HKFE Announces Revised Margins for Futures Contracts
Market Operations
27 May 2005
Hong Kong Futures Exchange
(A wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited)
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 Wednesday, 1 June 2005, 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 |
42,550 |
/lot |
34,040 |
/lot |
|
Spread Rate |
7,500 |
/spread |
6,000 |
/spread |
|
|
|
|
|
|
|
|
Mini-Hang Seng Index |
Full Rate |
8,510 |
/lot |
6,808 |
/lot |
|
Spread Rate |
1,500 |
/spread |
1,200 |
/spread |
|
|
|
|
|
|
|
|
Three-Month HIBOR |
Full Rate |
7,400 |
/lot |
5,920 |
/lot |
|
Spread Rate |
Please refer to attached table |
|
|
|
|
|
|
|
|
One-Month HIBOR |
Full Rate |
7,925 |
/lot |
6,340 |
/lot |
|
Spread Rate |
Please refer to attached table |
|
|
|
|
|
|
|
|
EFN |
Full Rate |
10,350 |
/lot |
8,280 |
/lot |
|
Spread Rate |
3,105 |
/spread |
2,484 |
/spread |
|
|
|
|
|
|
|
|
H-shares Index |
Full Rate |
14,200 |
/lot |
11,360 |
/lot |
|
Spread Rate |
4,260 |
/spread |
3,408 |
/spread |
|
|
|
|
|
|
|
|
FTSE/Xinhua China 25 Index |
Full Rate |
24,950 |
/lot |
19,960 |
/lot |
|
Spread Rate |
7,485 |
/spread |
5,988 |
/spread |
|
|
|
|
|
|
|
|
The Bank of East Asia Ltd |
Full Rate |
280 |
/lot |
224 |
/lot |
|
Spread Rate |
84 |
/spread |
67 |
/spread |
|
|
|
|
|
|
|
|
China Mobile (HK) Ltd |
Full Rate |
825 |
/lot |
660 |
/lot |
|
Spread Rate |
248 |
/spread |
198 |
/spread |
|
|
|
|
|
|
|
|
CITIC Pacific Ltd |
Full Rate |
1,376 |
/lot |
1,101 |
/lot |
|
Spread Rate |
413 |
/spread |
330 |
/spread |
|
|
|
|
|
|
|
|
Cheung Kong (Holdings) Ltd |
Full Rate |
4,405 |
/lot |
3,524 |
/lot |
|
Spread Rate |
1,322 |
/spread |
1,058 |
/spread |
|
|
|
|
|
|
|
|
CLP Holdings Ltd |
Full Rate |
1,390 |
/lot |
1,112 |
/lot |
|
Spread Rate |
417 |
/spread |
334 |
/spread |
|
|
|
|
|
|
|
|
China Resources Enterprise Ltd |
Full Rate |
1,330 |
/lot |
1,064 |
/lot |
|
Spread Rate |
399 |
/spread |
319 |
/spread |
|
|
|
|
|
|
|
|
Hongkong Electric Holdings Ltd |
Full Rate |
1,073 |
/lot |
858 |
/lot |
|
Spread Rate |
322 |
/spread |
258 |
/spread |
|
|
|
|
|
|
|
|
HSBC Holdings Plc |
Full Rate |
3,088 |
/lot |
2,470 |
/lot |
|
Spread Rate |
926 |
/spread |
741 |
/spread |
|
|
|
|
|
|
|
|
Henderson Land Development Co Ltd |
Full Rate |
2,195 |
/lot |
1,756 |
/lot |
|
Spread Rate |
659 |
/spread |
527 |
/spread |
|
|
|
|
|
|
|
|
Hang Seng Bank Ltd |
Full Rate |
647 |
/lot |
518 |
/lot |
|
Spread Rate |
194 |
/spread |
155 |
/spread |
|
|
|
|
|
|
|
|
Hutchison Whampoa Ltd |
Full Rate |
4,210 |
/lot |
3,368 |
/lot |
|
Spread Rate |
1,263 |
/spread |
1,010 |
/spread |
|
|
|
|
|
|
|
|
Lenovo Group Ltd |
Full Rate |
462 |
/lot |
370 |
/lot |
|
Spread Rate |
139 |
/spread |
111 |
/spread |
|
|
|
|
|
|
|
|
New World Development Co Ltd |
Full Rate |
525 |
/lot |
420 |
/lot |
|
Spread Rate |
158 |
/spread |
126 |
/spread |
|
|
|
|
|
|
|
|
PCCW Ltd |
Full Rate |
308 |
/lot |
246 |
/lot |
|
Spread Rate |
92 |
/spread |
74 |
/spread |
|
|
|
|
|
|
|
|
Sun Hung Kai Properties Ltd |
Full Rate |
4,635 |
/lot |
3,708 |
/lot |
|
Spread Rate |
1,391 |
/spread |
1,113 |
/spread |
|
|
|
|
|
|
|
|
Shanghai Industrial Holdings Ltd |
Full Rate |
937 |
/lot |
750 |
/lot |
|
Spread Rate |
281 |
/spread |
225 |
/spread |
|
|
|
|
|
|
|
|
Swire Pacific Ltd "A" |
Full Rate |
2,005 |
/lot |
1,604 |
/lot |
|
Spread Rate |
602 |
/spread |
482 |
/spread |
|
|
|
|
|
|
|
|
The Wharf (Holdings) Ltd |
Full Rate |
1,585 |
/lot |
1,268 |
/lot |
|
Spread Rate |
476 |
/spread |
381 |
/spread |
|
|
|
|
|
|
