HKFE Announces Revised Margins for Futures Contracts
Market Operations
30 Jul 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 that with effect from the commencement of trading on Monday, 2 August 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 margin information on the HKEx website at the following link (http://www.hkex.com.hk/eng/market/rm/rm_dcrm/riskdata/margin_hkcc/FOmargin.htm).
|
Futures Contract |
Margin Rate |
Initial Margin
(HK$) |
Maintenance Margin
(HK$) |
|
|
|
|
|
|
Hang Seng Index |
Full Rate |
38,125 |
per lot |
30,500 |
per lot |
|
Spread Rate |
3,750 |
/lot/side |
3,000 |
/lot/side |
|
|
|
|
|
|
Mini-Hang Seng Index |
Full Rate |
7,625 |
per lot |
6,100 |
per lot |
|
Spread Rate |
750 |
/lot/side |
600 |
/lot/side |
|
|
|
|
|
|
Three-Month HIBOR |
Full Rate |
5,415 |
per lot |
4,332 |
per lot |
|
Spread Rate |
Please refer to |
the attached table |
|
|
|
|
|
|
One-Month HIBOR |
Full Rate |
3,325 |
per lot |
2,660 |
per lot |
|
Spread Rate |
Please refer to |
the attached table |
|
|
|
|
|
|
Three-Year EFN |
Full Rate |
10,200 |
per lot |
8,160 |
per lot |
|
Spread Rate |
1,530 |
/lot/side |
1,224 |
/lot/side |
|
|
|
|
|
|
|
|
Dow Jones Industrial Average Index |
Full Rate |
6,380 |
per lot |
5,104 |
per lot |
|
Spread Rate |
957 |
/lot/side |
765.6 |
/lot/side |
|
|
|
|
|
|
H-Shares Index |
Full Rate |
23,100 |
per lot |
18,480 |
per lot |
|
Spread Rate |
3,465 |
/lot/side |
2,772 |
/lot/side |
|
|
|
|
|
|
HSBC Holdings Plc |
Full Rate |
2,820 |
per lot |
2,256 |
per lot |
|
Spread Rate |
425 |
/lot/side |
340 |
/lot/side |
|
|
|
|
|
|
PCCW Ltd |
Full Rate |
560 |
per lot |
448 |
per lot |
|
Spread Rate |
84 |
/lot/side |
67.2 |
/lot/side |
|
|
|
|
|
|
Cheung Kong (Holdings) Ltd |
Full Rate |
4,560 |
per lot |
3,648 |
per lot |
|
Spread Rate |
684 |
/lot/side |
547.2 |
/lot/side |
|
|
|
|
|
|
Swire Pacific Ltd 'A' Shares |
Full Rate |
2,085 |
per lot |
1,668 |
per lot |
|
Spread Rate |
313 |
/lot/side |
250.4 |
/lot/side |
|
|
|
|
|
|
CITIC Pacific Ltd |
Full Rate |
1,890 |
per lot |
1,512 |
per lot |
|
Spread Rate |
284 |
/lot/side |
227.2 |
/lot/side |
|
|
|
|
|
|
China Resources Enterprise Ltd |
Full Rate |
2,060 |
per lot |
1,648 |
per lot |
|
Spread Rate |
309 |
/lot/side |
247.2 |
/lot/side |
|
|
|
|
|
|
Shanghai Industrial Holdings Ltd |
Full Rate |
1,240 |
per lot |
992 |
per lot |
|
Spread Rate |
186 |
/lot/side |
148.8 |
/lot/side |
|
|
|
|
|
|
Hongkong Electric Holdings Ltd |
Full Rate |
1,050 |
per lot |
840 |
per lot |
|
Spread Rate |
158 |
/lot/side |
126.4 |
/lot/side |
|
|
|
|
|
|
Hang Seng Bank Ltd |
Full Rate |
610 |
per lot |
488 |
per lot |
|
Spread Rate |
90 |
/lot/side |
72 |
/lot/side |
|
|
|
|
|
|
Henderson Land Development Co Ltd |
