HKFE Announces Revised Margins for Futures Contracts
Market Operations
17 Sep 2008
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 Friday, 19 September 2008, the minimum margins to be collected by an Exchange Participant from its clients in respect of their dealings in the following futures contract 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 |
116,450 |
/lot |
93,160 |
/lot |
| Spread Rate |
7,500 |
/spread |
6,000 |
/spread |
| |
|
|
|
|
|
| Mini-Hang Seng Index |
Full Rate |
23,290 |
/lot |
18,632 |
/lot |
| Spread Rate |
1,500 |
/spread |
1,200 |
/spread |
| |
|
|
|
|
|
| H-shares Index |
Full Rate |
77,605 |
/lot |
62,085 |
/lot |
| Spread Rate |
23,282 |
/spread |
18,626 |
/spread |
| |
|
|
|
|
|
| Mini H-shares Index |
Full Rate |
15,521 |
/lot |
12,417 |
/lot |
| Spread Rate |
4,656 |
/spread |
3,725 |
/spread |
| |
|
|
|
|
|
| Three-Month HIBOR |
Full Rate |
7,453 |
/lot |
5,963 |
/lot |
| Spread Rate |
Please refer to attached table |
| |
|
|
|
|
|
| Hutchison Whampoa Ltd |
Full Rate |
6,487 |
/lot |
5,190 |
/lot |
| Spread Rate |
1,946 |
/spread |
1,557 |
/spread |
HKFE emphasises 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 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
|
5,062
per spread |
4,049
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
|
4,965
per spread |
3,972
per spread |
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
|
3,802
per spread |
3,042
per spread |
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
|
3,252
per spread |
2,602
per spread |
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 |
2,653
per spread |
2,123
per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
|
2,649
per spread |
2,119
per spread |
Spread Margin Rates
for One-Month HIBOR Futures
|
Spread Combination
|
Initial Margin
(HK$)
|
Maintenance Margin
(HK$)
|
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
|
3,115
per spread |
2,492
per spread |
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
|
2,809
per spread |
2,248
per spread |
1st month vs 2nd month
1st month vs 3rd month
|
2,554
per spread |
2,044
per spread |
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
|
2,193
per spread |
1,755
per spread |
2nd month vs 3rd month |
1,853
per spread |
1,482
per spread |