HKFE Announces Revised Margins for Futures Contracts
Market Operations
25 Jul 2002
Hong Kong Futures Exchange Limited (HKFE), a wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited (HKEx), announced that with effect from the commencement of trading on Friday, 26 July 2002, 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.
For the current margins, please refer to HKEx's website (http://www.hkex.com.hk) and see Trading Information - Futures & Options in the Derivatives Market section.
| Hang Seng Index |
Full Rate |
35,000 per lot |
28,000 per lot
|
Spread Rate
|
3,750 /lot/side |
3,000 /lot/side |
| Mini-Hang Seng Index |
Full Rate |
7,000 per lot |
5,600 per lot |
Spread Rate
|
750 /lot/side |
600 /lot/side |
| MSCI China Free Index |
Full Rate |
11,000 per lot |
8,800 per lot |
Spread Rate
|
1,650 /lot/side |
1,320 /lot/side |
| Three-Month HIBOR |
Full Rate |
3,125 per lot |
2,500 per lot |
Spread Rate
|
Please refer to the attached table
|
| One-Month HIBOR |
Full Rate |
1,625 per lot |
1,300 per lot |
Spread Rate
|
Please refer to the attached table
|
| Three-Year EFN |
Full Rate |
10,000 per lot |
8,000 per lot |
Spread Rate
|
1,500 /lot/side |
1,200 /lot/side |
| Dow Jones Industrial Average |
Full Rate |
6,350 per lot |
5,080 per lot |
Spread Rate
|
950 /lot/side |
760 /lot/side |
| HSBC Holdings Plc |
Full Rate |
2,260 per lot |
1,808 per lot |
Spread Rate
|
344 /lot/side |
275.2 /lot/side |
| Pacific Century CyberWorks Ltd |
Full Rate |
160 per lot
|
128 per lot
|
Spread Rate
|
24 /lot/side |
19.2 /lot/side |
| Cheung Kong (Holdings) Ltd |
Full Rate |
4,700 per lot |
3,760 per lot |
Spread Rate
|
720 /lot/side |
576 /lot/side |
| Swire Pacific Ltd 'A' Shares |
Full Rate |
1,715 per lot |
1,372 per lot |
Spread Rate
|
255 /lot/side |
204 /lot/side |
| CITIC Pacific Ltd |
Full Rate |
1,360 per lot |
1,088 per lot |
Spread Rate
|
200 /lot/side |
160 /lot/side |
| China Resources Enterprise Ltd |
Full Rate |
1,680 per lot |
1,344 per lot |
Spread Rate
|
252 /lot/side |
201.6 /lot/side |
| Shanghai Industrial Holdings |
Full Rate |
1,050 per lot |
840 per lot |
Spread Rate
|
155 /lot/side |
124 /lot/side |
| Hongkong Electric Holdings |
Full Rate |
950 per lot |
760 per lot |
Spread Rate
|
145 /lot/side |
116 /lot/side |
| Hang Seng Bank |
Full Rate |
525 per lot |
420 per lot |
Spread Rate
|
80 /lot/side |
64 /lot/side |
| Henderson Land Development Co Ltd |
Full Rate |
2,780 per lot |
2,224 per lot |
Spread Rate
|
420 /lot/side |
336 /lot/side |
| Hutchison Whampoa Ltd |
Full Rate |
4,850 per lot |
3,880 per lot |
Spread Rate
|
720 /lot/side |
576 /lot/side |
| Sun Hung Kai Properties Ltd |
Full Rate |
4,750 per lot |
3,800 per lot |
Spread Rate
|
720 /lot/side |
576 /lot/side |
| CLP Holdings Ltd |
Full Rate |
975 per lot |
780 per lot |
Spread Rate
|
145 /lot/side |
116 /lot/side |
| The Wharf (Holdings) Ltd |
Full Rate |
1,500 per lot |
1,200 per lot |
Spread Rate
|
225 /lot/side |
180 /lot/side |
| New World Development Co Ltd |
Full Rate |
520 per lot |
416 per lot |
Spread Rate
|
80 /lot/side |
64 /lot/side |
| Legend Group Ltd |
Full Rate |
580 per lot |
464 per lot |
Spread Rate
|
86 /lot/side |
68.8 /lot/side |
| China Mobile (HK) Ltd |
Full Rate
|
1,020 per lot
|
816 per lot
|
Spread Rate
|
150 /lot/side |
120 /lot/side |
| The Bank of East Asia Ltd |
Full Rate |
210 per lot |
168 per lot |
Spread Rate
|
35 /lot/side |
28 /lot/side |
| Hong Kong and China Gas Co Ltd |
Full Rate |
700 per lot |
560 per lot |
Spread Rate
|
105 /lot/side |
84 /lot/side |
| Hong Kong and China Gas Co Ltd (Temporary) |
Full Rate |
770 per lot |
616 per lot |
Spread Rate
|
121 /lot/side |
96.8 /lot/side |
| MTR Corporation Ltd |
Full Rate |
390 per lot |
312 per lot |
Spread Rate
|
60 /lot/side |
48 /lot/side |
| China Merchants Holdings (International) Co Ltd |
Full Rate |
780 per lot |
624 per lot |
Spread Rate
|
118 /lot/side |
94.4 /lot/side |
| Johnson Electric Holdings Ltd |
Full Rate |
640 per lot |
512 per lot |
Spread Rate
|
96 /lot/side |
76.8 /lot/side |