Full Rate |
3,040 |
per lot |
2,432 |
per lot |
|
Spread Rate |
456 |
/lot/side |
364.8 |
/lot/side |
|
|
|
|
|
|
Hutchison Whampoa Ltd |
Full Rate |
3,340 |
per lot |
2,672 |
per lot |
|
Spread Rate |
501 |
/lot/side |
400.8 |
/lot/side |
|
|
|
|
|
|
Sun Hung Kai Properties Ltd |
Full Rate |
5,380 |
per lot |
4,304 |
per lot |
|
Spread Rate |
807 |
/lot/side |
645.6 |
/lot/side |
|
|
|
|
|
|
CLP Holdings Ltd |
Full Rate |
1,350 |
per lot |
1,080 |
per lot |
|
Spread Rate |
203 |
/lot/side |
162.4 |
/lot/side |
|
|
|
|
|
|
The Wharf (Holdings) Ltd |
Full Rate |
2,180 |
per lot |
1,744 |
per lot |
|
Spread Rate |
327 |
/lot/side |
261.6 |
/lot/side |
|
|
|
|
|
|
New World Development Co Ltd |
Full Rate |
745 |
per lot |
596 |
per lot |
|
Spread Rate |
112 |
/lot/side |
89.6 |
/lot/side |
|
|
|
|
|
|
Lenovo Group Ltd |
Full Rate |
528 |
per lot |
422.4 |
per lot |
|
Spread Rate |
80 |
/lot/side |
64 |
/lot/side |
|
|
|
|
|
|
China Mobile (Hong Kong) Ltd |
Full Rate |
955 |
per lot |
764 |
per lot |
|
Spread Rate |
144 |
/lot/side |
115.2 |
/lot/side |
|
|
|
|
|
|
The Bank of East Asia Ltd |
Full Rate |
316 |
per lot |
252.8 |
per lot |
|
Spread Rate |
48 |
/lot/side |
38.4 |
/lot/side |
|
|
|
|
|
|
Hong Kong and China Gas Co Ltd |
Full Rate |
968 |
per lot |
774.4 |
per lot |
|
Spread Rate |
146 |
/lot/side |
116.8 |
/lot/side |
|
|
|
|
|
|
MTR Corporation Ltd |
Full Rate
Spread Rate |
450 |
per lot |
360 |
per lot |
|
68 |
/lot/side |
54.4 |
/lot/side |
|
|
|
|
|
|
China Merchants Holdings (International) Co Ltd |
Full Rate |
2,060 |
per lot |
1,648 |
per lot |
|
Spread Rate |
309 |
/lot/side |
247.2 |
/lot/side |
|
|
|
|
|
|
Johnson Electric Holdings Ltd |
Full Rate |
360 |
per lot |
288 |
per lot |
|
Spread Rate |
54 |
/lot/side |
43.2 |
/lot/side |
|
|
|
|
|
|
Cathay Pacific Airways Ltd |
Full Rate |
1,175 |
per lot |
940 |
per lot |
|
Spread Rate |
177 |
/lot/side |
141.6 |
/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 |
2,130 |
per lot |
1,704 |
per lot |
|
Spread Rate |
320 |
/lot/side |
256 |
/lot/side |
|
|
|
|
|
|
China Unicom Ltd |
Full Rate |
1,730 |
per lot |
1,384 |
per lot |
|
Spread Rate |
260 |
/lot/side |
208 |
/lot/side |
|
|
|
|
|
|
|
PetroChina Co Ltd |
Full Rate |
680 |
per lot |
544 |
per lot |
|
|
Spread Rate |
102 |
/lot/side |
81.6 |
/lot/side |
|
|
|
|
|
|
|
|
Cheung Kong Infrastructure Holdings Ltd |
Full Rate |
1,585 |
per lot |
1,268 |
per lot |
|
|
Spread Rate |
238 |
/lot/side |
190.4 |
/lot/side |
|
|
|
|
|
|
|
|
Cosco Pacific Ltd |
Full Rate |
2,510 |
per lot |
2,008 |
per lot |
|
|
Spread Rate |
377 |
/lot/side |
301.6 |
/lot/side |
|
|
|
|
|
|
|
|
CNOOC Ltd |
Full Rate |
362 |
per lot |
289.6 |
per lot |
|
|
Spread Rate |
54 |
/lot/side |
43.2 |
