HKFE Announces Revised Margins for Futures Contracts
Market Operations
30 Dec 2003
Hong Kong Futures Exchange
(A wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited)
HKFE Announces Revised Margins for Futures Contracts
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 Monday, 5 January 2004, 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 the HKEx website (http://www.hkex.com.hk) and see Trading Information - Futures & Options in the Derivatives Market section.
| Futures Contract |
Margin Rate |
Initial Margin
(HK$) |
Maintenance Margin
(HK$) |
|
Hang Seng Index |
Full Rate |
42,750 |
per lot |
34,200 |
per lot |
Spread Rate
|
3,750 |
/lot/side |
3,000 |
/lot/side |
|
Mini-Hang Seng Index |
Full Rate |
8,550 |
per lot |
6,840 |
per lot |
Spread Rate
|
750 |
/lot/side |
600 |
/lot/side |
|
MSCI China Free Index |
Full Rate |
17,180 |
per lot |
13,744 |
per lot |
Spread Rate
|
2,577 |
/lot/side |
2,061.6 |
/lot/side |
|
Three-Month HIBOR |
Full Rate |
3,750 |
per lot |
3,000 |
per lot |
Spread Rate
|
Please refer to the attached table |
|
One-Month HIBOR |
Full Rate |
3,000 |
per lot |
2,400 |
per lot |
Spread Rate
|
Please refer to the attached table |
|
Three-Year Exchange Fund Note |
Full Rate |
10,300 |
per lot |
8,240 |
per lot |
Spread Rate
|
1,545 |
/lot/side |
1,236 |
/lot/side |
|
Dow Jones Industrial Average Index |
Full Rate |
6,320 |
per lot |
5,056 |
per lot |
Spread Rate
|
948 |
/lot/side |
758.4 |
/lot/side |
|
H-shares Index |
Full Rate |
22,500 |
per lot |
18,000 |
per lot |
Spread Rate
|
3,375 |
/lot/side |
2,700 |
/lot/side |
|
HSBC Holdings Plc |
Full Rate |
2,960 |
per lot |
2,368 |
per lot |
Spread Rate
|
446 |
/lot/side |
356.8 |
/lot/side |
|
PCCW Ltd |
Full Rate |
500 |
per lot |
400 |
per lot |
Spread Rate
|
75 |
/lot/side |
60 |
/lot/side |
|
Cheung Kong (Holdings) Ltd |
Full Rate |
5,440 |
per lot |
4,352 |
per lot |
Spread Rate
|
816 |
/lot/side |
652.8 |
/lot/side |
|
Swire Pacific Ltd 'A' Shares |
Full Rate |
1,925 |
per lot |
1,540 |
per lot |
Spread Rate
|
289 |
/lot/side |
231.2 |
/lot/side |
|
CITIC Pacific Ltd |
Full Rate |
1,170 |
per lot |
936 |
per lot |
Spread Rate
|
176 |
/lot/side |
140.8 |
/lot/side |
|
China Resources Enterprise Ltd |
Full Rate |
1,260 |
per lot |
1,008 |
per lot |
Spread Rate
|
189 |
/lot/side |
151.2 |
/lot/side |
|
Shanghai Industrial Holdings |
Full Rate |
1,440 |
per lot |
1,152 |
per lot |
Spread Rate
|
216 |
/lot/side |
172.8 |
/lot/side |
|
Hongkong Electric Holdings |
Full Rate |
960 |
per lot |
768 |
per lot |
Spread Rate
|
144 |
/lot/side |
115.2 |
/lot/side |
|
Hang Seng Bank |
Full Rate |
617 |
per lot |
493.6 |
per lot |
Spread Rate
|
93 |
/lot/side |
74.4 |
/lot/side |
|
Henderson Land Development Co Ltd |
Full Rate |
2,770 |
per lot |
2,216 |
per lot |
Spread Rate
|
416 |
/lot/side |
332.8 |
/lot/side |
|
Hutchison Whampoa Ltd |
Full Rate |
4,780 |
per lot |
3,824 |
per lot |
Spread Rate
|
717 |
/lot/side |
573.6 |
/lot/side |
|
Sun Hung Kai Properties Ltd |
Full Rate |
6,300 |
per lot |
5,040 |
per lot |
Spread Rate
|
945 |
/lot/side |
756 |
/lot/side |
|
CLP Holdings Ltd |
Full Rate |
1,150 |
per lot |
920 |
per lot |
Spread Rate
|
173 |
/lot/side |
138.4 |
/lot/side |
|
The Wharf (Holdings) Ltd |
Full Rate |
2,120 |
per lot |
1,696 |
per lot |
Spread Rate
|
318 |
/lot/side |
254.4 |
/lot/side |
|
New World Development Co Ltd |
Full Rate |
800 |
per lot |
640 |
per lot |
Spread Rate
|
120 |
/lot/side |
96 |
/lot/side |
|
Legend Group Ltd |
Full Rate |
740 |
per lot |
592 |
per lot |
Spread Rate
|
111 |
/lot/side |
88.8 |
/lot/side |
|
China Mobile (HK) Ltd |
Full Rate |
915 |
per lot |
732 |
per lot |
Spread Rate
|
138 |
/lot/side |
110.4 |
/lot/side |
|
The Bank of East Asia Ltd |
