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 |