HKFE Announces Revised Margins for Futures Contracts
Market Operations
27 Feb 2004
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 today that with effect from the commencement of trading on Monday, 1 March 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
Spread Rate |
43,250 |
per lot |
34,600 |
per lot |
|
3,750 |
/lot/side |
3,000 |
/lot/side |
|
Mini-Hang Seng Index |
Full Rate
Spread Rate |
8,650 |
per lot |
6,920 |
per lot |
|
750 |
/lot/side |
600 |
/lot/side |
|
MSCI China Free Index |
Full Rate
Spread Rate |
21,200 |
per lot |
16,960 |
per lot |
|
3,180 |
/lot/side |
2,544 |
/lot/side |
|
Three-Month HIBOR |
Full Rate
Spread Rate |
2,750 |
per lot |
2,200 |
per lot |
Please refer to the attached table
|
|
One-Month HIBOR |
Full Rate
Spread Rate |
1,875 |
per lot |
1,500 |
per lot |
Please refer to the attached table
|
|
Three-Year EFN |
Full Rate
Spread Rate |
11,500 |
per lot |
9,200 |
per lot |
|
1,725 |
/lot/side |
1,380 |
/lot/side |
Dow Jones Industrial
Average Index |
Full Rate
Spread Rate |
6,670 |
per lot |
5,336 |
per lot |
|
1,001 |
/lot/side |
800.8 |
/lot/side |
|
H-Shares Index |
Full Rate
Spread Rate |
29,450 |
per lot |
23,560 |
per lot |
|
4,418 |
/lot/side |
3,534.4 |
/lot/side |
|
HSBC Holdings Plc |
Full Rate
Spread Rate |
3,160 |
per lot |
2,528 |
per lot |
|
475 |
/lot/side |
380 |
/lot/side |
|
PCCW Ltd |
Full Rate
Spread Rate |
670 |
per lot |
536 |
per lot |
|
101 |
/lot/side |
80.8 |
/lot/side |
|
Cheung Kong (Holdings) Ltd |
Full Rate
Spread Rate |
6,090 |
per lot |
4,872 |
per lot |
|
914 |
/lot/side |
731.2 |
/lot/side |
|
Swire Pacific Ltd. 'A' Shares |
Full Rate
Spread Rate |
1,960 |
per lot |
1,568 |
per lot |
|
294 |
/lot/side |
235.2 |
/lot/side |
|
CITIC Pacific Ltd |
Full Rate
Spread Rate |
2,110 |
per lot |
1,688 |
per lot |
|
317 |
/lot/side |
253.6 |
/lot/side |
|
China Resources Enterprise Ltd |
Full Rate
Spread Rate |
1,940 |
per lot |
1,552 |
per lot |
|
291 |
/lot/side |
232.8 |
/lot/side |
|
Shanghai Industrial Holdings Ltd |
Full Rate
Spread Rate |
1,990 |
per lot |
1,592 |
per lot |
|
299 |
/lot/side |
239.2 |
/lot/side |
|
Hongkong Electric Holdings Ltd |
Full Rate
Spread Rate |
1,020 |
per lot |
816 |
per lot |
|
155 |
/lot/side |
124 |
/lot/side |
|
Hang Seng Bank Ltd |
Full Rate
Spread Rate |
680 |
per lot |
544 |
per lot |
|
102 |
/lot/side |
81.6 |
/lot/side |
|
Henderson Land Development Co Ltd |
Full Rate
Spread Rate |
3,940 |
per lot |
3,152 |
per lot |
|
591 |
/lot/side |
472.8 |
/lot/side |
|
Hutchison Whampoa Ltd |
Full Rate
Spread Rate |
4,620 |
per lot |
3,696 |
per lot |
|
693 |
/lot/side |
554.4 |
/lot/side |
|
Sun Hung Kai Properties Ltd |
Full Rate
Spread Rate |
6,960 |
per lot |
5,568 |
per lot |
|
1,044 |
/lot/side |
835.2 |
/lot/side |
|
CLP Holdings Ltd |
Full Rate
Spread Rate |
1,215 |
per lot |
972 |
per lot |
|
184 |
/lot/side |
147.2 |
/lot/side |
|
The Wharf (Holdings) Ltd |
Full Rate
Spread Rate |
2,540 |
per lot |
2,032 |
per lot |
|
381 |
/lot/side |
304.8 |
/lot/side |
|
New World Development Co Ltd |
Full Rate
Spread Rate |
1,410 |
per lot |
1,128 |
per lot |
|
212 |
/lot/side |
169.6 |
/lot/side |
|