Full Rate |
440 |
per lot |
352 |
per lot |
Spread Rate
|
66 |
/lot/side |
52.8 |
/lot/side |
|
Hong Kong and China Gas Co Ltd |
Full Rate |
720 |
per lot |
576 |
per lot |
Spread Rate
|
108 |
/lot/side |
86.4 |
/lot/side |
|
MTR Corporation Ltd |
Full Rate |
335 |
per lot |
268 |
per lot |
Spread Rate
|
51 |
/lot/side |
40.8 |
/lot/side |
|
China Merchants Holdings (International) Co Ltd |
Full Rate |
1,780 |
per lot |
1,424 |
per lot |
Spread Rate
|
267 |
/lot/side |
213.6 |
/lot/side |
|
Johnson Electric Holdings Ltd |
Full Rate |
390 |
per lot |
312 |
per lot |
Spread Rate
|
59 |
/lot/side |
47.2 |
/lot/side |
|
Cathay Pacific Airways Ltd |
Full Rate |
1,270 |
per lot |
1,016 |
per lot |
Spread Rate
|
191 |
/lot/side |
152.8 |
/lot/side |
|
Hong Kong Exchanges and Clearing Ltd |
Full Rate |
2,460 |
per lot |
1,968 |
per lot |
Spread Rate
|
369 |
/lot/side |
295.2 |
/lot/side |
|
Li & Fung Ltd |
Full Rate |
2,600 |
per lot |
2,080 |
per lot |
Spread Rate
|
390 |
/lot/side |
312 |
/lot/side |
|
China Unicom Ltd |
Full Rate |
1,760 |
per lot |
1,408 |
per lot |
Spread Rate
|
264 |
/lot/side |
211.2 |
/lot/side |
|
PetroChina Co Ltd |
Full Rate |
640 |
per lot |
512 |
per lot |
Spread Rate
|
96 |
/lot/side |
76.8 |
/lot/side |
|
Cheung Kong Infrastructure Holdings Ltd |
Full Rate |
1,180 |
per lot |
944 |
per lot |
Spread Rate
|
177 |
/lot/side |
141.6 |
/lot/side |
|
Cosco Pacific Ltd |
Full Rate |
1,860 |
per lot |
1,488 |
per lot |
Spread Rate
|
279 |
/lot/side |
223.2 |
/lot/side |
|
CNOOC Ltd |
Full Rate |
965 |
per lot |
772 |
per lot |
Spread Rate
|
145 |
/lot/side |
116 |
/lot/side |
|
Huaneng Power International Inc |
Full Rate |
2,040 |
per lot |
1,632 |
per lot |
Spread Rate
|
306 |
/lot/side |
244.8 |
/lot/side |
|
BOC Hong Kong (Holdings) Ltd |
Full Rate |
860 |
per lot |
688 |
per lot |
Spread Rate
|
129 |
/lot/side |
103.2 |
/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
| Spread Combination |
Initial Margin |
Maintenance Margin |
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
|
HK$3,750 per spread |
HK$3,000 per spread |
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$2,750 per spread |
HK$2,200 per spread |
1st month vs 2nd month
1st month vs 3rd month
|
HK$2,750 per spread |
HK$2,200 per spread |
2nd month vs 3rd month
|
HK$1,375 per spread |
HK$1,100 per spread |
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
|
HK$1,250 per spread |
HK$1,000 per spread |
Spread Margin Rates
for Three-Month HIBOR Futures
| Spread Combination |
Initial Margin |
Maintenance Margin |
1st month vs 6th month
1st month vs 7th month
1st month vs 8th month
1st month vs 9th month
1st month vs 10th month
2nd month vs 6th month
2nd month vs 7th month
2nd month vs 8th month
2nd month vs 9th month
2nd month vs 10th month
3rd month vs 6th month
3rd month vs 7th month
3rd month vs 8th month
3rd month vs 9th month
3rd month vs 10th month
|
HK$6,375 per spread |
HK$5,100 per spread |
4th month vs 6th month
4th month vs 7th month
4th month vs 8th month
4th month vs 9th month
4th month vs 10th month
5th month vs 6th month
5th month vs 7th month
5th month vs 8th month
5th month vs 9th month
5th month vs 10th month
|
HK$4,750 per spread |
HK$3,800 per spread |
1st month vs 4th month
1st month vs 5th month
2nd month vs 4th month
2nd month vs 5th month
3rd month vs 4th month
3rd month vs 5th month
|
HK$4,500 per spread |
HK$3,600 per spread |
6th month vs 7th month
6th month vs 8th month
6th month vs 9th month
6th month vs 10th 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$2,875 per spread |
HK$2,300 per spread |
4th month vs 5th month
|
HK$2,250 per spread |
HK$1,800 per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
|
HK$1,750 per spread |
HK$1,400 per spread |