Three-Month HIBOR Futures 
04/10/2010 
 

Three-Month HIBOR Futures

Item                                      

Contract Terms

Underlying Interest Rate

 

Three-Month Hong Kong Interbank Offered Rate

HKATS Code

 

HB3

Contract Size

 

HK$5,000,000

Minimum Fluctuation one (1) basis point (0.01 of a percent)
The value of a Minimum Fluctuation is HK$125.00 calculated as the Contract Size multiplied by a basis point multiplied by one quarter of a year.
HK$5,000,000 x 0.0001 x 0.25 = HK$125.00

Contract Months

 

Spot month, the next two calendar months and seven quarterly months on the March, June, September, December calendar quarter cycle

Contracted Value

 

 

Contracted price multiplied by the value of a minimum fluctuation multiplied by 100
[e.g. 95.50 x (HK$5,000,000 x 0.0001 x 0.25) x 100]

Price Quotation

 

One hundred (100.00) minus the interest rate

Trading Hours

 

8:30 am - 12:00 noon & 1:30 pm - 5:00 pm
(Expiring contract month closes at 11:00am on the Last Trading Day)

Last Trading Day

 

The last trading day of a contract shall be two business days before the third Wednesday of the contract month

Final Settlement Day

 

 

The third Wednesday of the contract month

(If the third Wednesday of such contract month is not a business day, then the final settlement day of the contract shall be the next business day following the third Wednesday of the contract month)

Final Settlement Price

 

One hundred (100.00) minus the three-month HKAB HKD Interest Settlement Rate quoted at approximately 11:15 a.m. on the Last Trading Day, rounded to the nearest 2 decimal places.

 (100.00 - HKAB HKD Interest Settlement Rate = Final Settlement Price)

Settlement Method

 

Cash settlement

Transaction Costs

Exchange Fee                HK$5.00
Commission Levy           HK$0.60
Commission Rate           Negotiable

HKAB : The Hong Kong Association of Banks

Please visit “Rules, Regulations and Procedures of the Futures Exchange” of “Trading Rules” under “Rules and Regulations” of the HKEx website for full contract specifications.