Legend Group Ltd |
Full Rate
Spread Rate |
800 |
per lot |
640 |
per lot |
|
120 |
/lot/side |
96 |
/lot/side |
|
China Mobile (HK) Ltd |
Full Rate
Spread Rate |
1,155 |
per lot |
924 |
per lot |
|
174 |
/lot/side |
139.2 |
/lot/side |
|
The Bank of East Asia Ltd |
Full Rate
Spread Rate |
366 |
per lot |
292.8 |
per lot |
|
55 |
/lot/side |
44 |
/lot/side |
|
Hong Kong and China Gas Co Ltd |
Full Rate
Spread Rate |
830 |
per lot |
664 |
per lot |
|
125 |
/lot/side |
100 |
/lot/side |
|
MTR Corporation Ltd |
Full Rate
Spread Rate |
515 |
per lot |
412 |
per lot |
|
78 |
/lot/side |
62.4 |
/lot/side |
|
China Merchants Holdings (International) Co Ltd |
Full Rate
Spread Rate |
1,720 |
per lot |
1,376 |
per lot |
|
258 |
/lot/side |
206.4 |
/lot/side |
|
Johnson Electric Holdings Ltd |
Full Rate
Spread Rate |
320 |
per lot |
256 |
per lot |
|
50 |
/lot/side |
40 |
/lot/side |
|
Cathay Pacific Airways Ltd |
Full Rate
Spread Rate |
1,120 |
per lot |
896 |
per lot |
|
168 |
/lot/side |
134.4 |
/lot/side |
|
Hong Kong Exchanges and Clearing Ltd |
Full Rate
Spread Rate |
4,020 |
per lot |
3,216 |
per lot |
|
603 |
/lot/side |
482.4 |
/lot/side |
|
Li & Fung Ltd |
Full Rate
Spread Rate |
2,720 |
per lot |
2,176 |
per lot |
|
408 |
/lot/side |
326.4 |
/lot/side |
|
China Unicom Ltd |
Full Rate
Spread Rate |
2,580 |
per lot |
2,064 |
per lot |
|
387 |
/lot/side |
309.6 |
/lot/side |
|
PetroChina Co Ltd |
Full Rate
Spread Rate |
980 |
per lot |
784 |
per lot |
|
147 |
/lot/side |
117.6 |
/lot/side |
|
Cheung Kong Infrastructure Holdings Ltd |
Full Rate
Spread Rate |
1,480 |
per lot |
1,184 |
per lot |
|
222 |
/lot/side |
177.6 |
/lot/side |
|
Cosco Pacific Ltd |
Full Rate
Spread Rate |
2,440 |
per lot |
1,952 |
per lot |
|
366 |
/lot/side |
292.8 |
/lot/side |
|
CNOOC Ltd |
Full Rate
Spread Rate |
790 |
per lot |
632 |
per lot |
|
120 |
/lot/side |
96 |
/lot/side |
|
Huaneng Power International Inc |
Full Rate
Spread Rate |
2,920 |
per lot |
2,336 |
per lot |
|
438 |
/lot/side |
350.4 |
/lot/side |
|
BOC Hong Kong (Holdings) Ltd |
Full Rate
Spread Rate |
550 |
per lot |
440 |
per lot |
|
83 |
/lot/side |
66.4 |
/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
(HK$) |
Maintenance Margin
(HK$) |
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
|
3,625 per spread |
2,900 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
|
2,750 per spread |
2,200 per spread |
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
|
1,500 per spread |
1,200 per spread |
2nd month vs 3rd month
|
1,250 per spread |
1,000 per spread |
Spread Margin Rates
for Three-Month HIBOR Futures
|
Spread Combination |
Initial Margin
(HK$) |
Maintenance Margin
(HK$) |
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
|
$5,375 per spread |
4,300 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
|
4,625 per spread |
3,700 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
|
3,875 per spread |
3,100 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
|
3,250 per spread |
2,600 per spread |
4th month vs 5th month
|
2,125 per spread |
1,700 per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
|
2,000 per spread |
1,600 per spread |