Market Turnover
-






-
-
|
|
|
|
|
|
-
-
-
Loading

HKFE Announces Revised Margins for Futures Contracts

Market Operations
28 Dec 2001

Hong Kong Futures Exchange (HKFE), a wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited (HKEx), announced today (Friday) that with effect from the commencement of trading on Wednesday, 2 January 2002, 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.

* Amounts in brackets are the original margin rates:

Futures Contract Margin Rate Initial Margin
(HK$)
Maintenance Margin
(HK$)
Hang Seng Index

Full Rate
Spread Rate

44,250 (48,000) per lot
3,750 (3,750)/lot/side

35,400 (38,400) per lot
3,000 (3,000)/lot/side

Mini-Hang Seng Index

Full Rate
Spread Rate

8,850 (9,600) per lot
750 (750)/lot/side

7,080 (7,680) per lot
600 (600)/lot/side

MSCI China Free Index

Full Rate
Spread Rate

16,300 (19,000) per lot
2,445 (2,850)/lot/side

13,040 (15,200) per lot
1,956 (2,280)/lot/side

Three-Month HIBOR

Full Rate
Spread Rate

1,200 (1,125) per lot 960 (900) per lot

Please refer to the attached table

One-Month HIBOR

Full Rate
Spread Rate

650 (925) per lot 520 (740) per lot

Please refer to the attached table

Three-Year EFN

Full Rate
Spread Rate

17,600 (14,500) per lot
2,640 (2,200)/lot/side

14,080 (11,600)per lot
2,112 (1,760)/lot/side

HSBC Holdings Plc

Full Rate
Spread Rate

2,720 (3,320) per lot
410 (500)/lot/side

2,176 (2,656) per lot
328 (400)/lot/side

Pacific Century CyberWorks Ltd

Full Rate
Spread Rate

260 (270) per lot
40 (40)/lot/side

208 (216) per lot
32 (32)/lot/side

Cheung Kong (Holdings) Ltd

Full Rate
Spread Rate

7,900 (7,700) per lot1,185 (1,155)/lot/side

6,320 (6,160) per lot
948 (924)/lot/side

Swire Pacific Ltd 'A' Shares

Full Rate
Spread Rate

2,100 (2,275) per lot
315 (345)/lot/side

1,680 (1,820) per lot
252 (276)/lot/side

CITIC Pacific Ltd

Full Rate
Spread Rate

1,770 (2,150) per lot
270 (325) /lot/side

1,416 (1,720) per lot
216 (260) /lot/side

China Resources Enterprise Ltd

Full Rate
Spread Rate

2,300 (2,580) per lot
345 (390)/lot/side

1,840 (2,064) per lot
276 (312)/lot/side

Shanghai Industrial Holdings Ltd

Full Rate
Spread Rate

930 (1,120) per lot
140 (170)/lot/side

744 (896) per lot
112 (136)/lot/side

Hongkong Electric Holdings Ltd

Full Rate
Spread Rate

900 (975) per lot
135 (150)/lot/side

720 (780) per lot
108 (120)/lot/side

Hang Seng Bank Ltd

Full Rate
Spread Rate

570 (580) per lot
90 (90) /lot/side

456 (464) per lot
72 (72) /lot/side

Henderson Land
Development Company Ltd

Full Rate
Spread Rate

4,100 (3,480) per lot
615 (525)/lot/side

3,280 (2,784) per lot
492 (420)/lot/side

Hutchison Whampoa Ltd

Full Rate
Spread Rate

7,700 (8,250) per lot
1,155 (1,240)/lot/side

6,160 (6,600) per lot
924 (992)/lot/side

Sun Hung Kai Properties Ltd

Full Rate
Spread Rate

7,300 (6,600) per lot
1,095 (990)/lot/side

5,840 (5,280) per lot
876 (792)/lot/side

China Light and Power Company Ltd

Full Rate
Spread Rate

940 (940) per lot
145 (145)/lot/side

752 (752) per lot
116 (116)/lot/side

The Wharf (Holdings) Ltd

Full Rate
Spread Rate

1,940 (1,720) per lot
295 (260)/lot/side

1,552 (1,376) per lot
236 (208)/lot/side

New World Development
Company Ltd

Full Rate
Spread Rate

1,170 (920) per lot
180/ (140)lot/side

936 (736) per lot
144 (112)/lot/side

Legend Holdings Ltd

Full Rate
Spread Rate

1,160 (1,340) per lot
175 (200)/lot/side

928 (1,072) per lot
140 (160)/lot/side

China Mobile (HK) Ltd

Full Rate
Spread Rate

1,840 (2,125) per lot
280 (320)/lot/side

1,472 (1,700) per lot
224 (256)/lot/side

The Bank of East Asia Ltd

Full Rate
Spread Rate

214 (246) per lot
35 (40)/lot/side

171.2 (196.8) per lot
28 (32)/lot/side

Hong Kong and China Gas
Company Ltd

Full Rate
Spread Rate

620 (620) per lot
95 (95)/lot/side

496 (496) per lot
76 (76)/lot/side

MTR Corporation Ltd

Full Rate
Spread Rate

420 (540) per lot
65 (80)/lot/side

336 (432) per lot
52 (64)/lot/side

China Merchants Holdings
(International) Company Ltd

Full Rate
Spread Rate

960 (1,000) per lot
145 (150)/lot/side

768 (800) per lot
116 (120)/lot/side

Johnson Electric Holdings Ltd

Full Rate
Spread Rate

700 (780) per lot
105 (120)/lot/side

