Hong Kong Futures Exchange Clearing Corporation Limited (HKCC) announced on August 17 that the revised daily settlement price method for its flagship products will take effect on August 31, 2026.

The affected products include futures and options contracts on the Hang Seng Index (HSI), Hang Seng China Enterprises Index (HSCEI), and Hang Seng Tech Index (HSTECH), as well as related mini-Hang Seng Index and mini-Hang Seng China Enterprises Index contracts. Starting from the effective date, the daily settlement price for these products will be determined using the revised methodology.

The updated approach is designed to provide a more robust and market-representative calculation of daily settlement prices, thereby enhancing risk management and margin calculation effectiveness. According to the HKCC, any margin impact resulting from the method transition will be one-time and limited to the end-of-day margin calculation on the effective date.

As outlined in a previous HKCC notice from April 30, the revised daily settlement price method will follow a modified waterfall structure, which includes: (i) using qualified and verified market-observable data in the pricing process where feasible; (ii) applying optimized model-based theoretical prices when market data is insufficient or unsuitable; (iii) reverting to the previous trading day's daily settlement price when necessary; and (iv) exercising HKCC's discretion in special or exceptional circumstances to ensure the settlement price determination is fair and reasonable.