Hong Kong Exchanges and Clearing Limited (HKEx) will introduce Three-year Exchange Fund Note (EFN) Futures contracts for trading on Monday, 12 November, subject to the approval of the Securities and Futures Commission.
EFNs are issued by the Hong Kong Government. They serve as monetary policy instruments for the Hong Kong Monetary Authority and help establish the benchmark yield curve for the Hong Kong dollar debt market. There were $39,700 million worth of EFNs outstanding in August of this year and their average daily turnover was $2,153 million.
"We are introducing Three-year EFN Futures to provide hedging and trading tools for participants in the Hong Kong dollar interest rate market," said Frederick Grede, Chief Operating Officer of HKEx. "EFN Futures will complement our stock, stock index, currency and interest rate products and expand our wide range of financial futures contracts."
Key features of the EFN Futures contract specifications accompany this news release. The complete contract and the trading calendar specifications will be posted on the HKEx website (www.hkex.com.hk) soon.
Key Features of EFN Contract Specifications
Underlying Instrument
Three-year notional Exchange Fund Notes with a coupon of 6 per cent.
Contract Size
Notional size will be $1,000,000.
Contract Months
Four quarterly contract months: March, June, September and December. At the introduction on 12 November, the contract months available for trading will be March 2002, June 2002, September 2002 and December 2002.
Trading Hours
8:30 am to 12:00 noon and 1:30 pm to 5:00 pm (Hong Kong time)
Settlement Method
Physical delivery of the Deliverable Exchange Fund Notes against cash payment.
Deliverable Exchange Fund Notes
The deliverable Exchange Fund Notes must have a maturity of not earlier than 2 years and 6 months and not later than 3 years and 6 months as at the final settlement day.
Last Trading Day
Two business days before the third Wednesday of the contract month.
Final Settlement Price
The final settlement price is calculated according to the volume-weighted average price of all trades recorded during the 5-minute interval in which the last trade is recorded on the last trading day. (Trading hours of a normal last trading day will be divided into thirty 5-minute intervals for the purpose of calculating final settlement price.) If no trade is recorded during the last trading day, the previous day's daily settlement price will be used as the final settlement price.
Trading Fees
Exchange Fee: $8 per contract per side.
SFC Levy: $1 per contract per side.
Compensation Fund Levy: 50 cents per contract.
Commission Rate
Negotiable.