HKEx Plans to Introduce Mini-H-shares Index Futures

Products

15 Jan 2008

Hong Kong Exchanges and Clearing Limited (HKEx) plans to introduce Mini-Hang Seng China Enterprises Index (H-shares Index) futures on 31 March this year, subject to the Securities and Futures Commission’s approval of the necessary rule amendments and market readiness, to expand its range of Mainland China-related derivatives.

The value of one Mini-H-shares Index futures contract will be one-fifth the value of an H-shares Index futures contract.

The H-shares index, a market capitalisation-weighted stock index compiled and calculated by Hang Seng Indexes Company Limited, tracks the performance of the shares of major Mainland-incorporated companies listed in Hong Kong.

Mini-H-shares Index futures have been designed to provide an effective trading and hedging tool for investors interested in tracking the H-shares market with a product that requires a smaller initial margin than the standard H-shares Index futures contract and to complement the trading of the standard H-shares Index futures and options contracts.

Average daily trading volume of H-shares Index futures grew from 3,196 contracts in 2003, the year the contract was introduced, to 44,271 contracts last year. In addition, trading volume of H-shares Index futures was up sharply last year from the previous year, climbing 122 per cent.

“The increase in the level of the underlying index has raised the contract size of one H-shares Index futures contract substantially since its debut, resulting in demand for a smaller contract” said Gerald Greiner, Chief Operating Officer of HKEx. “We think Mini-H-shares Index futures are likely to attract investor interest based on the performance of H-shares Index futures.”

Key Mini-H-shares Index Futures Contract Specifications

Contract Multiplier	$10 per index point

Trading Hours	9:45 am – 12:30 pm and 2:30 pm - 4:15 pm 9:45 am - 12:30 pm and 2:30 pm - 4:00 pm on Last Trading Day (the closing time, except on the Last Trading Day, will be changed to 4:30 pm from 26 May, when the closing auction session will be introduced in the securities market)

Contract Months	Spot month, next month and next two calendar quarter months (April, May, June and September at rollout)

Exchange Fee	$2 per contract

Commission Levy	*Exempted for first six months*

Please see the attachment for additional contract information.

Attachment I

Note: The following are subject to SFC approval.

Contract Specifications
For
Mini-Hang Seng China Enterprises Index (HSCEI) Futures

_____________________________________________________________________________________

The following Contract Specifications shall apply to the Mini-Hang Seng China Enterprises Index Futures Contract*:-

Underlying Index/Index	Hang Seng China Enterprises Index (the share price index of that name compiled, computed and disseminated by Hang Seng Indexes Company Limited)

Contract Multiplier	$10 per Index point

Contract Months	Spot Month, the next calendar month, and the next two calendar quarter months (ie quarterly months are March, June, September, and December)

Minimum Fluctuation	One Index point

Maximum Fluctuation	Nil

Contracted Price	The price in whole Index points at which a Mini-Hang Seng China Enterprises Index Futures Contract is registered by the Clearing House

Contracted Value	Contracted Price multiplied by the Contract Multiplier

Position Limits	Position delta for Mini-Hang Seng China Enterprises Index Futures, Hang Seng China Enterprises Index Futures and Hang Seng China Enterprises Index Options combined of 12,000 long or short in all Contract Months combined provided the position delta for Mini-Hang Seng China Enterprises Index Futures shall not at any time exceed 2,400 long or short in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf. For this purpose, the position delta of one Mini-Hang Seng China Enterprises Index Futures Contract will have a value of 0.2; and

	Position delta for Mini-Hang Seng China Enterprises Index Futures, Hang Seng China Enterprises Index Futures and Hang Seng China Enterprises Index Options combined of 12,000 long or short in all Contract Months combined provided the position delta for Mini-Hang Seng China Enterprises Index Futures shall not at any time exceed 2,400 long or short in all Contract Months combined, per Client. For this purpose, the position delta of one Mini-Hang Seng China Enterprises Index Futures Contract will have a value of 0.2

Large Open Positions	2,500 open contracts, in any one Contract Month, per Exchange Participant for the Exchange Participant’s own behalf; and

	2,500 open contracts, in any one Contract Month, per Client

Trading Hours (Hong Kong time)	9:45 am - 12:30 pm (first trading session) 2:30 pm - 4:15 pm (second trading session)

Trading Hours on Last Trading Day (Hong Kong time)	9:45 am - 12:30 pm (first trading session) 2:30 pm - 4:00 pm (second trading session)^# ^#The closing time shall be adjusted automatically to correspond with the closing time of the underlying cash market, as it may be set from time to time.

Trading Method	The Exchange’s Automated Trading System (HKATS)

Final Settlement Day	The first Business Day after the Last Trading Day

Settlement Method	Cash (Hong Kong dollar) settled contract for differences

Last Trading Day	The Business Day immediately preceding the last Business Day of the Contract Month

Final Settlement Price	The Final Settlement Price for the Mini-Hang Seng China Enterprises Index Futures Contracts shall be a number, rounded down to the nearest whole number, determined by the Clearing House and shall be the average of the values of the Hang Seng China Enterprises Index taken at five (5) minute intervals during the Last Trading Day. The Chief Executive of the Exchange has the power under the Regulations for trading Stock Index Futures Contracts to determine the Final Settlement Price under certain circumstances

Trading Fee (per contract per side)	Exchange Fee	$2.00
	The amount indicated above is subject to change from time to time.

Levies (per contract per side)	Commission Levy Investor Compensation Levy	$0.80 $0.50
	Commission Levy and Investor Compensation Levy are payable at the rate or of the amount prescribed from time to time pursuant to the Ordinance. The amounts indicated above are for reference only and are subject to change as prescribed pursuant to the Ordinance. No Investor Compensation Levy shall be payable for as long as an exemption notice published under section 25 of the Securities and Futures (Investor Compensation – Levy) Rules is in force. Exchange Participants will be notified accordingly of the exemption notice (and its termination).

Commission Rate	Negotiable

The Mini-Hang Seng China Enterprises Index Futures Contract and the Hang Seng China Enterprises Index Futures Contract are fungible. Positions in these two Exchange Contracts will be netted automatically (in the case of House and Market Maker accounts) or may be closed out (in the case of Client account) in accordance with the Clearing House Rules.

Updated 15 Jan 2008