to as Trade Propagation. Similarly, positions of an account may be stored in another account, this relationship will be termed as Position Propagation. An account must be entered into the Account field to perform a search. Wildcards can be used in the Propagation Account field. In this example, positions of account HK CGA1 P will be shown in account HK CGA1 P1. List Columns Field Account Propagates Description Account identification <exchange member number> of the position account, that is the receiving account. Propagated item type option: Trade Position Margin Settlement Origin 2.10
2.4 ACCOUNT POSITION WINDOW The Account Position window allows users to view the positions in the accounts at that particular time. It displays the Long and Short positions held in each of the Clearing Participant s account. Specific accounts and series can be filtered for more relevant results. Checking the Aggregate checkbox will provide the total positions held for each series, irrespective of which account it is held in. An * in the Account column signifies that positions on that particular series are held in more than one account for the Clearing Participant. The default value of CTD for field Date will provide the real time position information. If O/N is selected, the start of day positions (Long and Short) will be provided. CTD and O/N are the positions brought forward from last business day after considering any capital adjustment if there is any. If NTD is selected, the positions (Long and Short) of next clearing day will be provided. 2.11
For SEOCH user, the options [Expires] and [Only deny] can be used to check the Denies auto figure (This Denies auto is only applicable for SEOCH. See Deny Automatic Exercise ). The [Expires] button will filter out positions that are not expired today. 2.12
The [Only deny] button will show positions with Denies auto figure not equal to zero. Selection Filters: Filter Account Series Date Expires Only deny Description Specify a particular account, or use the wildcards (* and %) to retrieve the matching accounts. Position account should be used for searching (e.g. HK CGA1 C1). Searching an account with position propagation (e.g. HK CGA1 C) will yield nothing. Specify a particular series, or use the wildcards (* and %) to retrieve the matching series. CTD: the default value. Lists the current position for the current trading day NTD: Lists the position of next trading day O/N: provides the start of day position holding (Long and Short figures only. Other figures are not O/N figures) Checked to show the position that will be expired today. It should be used when Clearing Participants would like to check the positions with deny automatic request issued. Checked together with Expires checked will show the positions that are going to be expired today and with Denies Auto figure not equal to 0. 2.13
List Columns Field Account Series Long Short Net Contr. Size Cov. Qty Denies Auto Modified Description The account in which the positions are held The series of the positions held The number of long positions held. Blank indicates zero The number of short positions held. Blank indicates zero The net position of the account (i.e. Long minus Short) The size of the contract The covered quantity (only applicable to call options on HK Stock, see Section 5.4 Covered Call ) The quantity which does not participate in auto-exercise (only applicable to SEOCH s product, see Section 4.4 Deny Automatic Exercise ) The time and date when the position was last modified Notes: 1) The following columns are not applicable and are not used: Delivery Start ISIN 2) On non-business days, DCASS Server is not connected to the DCASS Host. Positions information displayed in the DCASS Terminal may not be correct. Reports TP001 and TP002 should be used instead. Right-clicking a position in the Account Position window will activate the following menu. This menu provides direct access to various functions Trade History: (See section 3.2); Exercise Request: (See section 4.1) Transfer Position: (See section 2.4.1); Deny Automatic: (See section 4.4) Covered Call: (See section 5.4); Cross Product Netting: (See section 2.4.3) Pos. to Net down: (See section 2.4.2) 2.14
2.4.1 POSITION TRANSFER The Position Transfer function is used to move positions from any one account except the Daily and Sink accounts to another. The positions moved can be partial or in whole but the new account must belong to the same Clearing Participant. Open the window by selecting Transfer Position from the Account drop down menu in the main Terminal menu bar or by right-clicking a position from the Account Position window. The above screen dump shows the transfer of 64 CTD long positions of HEX122.50S3 and 64 CTD short positions of HEX122.50S3 from account A1 to P1 for the Clearing Participant CGA1. 1. Specify an account in the Account field (wildcards cannot be used) 2. Specify the series in the Series field (wildcards can be used) 3. Select CTD or NTD in the Date field 4. Click the <Search> button at the bottom of the window and all the positions fitting the search criteria will be shown 5. The Long Transfer and Short Transfer fields represent the quantity of the Long and Short positions to be moved to the new account respectively. By default, these fields consist of the full quantity of the positions held. Change the quantity if needed, 0 or blank means that no positions are transferred 6. Specify how the transfer is to be updated in O/C/N/D field 7. Input the new account to which the positions are to be moved in the New Account field 2.15
8. Check that the details are correct and click the <Transfer> button to make the transfer. Confirmation is not required 9. After the transfer, the Long Transfer and Short Transfer fields will consist of the remaining quantity of the positions held. Close the window if no further transfer is required. Notes: 1) The positions will be updated by trades marked Pos. Transfer (Free Text) and Transfer (Type) which can be seen in the Trade History window 2) When Clearing Participants encounter the message account does not exist" during position transfer, Clearing Participants should stop and input a correct New account 3) CTD position transfer can be performed only before the System Input Cutoff Time 4) NTD position transfer is applicable to AHFT products only and it can be performed after CTD position has been finalized. Selection Filters: Filter Account Series New Account Date Description Specify the account that currently holds the position to be transferred. Wildcards cannot be used for this particular field. Specify a particular series, or use the wildcards (* and %) to retrieve the matching series. Input the account into which the positions will be transferred. Select CTD or NTD position List Columns Field Series Long Long Transfer Short Short Transfer O/C/N/D Description The series of the positions held The number of long positions held. Blank indicates zero The number of long positions to be transferred to the new account. Blank indicates zero. By default this field contains the full quantity of the long positions held. The number of short positions held. Blank indicates zero The number of short positions to be transferred to the new account. Blank indicates zero. By default this field contains the full quantity of the short positions held. Specifies the intended effect of the transfer on the new account O Open C Closed N Net (i.e. close as much as possible) D Default (i.e. open) 2.16