/lot/side |
|
|
|
|
|
|
|
|
CNOOC Ltd (Temporary) |
Full Rate |
905 |
Per lot |
724 |
per lot |
|
|
Spread Rate |
135 |
/lot/side |
108 |
/lot/side |
|
|
|
|
|
|
|
|
Huaneng Power International Inc |
Full Rate |
1,600 |
per lot |
1,280 |
per lot |
|
|
Spread Rate |
240 |
/lot/side |
192 |
/lot/side |
|
|
|
|
|
|
|
|
BOC Hong Kong (Holdings) Ltd |
Full Rate |
610 |
per lot |
488 |
per lot |
|
|
Spread Rate |
92 |
/lot/side |
73.6 |
/lot/side |
|
|
|
|
|
|
|
|
Aluminum Corporation of China Ltd |
Full Rate |
1,450 |
per lot |
1,160 |
per lot |
|
|
Spread Rate |
218 |
/lot/side |
174.4 |
/lot/side |
|
|
|
|
|
|
|
|
|
|
China Life Insurance Co Ltd |
Full Rate |
396 |
per lot |
316.8 |
per lot |
|
|
Spread Rate |
60 |
/lot/side |
48 |
/lot/side |
|
|
|
|
|
|
|
|
|
|
China Petroleum & Chemical Corporation |
Full Rate |
638 |
per lot |
510.4 |
per lot |
|
|
Spread Rate |
96 |
/lot/side |
76.8 |
/lot/side |
|
|
|
|
|
|
|
|
|
|
China Telecom Corporation Ltd |
Full Rate |
550 |
per lot |
440 |
per lot |
|
|
Spread Rate |
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
|
$6,625
per spread |
$5,300
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
|
$6,125
per spread |
$4,900
per spread |
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
|
$5,125
per spread |
$4,100
per spread |
1st month vs 2nd month
1st month vs 3rd month
|
$3,250
per spread |
$2,600
per spread |
|
2nd month vs 3rd month |
$2,625
per spread
|
$2,100
per spread |
Spread Margin Rates
for Three-Month HIBOR Futures
|
Spread Combination |
Initial Margin
(HK$) |
Maintenance Margin
(HK$) |
1st month vs 8th month
1st month vs 9th month
1st month vs 10th month
2nd month vs 8th month
2nd month vs 9th month
2nd month vs 10th month
3rd month vs 8th month
3rd month vs 9th month
3rd month vs 10th month
|
$6,250
per spread |
$5,000
per spread |
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
1st month vs 7th month
2nd month vs 4th month
2nd month vs 5th month
2nd month vs 6th month
2nd month vs 7th month
3rd month vs 4th month
3rd month vs 5th month
3rd month vs 6th month
3rd month vs 7th month
|
$5,875
per spread |
$4,700
per spread |
4th month vs 8th month
4th month vs 9th month
4th month vs 10th month
5th month vs 8th month
5th month vs 9th month
5th month vs 10th 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
|
$5,125
per spread |
$4,100
per spread |
4th month vs 5th month
4th month vs 6th month
4th month vs 7th month
5th month vs 6th month
5th month vs 7th month
6th month vs 7th month
|
$3,875
Per spread |
$3,100
per spread |
8th month vs 9th month
8th month vs 10th month
9th month vs 10th month
|
$3,125
per spread |
$2,500
per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
|
$2,625
per spread |
$2,100
per spread |