HKFE Announces Revised Margins for Five Futures Contracts
Market Operations
12 Sep 2001
Hong Kong Futures Exchange (HKFE), a wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited (HKEx), announced today (Wednesday) that with effect from the commencement of trading on Thursday, 13 September the minimum margins to be collected by an Exchange Participant from its clients in respect of their dealings in the following futures contracts will be as outlined in the table below. The adjustments are based on the clearing company's normal procedures and standard margining methodology.
* Amounts in brackets are the original margin rates:
Futures Contract |
Margin Rate |
Initial Margin
(HK$) |
Maintenance Margin
(HK$) |
Hang Seng Index |
Full Rate
Spread Rate
|
57,500 (42,000) per lot
3,750 (3,750) /lot/side |
46,000 (33,600) per lot
3,000 (3,000) /lot/side |
Three-Month HIBOR |
Full Rate
Spread Rate
|
1,125 (625) per lot
See attached table |
900 (500) per lot
See attached table |
Cheung Kong (Holdings) Ltd |
Full Rate
Spread Rate
|
9,000 (7,450) per lot
1,350 (1,120) /lot/side |
7,200 (5,960) per lot
1,080 (896) /lot/side |
HSBC Holdings Plc |
Full Rate
Spread Rate
|
3,000 (2,280) per lot
450 (345) /lot/side |
2,400 (1,824) per lot
360 (276) /lot/side |
Hutchison Whampoa Ltd |
Full Rate
Spread Rate
|
8,600 (7,250) per lot
1,290 (1,090) /lot/side |
6,880 (5,800) per lot
1,032 (872) /lot/side |
HKFE emphasised that the above are minimum rates and Exchange Participants should set their margin requirements according to their clients' individual circumstances.
Spread Margin Rates
for Three-Month HIBOR Futures
Spread Combination |
Initial Margin |
Maintenance Margin |
1st month vs 7th month
1st month vs 8th month
1st month vs 9th month
1st month vs 10th month
2nd month vs 7th month
2nd month vs 8th month
2nd month vs 9th month
2nd month vs 10th month
3rd month vs 7th month
3rd month vs 8th month
3rd month vs 9th month
3rd month vs 10th month
|
HK$750 per spread |
HK$600 per spread |
4th month vs 7th month
4th month vs 8th month
4th month vs 9th month
4th month vs 10th month
5th month vs 7th month
5th month vs 8th month
5th month vs 9th month
5th month vs 10th month
6th month vs 7th month
6th month vs 8th month
6th month vs 9th month
6th month vs 10th month
|
HK$600 per spread |
HK$480 per spread |
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
2nd month vs 4th month
2nd month vs 5th month
2nd month vs 6th month
3rd month vs 4th month
3rd month vs 5th month
3rd month vs 6th month
7th month vs 8th month
7th month vs 9th month
7th month vs 10th month
8th month vs 9th month
8th month vs 10th month
9th month vs 10th month
|
HK$500 per spread |
HK$400 per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
|
HK$350 per spread |
HK$280 per spread |