HKFE to Revise Margins for HIBOR Futures Contracts
Market Operations
17 May 2002
Hong Kong Futures Exchange Limited (HKFE), a wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited (HKEx), announced today that as the contract sizes of One-Month and Three-Month HIBOR Futures Contracts will increase by five times effective from 27 May 2002, with effect from the commencement of trading on Monday, 27 May 2002, the minimum margins for One-Month and Three-Month HIBOR Futures to be collected by an Exchange Participant from its clients in respect of their dealings 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
|
| One-Month HIBOR |
Full Rate
Spread Rate
|
2,625 (525)
|
per lot |
2,100 (420)
|
per lot |
|
Please refer to
|
the attached table |
| Three-Month HIBOR |
Full Rate
Spread Rate
|
3,250 (650)
|
per lot |
2,600 (520)
|
per lot |
|
Please refer to
|
the attached table |
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 One-Month HIBOR Futures
|
Spread Combination
|
Initial Margin
|
Maintenance Margin
|
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month |
HK$3,125 per spread |
HK$2,500 per spread |
1st month vs 2nd month
1st month vs 3rd 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 |
HK$2,500 per spread |
HK$2,000 per spread |
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month |
HK$1,875 per spread |
HK$1,500 per spread |
| 2nd month vs 3rd month |
HK$1,125 per spread |
HK$900 per spread |
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$3,750 per spread |
HK$3,000 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$3,000 per spread |
HK$2,400 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$2,500 per spread |
HK$2,000 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$1,750 per spread |
HK$1,400 per spread |