HKFE Announces Revised Margins for Futures Contracts
Market Operations
23 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 Thursday, 25 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 |
134,100 |
/lot |
107,280 |
/lot |
| Spread Rate |
7,500 |
/spread |
6,000 |
/spread |
| |
|
|
|
|
|
| Mini-Hang Seng Index |
Full Rate |
26,820 |
/lot |
21,456 |
/lot |
| Spread Rate |
1,500 |
/spread |
1,200 |
/spread |
| |
|
|
|
|
|
| H-shares Index |
Full Rate |
99,650 |
/lot |
79,720 |
/lot |
| Spread Rate |
29,900 |
/spread |
23,920 |
/spread |
| |
|
|
|
|
|
| Mini H-shares Index |
Full Rate |
19,930 |
/lot |
15,944 |
/lot |
| Spread Rate |
5,980 |
/spread |
4,784 |
/spread |
| |
|
|
|
|
|
| Three-Month HIBOR |
Full Rate |
8,645 |
/lot |
6,916 |
/lot |
| Spread Rate |
Please refer to attached table |
| |
|
|
|
|
|
| China Mobile Ltd |
Full Rate |
7,310 |
/lot |
5,848 |
/lot |
| Spread Rate |
2,193 |
/spread |
1,754 |
/spread |
| |
|
|
|
|
|
| HK Exchanges and Clearing Ltd |
Full Rate |
1,656 |
/lot |
1,325 |
/lot |
| Spread Rate |
497 |
/spread |
398 |
/spread |
| |
|
|
|
|
|
| HSBC Holding PLC |
Full Rate |
4,852 |
/lot |
3,882 |
/lot |
| Spread Rate |
1,456 |
/spread |
1,165 |
/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$)
|
Maintenance Margin
(HK$)
|
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
|
6,385
per spread |
5,108
per spread |
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
|
5,572
per spread |
4,457
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
|
4,417
per spread |
3,534
per spread |
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
|
3,580
per spread |
2,864
per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
|
3,479
per spread |
2,783
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
|
3,243
per spread |
2,595
per spread |