| Cathay Pacific Airways Ltd |
Full Rate |
1,080 per lot |
864 per lot |
Spread Rate
|
165 /lot/side |
132 /lot/side |
| Hong Kong Exchanges and Clearing Ltd |
Full Rate |
2,260 per lot |
1,808 per lot |
Spread Rate
|
340 /lot/side |
272 /lot/side |
| Li & Fung Ltd |
Full Rate |
2,660 per lot |
2,128 per lot |
Spread Rate
|
400 /lot/side |
320 /lot/side |
| China Unicom Ltd |
Full Rate |
1,160 per lot |
928 per lot |
Spread Rate
|
170 /lot/side |
136 /lot/side |
| PetroChina Co Ltd |
Full Rate |
240 per lot |
192 per lot |
Spread Rate
|
36 /lot/side |
28.8 /lot/side |
| Cheung Kong Infrastructure Holdings Ltd |
Full Rate |
800 per lot |
640 per lot |
Spread Rate
|
120 /lot/side |
96 /lot/side |
| Cosco Pacific Ltd |
Full Rate |
1,400 per lot |
1,120 per lot |
Spread Rate
|
210 /lot/side |
168 /lot/side |
| China Petroleum & Chemical Corporation |
Full Rate
|
200 per lot
|
160 per lot
|
Spread Rate
|
30 /lot/side |
24 /lot/side |
| CNOOC Limited |
Full Rate |
440 per lot |
352 per lot |
Spread Rate
|
65 /lot/side |
52 /lot/side |
| Huaneng Power International, Inc |
Full Rate |
1,100 per lot |
880 per lot |
Spread Rate
|
165 /lot/side |
132 /lot/side |
US Stock Futures Contracts
| Cisco Systems Incorporated |
Full Rate |
255 |
per lot |
204 |
per lot |
Spread Rate
|
38 |
/lot/side |
30.4 |
/lot/side |
| IBM Corporation |
Full Rate |
920 |
per lot |
736 |
per lot |
Spread Rate
|
160 |
/lot/side |
128 |
/lot/side |
| Intel Corporation |
Full Rate |
525 |
per lot |
420 |
per lot |
Spread Rate
|
80 |
/lot/side |
64 |
/lot/side |
| Microsoft Corporation |
Full Rate |
650 |
per lot |
520 |
per lot |
Spread Rate
|
100 |
/lot/side |
80 |
/lot/side |
| Oracle Corporation |
Full Rate |
195 |
per lot |
156 |
per lot |
Spread Rate
|
30 |
/lot/side |
24 |
/lot/side |
Japan Stock Futures Contracts
| NTT DoCoMo Incorporated |
Full Rate |
34,000 |
per lot |
27,200 |
per lot |
Spread Rate
|
5,100 |
/lot/side |
4,080 |
/lot/side |
| Sony Corporation |
Full Rate |
64,500 |
per lot |
51,600 |
per lot |
Spread Rate
|
9,600 |
/lot/side |
7,680 |
/lot/side |
| Nippon Telegraph & Telephone Corporation |
Full Rate |
52,000 |
per lot |
41,600 |
per lot |
Spread Rate
|
12,800 |
/lot/side |
10,240 |
/lot/side |
| Fujitsu Ltd |
Full Rate |
81,000 |
per lot |
64,800 |
per lot |
Spread Rate
|
19,000 |
/lot/side |
15,200 |
/lot/side |
| Toyota Motor Corporation |
Full Rate
Spread Rate
|
27,300 |
per lot |
21,840 |
per lot |
|
5,850
|
/lot/side |
4,680 |
/lot/side |
Korea Stock Futures Contracts
| Korea Electric Power Corporation |
Full Rate |
240,000 |
per lot |
192,000 |
per lot |
Spread Rate
|
37,000 |
/lot/side |
29,600 |
/lot/side |
| KT Corporation |
Full Rate |
568,000 |
per lot |
454,400 |
per lot |
Spread Rate
|
85,000 |
/lot/side |
68,000 |
/lot/side |
| Samsung Electronics Co Ltd |
Full Rate |
5,000,000 |
per lot |
4,000,000 |
per lot |
Spread Rate
|
750,000 |
/lot/side |
600,000 |
/lot/side |
| SK Telecom Co Ltd |
Full Rate |
2,750,000 |
per lot |
2,200,000 |
per lot |
Spread Rate
|
412,500 |
/lot/side |
330,000 |
/lot/side |
| Kookmin Bank |
Full Rate |
585,000 |
per lot |
468,000 |
per lot |
Spread Rate
|
87,500 |
/lot/side |
70,000 |
/lot/side |
Taiwan Stock Futures Contracts
| Mosel Vitelic Incorporated |
Full Rate |
22,300 |
per lot |
17,840 |
per lot |
Spread Rate
|
3,350 |
/lot/side |
2,680 |
/lot/side |
| Ritek Corporation |
Full Rate |
32,400 |
per lot |
25,920 |
per lot |
Spread Rate
|
5,250 |
/lot/side |
4,200 |
/lot/side |
| Taiwan Semiconductor Manufacturing Co Ltd |
Full Rate |
85,000 |
per lot |
68,000 |
per lot |
Spread Rate
|
13,600 |
/lot/side |
10,880 |
/lot/side |
| United Micro Electronics Corporation |
Full Rate |
55,000 |
per lot |
44,000 |
per lot |
Spread Rate
|
8,200 |
/lot/side |
6,560 |
/lot/side |
| Winbond Electronics Corporation |
Full Rate |
36,000 |
per lot |
28,800 |
per lot |
Spread Rate
|
5,300 |
/lot/side |
4,240 |
/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 One-Month HIBOR Futures
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 |