HKFE Announces Revised Margins for Futures Contracts
Market Operations
28 Dec 2006
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), has announced that with effect from the commencement of trading on Tuesday, 2 January 2007, 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).
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 Three-Month HIBOR Futures
Spread Combination |
Initial Margin
(HK$) |
Maintenance Margin
(HK$) |
1st month vs 9th month
1st month vs 10th month
2nd month vs 9th month
2nd month vs 10th month
3rd month vs 9th month
3rd month vs 10th month |
3,822
per spread |
3,058
per spread |
4th month vs 9th month
4th month vs 10th month
5th month vs 9th month
5th month vs 10th month
6th month vs 9th month
6th month vs 10th month
7th month vs 9th month
7th month vs 10th month
8th month vs 9th month
8th month vs 10th month |
3,737
per spread |
2,990
per spread |
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
1st month vs 7th month
1st month vs 8th month
2nd month vs 4th month
2nd month vs 5th month
2nd month vs 6th month
2nd month vs 7th month
2nd month vs 8th month
3rd month vs 4th month
3rd month vs 5th month
3rd month vs 6th month
3rd month vs 7th month
3rd month vs 8th month |
2,842
per spread |
2,274
per spread |
9th month vs 10th month |
2,595
per spread |
2,076
per spread |
4th month vs 5th month
4th month vs 6th month
4th month vs 7th month
4th month vs 8th month
5th month vs 6th month
5th month vs 7th month
5th month vs 8th month
6th month vs 7th month
6th month vs 8th month
7th month vs 8th month |
2,136
per spread |
1,709
per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month |
1,729
per spread |
1,383
per spread |
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
2nd month vs 4th month
2nd month vs 5th month
2nd month vs 6th month |
4,075
per spread |
3,260
per spread |
3rd month vs 4th month
3rd month vs 5th month
3rd month vs 6th month |
3,569
per spread |
2,855
per spread |
1st month vs 3rd month
2nd month vs 3rd month |
3,100
per spread |
2,480
per spread |
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month |
2,742
per spread |
2,194
per spread |
1st month vs 2nd month |
2,561
per spread |
2,049
per spread |