|
|
China Unicom Ltd |
Full Rate |
1,012 |
/lot |
810 |
/lot |
|
Spread Rate |
304 |
/spread |
243 |
/spread |
|
|
|
|
|
|
|
|
Cheung Kong Infrastructure Holdings Ltd |
Full Rate |
1,584 |
/lot |
1,267 |
/lot |
|
Spread Rate |
475 |
/spread |
380 |
/spread |
|
|
|
|
|
|
|
|
China Merchants Holdings International Co Ltd |
Full Rate |
2,244 |
/lot |
1,795 |
/lot |
|
Spread Rate |
673 |
/spread |
538 |
/spread |
|
|
|
|
|
|
|
|
COSCO Pacific Ltd |
Full Rate |
2,684 |
/lot |
2,147 |
/lot |
|
Spread Rate |
805 |
/spread |
644 |
/spread |
|
|
|
|
|
|
|
|
Cathay Pacific Airways Ltd |
Full Rate |
902 |
/lot |
722 |
/lot |
|
Spread Rate |
271 |
/spread |
217 |
/spread |
|
|
|
|
|
|
|
|
Hong Kong Exchanges and Clearing Ltd |
Full Rate |
2,370 |
/lot |
1,896 |
/lot |
|
Spread Rate |
711 |
/spread |
569 |
/spread |
|
|
|
|
|
|
|
|
Hong Kong and China Gas Co Ltd |
Full Rate |
982 |
/lot |
786 |
/lot |
|
Spread Rate |
295 |
/spread |
236 |
/spread |
|
|
|
|
|
|
|
|
Johnson Electric Holdings Ltd |
Full Rate |
227 |
/lot |
182 |
/lot |
|
Spread Rate |
68 |
/spread |
54 |
/spread |
|
|
|
|
|
|
|
|
Li & Fung Ltd |
Full Rate |
2,002 |
/lot |
1,602 |
/lot |
|
Spread Rate |
601 |
/spread |
481 |
/spread |
|
|
|
|
|
|
|
|
MTR Corporation Ltd |
Full Rate |
413 |
/lot |
330 |
/lot |
|
Spread Rate |
124 |
/spread |
99 |
/spread |
|
|
|
|
|
|
|
|
Petrochina Company Ltd |
Full Rate |
596 |
/lot |
477 |
/lot |
|
Spread Rate |
179 |
/spread |
143 |
/spread |
|
|
|
|
|
|
|
|
CNOOC Ltd |
Full Rate |
341 |
/lot |
273 |
/lot |
|
Spread Rate |
102 |
/spread |
82 |
/spread |
|
|
|
|
|
|
|
|
Huaneng Power International Inc |
Full Rate |
726 |
/lot |
581 |
/lot |
|
Spread Rate |
218 |
/spread |
174 |
/spread |
|
|
|
|
|
|
|
|
BOC Hong Kong (Holdings) Ltd |
Full Rate |
448 |
/lot |
358 |
/lot |
|
Spread Rate |
134 |
/spread |
107 |
/spread |
|
|
|
|
|
|
|
|
Aluminum Corporation of China Ltd |
Full Rate |
748 |
/lot |
598 |
/lot |
|
Spread Rate |
224 |
/spread |
179 |
/spread |
|
|
|
|
|
|
|
|
China Life Insurance Co Ltd |
Full Rate |
325 |
/lot |
260 |
/lot |
|
Spread Rate |
98 |
/spread |
78 |
/spread |
|
|
|
|
|
|
|
|
China Petroleum & Chemical Corporation |
Full Rate |
418 |
/lot |
334 |
/lot |
|
Spread Rate |
125 |
/spread |
100 |
/spread |
|
|
|
|
|
|
|
|
China Telecom Corporation Ltd |
Full Rate |
330 |
/lot |
264 |
/lot |
|
Spread Rate |
99 |
/spread |
79 |
/spread |
|
|
|
|
|
|
|
|
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 |
Maintenance Margin |
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
|
$5,225
per spread |
$4,180
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
|
$4,650
per spread |
$3,720
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
|
$4,075
per spread |
$3,260
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
|
$2,775
per spread |
$2,220
per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
|
$2,250
per spread |
$1,800
per spread |
|
9th month vs 10th month |
$1,425
per spread |
$1,140
per spread |
Spread Margin Rates
for One-Month HIBOR Futures
|
Spread Combination |
Initial Margin |
Maintenance Margin |
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
|
$3,850
per spread |
$3,080
per spread |
1st month vs 6th month
2nd month vs 6th month
3rd month vs 6th month |
$3,800
per spread |
$3,040
per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month |
$2,375
per spread |
$1,900
per spread |
4th month vs 6th month
5th month vs 6th month
|
$1,500
per spread |
$1,200
per spread |
4th month vs 5th month |
$975
per spread |
$780
per spread |