2.4.2 POSITION NETTING The Position Netting function allows the Clearing Participants to net down the position in all accounts except for the Daily and Sink accounts. Netting down can only be performed as long as there are both long and short positions held in the same accounts on the series. To perform position net down: 1. Open the Account Position window and select the position to be netted down 2. Right click on the position and select Pos. to Net Down from the pop-up menu 3. The Positions to Net Down window will appear with the corresponding Account, Series and Date fields filled in. The Net Down By field will be filled with the maximum allowed quantity and users can manually change this field to a smaller number 4. Click <Send> Notes: 1) Like Position Transfers, trades will be generated by Position Netting and can be searched in the Trade History window. The Free Text of the corresponding trades are marked as LongPosNetting 2) Both CTD and NTD position will be updated if the position netting is performed before the System Input Cutoff Time 3) After the System Input Cutoff Time, position netting can be performed for AHFT products only and after CTD position has been finalized. After action, only NTD position will be updated. 2.17
2.4.3 CROSS PRODUCT NETTING The Cross Product Netting function is used to input position closing request between standard and mini HSI/HHI series. Cross product netting can only be performed for standard and mini series having the same contract month, strike price, call/put but with opposite positions at a ratio of 1:5. Clearing Participants must send their request in this window to perform cross product netting operation for non-autonetting accounts. For autonetting accounts, if needed, Clearing Participants can perform cross product netting in real time. Otherwise, offsetable positions in autonetting accounts will be automatically closed out during AB process. For position netting between standard and Flexible Option series, Clearing Participants should submit Form 4 On-Behalf Internal Position Adjustment Request Form to HKCC for the position closing request for all accounts. Offsetable positions of Flexible Options series in the autonetting accounts WILL NOT be automatically closed out during AB process. To perform cross product netting: Open the window by selecting Cross Product Netting from the Deal-Trade drop down menu in the main Terminal menu bar or by right-clicking a position from the Account Position window. A B 1. Specify the series in the Series field (wildcards can be used) 2. Specify an account in the Account field (wildcards can be used) 3. Specify the date in the Date field (CTD or NTD) 4. User can tick checkbox [Calculate Max offsetable Values] to request the calculation of the maximum offsetable values for each pair of positions. [Include Autonetting accounts] and [Include Non-autonetting accounts] checkboxes are used to include or exclude autonetting accounts and non-autonetting accounts from the searching result 5. Click the <Search> button at the bottom of the window to show all the offsetable positions that meets the search criteria 6. The cross product netting window can be divided into two parts: (A) Current Holding columns and (B) Action columns. For each pair of positions, user should specify the number of standard contract to be netted down in the field of <Act Std Long> and <Act Std Short> (columns in RED) and the corresponding mini contracts of <Act Mini Short> and <Act Min Long> will be automatically calculated respectively. 0 or blank means that no positions are to be closed. 2.18
(e.g. In the above screen dump of Cross Product Netting window, the request is to close 240 lots of HSIZ3 long position against the 1,200 lots of MHIZ3 short position, and 220 lots of HSIZ3 short position against the 1,100 lots of MHIZ3 long position.) 7. Verify the details and click the <Send> button to make the transfer 8. A confirmation window will pop up for user s confirmation 9. Click <OK> to confirm the operation 10. For rows being executed successfully, the status will be updated to Succeeded. For rows not processed, status will be shown as Failed. Close the window if no further netting is required Note: Like Position Netting, trades will be generated by Cross Product Netting and can be searched in the Trade History window. The Deal source and Free Text of the corresponding trades are marked as XprdNet and Crs pdt netting. CTD cross product netting can be performed only before the System Input Cutoff Time and NTD cross product netting can be performed only after CTD position has been finalized. Selection Filters: Filter Series Account Date Calculate max offset values Include Autonetting accounts Include Non-autonetting accounts Description Specify a particular series, or use the wildcards (* and %) to retrieve the matching series. Specify the account or use the wildcards (* and %) to retrieve the accounts that currently hold the offsetable positions. Select CTD or NTD position to be netted down. Specify if Clearing Participants want to calculate the maximum offsetable values Specify if autonetting accounts are to be included. Specify if non-autonetting accounts are to be included. 2.19
List Columns Field Account Std Series Cur Long Cur Short Mini Series Cur Mini Long Cur Mini Short Act Std Long Act Std Short Description The account of the positions held The standard series of the positions held The number of long positions held on standard series. Blank indicates zero The number of short positions held on standard series. Blank indicates zero The corresponding mini series of the positions held The number of long positions held on mini series. Blank indicates zero The number of short positions held on mini series. Blank indicates zero The number of standard long positions to be netted down. Default value is 0 if [Calculate Max offsetable Values] is unchecked. When [Calculate Max offsetable Values] is checked, it will show the max offsetable long positions for the standard series The number of standard short positions to be netted down. Default value is 0 if [Calculate Max offsetable Values] is unchecked. When [Calculate Max offsetable Values] is checked, it will show the max offsetable short positions for the standard series Act Mini Long The number of mini long positions to be netted down. A read-only figure which is automatically calculated based on the Act Std Short Act Mini Short Status The number of mini short positions to be netted down. A read-only figure which is automatically calculated based on the Act Std Long The status to indicate the result of the net down action 2.20