560 (624) per lot
84 (96)/lot/side

Cathay Pacific Airways Ltd

Full Rate
Spread Rate

1,320 (1,320) per lot
200 (200)/lot/side

1,056 (1,056) per lot
160 (160)/lot/side

Hong Kong Exchanges and
Clearing Ltd

Full Rate
Spread Rate

2,680 (3,000) per lot
405 (450)/lot/side

2,144 (2,400) per lot
324 (360)/lot/side

Li & Fung Ltd

Full Rate
Spread Rate

2,580 (2,900) per lot
390 (435)/lot/side

2,064 (2,320) per lot
312 (348)/lot/side

China Unicom Ltd

Full Rate
Spread Rate

2,200 (2,740) per lot
330 (415)/lot/side

1,760 (2,192) per lot
264 (332)/lot/side

PetroChina Company Ltd

Full Rate
Spread Rate

240 (300) per lot
40 (45)/lot/side

192 (240) per lot
32 (36)/lot/side

Cheung Kong Infrastructure
Holdings Ltd

Full Rate
Spread Rate

770 (800) per lot
120 (120)/lot/side

616 (640) per lot
96 (96)/lot/side

Cosco Pacific Ltd Full Rate
Spread Rate

760 (920) per lot
115 (140)/lot/side
608 (736) per lot
92 (112)/lot/side


Currency Futures Contracts

Initial
(US$)

Maintenance
(US$)

Rolling Forex Japanese Yen

Full Rate

1,875 (1,875) per lot

1,500 (1,500) per lot

Rolling Forex British Pound

Full Rate

2,750 (2,750) per lot

2,200 (2,200) per lot

Rolling Forex Euro

Full Rate

1,750 (1,750) per lot 1,400 (1,400) per lot


US Stock Futures Contracts

 

Margin Rate

Initial Margin
(US$)

Maintenance Margin
(US$)

Cisco Systems Incorporated

Full Rate
Spread Rate

283 (285) per lot
45 (45)/lot/side

226.4 (228) per lot
36/ (36)lot/side

IBM Corporation

Full Rate
Spread Rate

800 (740) per lot
152.5 (152.5)/lot/side

640 (592) per lot
122 (122)/lot/side

Intel Corporation

Full Rate
Spread Rate

385 (420) per lot
60 (65)/lot/side

308 (336) per lot
48 (52)/lot/side

Microsoft Corporation

Full Rate
Spread Rate

580 (655) per lot
90 (100)/lot/side

464 (524) per lot
72 (80)/lot/side

Oracle Corporation Full Rate
Spread Rate

210 (215) per lot
35 (35)/lot/side
168 (172) per lot
28 (28)/lot/side


Japan Stock Futures Contracts

Margin Rate

Initial Margin
(JPY)

Maintenance Margin
(JPY)

NTT DoCoMo Incorporated

Full Rate
Spread Rate

242,100 (257,000) per lot
36,315 (38,550)/lot/side

193,680 (205,600) per lot
29,052 (30,840)/lot/side

Sony Corporation

Full Rate
Spread Rate

74,280 (85,900)/per lot
11,145 (12,885)/lot/side

59,424 (68,720) per lot
8,916 (10,308)/lot/side

Nippon Telegraph & Telephone Corporation

Full Rate
Spread Rate

68,300 (71,000) per lot
12,500 (12,500)/lot/side

54,640 (56,800) per lot
10,000 (10,000)/lot/side

Fujitsu Ltd

Full Rate
Spread Rate

129,900 (145,000) per lot
19,485 (21,750)/lot/side

103,920 (116,000) per lot
15,588 (17,400)/lot/side

Toyota Motor Corporation Full Rate
Spread Rate

31,500 (37,000) per lot
5,750 (5,750)/lot/side
25,200 (29,600) per lot
4,600 (4,600)/lot/side

Korea Stock Futures Contracts

Margin Rate

Initial Margin
(KRW)

Maintenance Margin
(KRW)

Korea Electric Power Corporation

Full Rate
Spread Rate

26,180 (27,500) per lot
3,930 (4,125)/lot/side

20,944 (22,000) per lot
3,144 (3,300)/lot/side

Korea Telecom Corporation

Full Rate
Spread Rate

58,610 (57,000) per lot
8,795 (8,550)/lot/side

46,888 (45,600) per lot
7,036 (6,840)/lot/side

Samsung Electronics Co Ltd

Full Rate
Spread Rate

448,000 (310,000) per lot
67,200 (46,500)/lot/side

358,400 (248,000) per lot
53,760 (37,200)/lot/side

SK Telecom Company Ltd

Full Rate
Spread Rate

408,000 (380,000) per lot
61,200 (57,000)/lot/side

326,400 (304,000) per lot
48,960 (45,600)/lot/side

Kookmin Bank Full Rate
Spread Rate

135,560 (188,000) per lot
20,335 (28,200)/lot/side
108,448 (150,400) per lot
16,268 (22,560)/lot/side


Taiwan Stock Futures Contracts


Margin Rate

Initial Margin
(NT$)

Maintenance Margin
(NT$)

Mosel Vitelic Incorporated

Full Rate
Spread Rate

2,300 (1,350) per lot
345 (205)/lot/side

1,840 (1,080) per lot
276 (164)/lot/side

Ritek Corporation

Full Rate
Spread Rate

6,200 (5,350) per lot
930 (805)/lot/side

4,960 (4,280) per lot
744 (644)/lot/side

Taiwan Semiconductor Manufacturing Co Ltd

Full Rate
Spread Rate

11,980 (10,550) per lot
1,880 (1,585)/lot/side

9,584 (8,400) per lot
1,504 (1,268)/lot/side

United Microelectronics Corporation

Full Rate
Spread Rate

7,800 (5,650) per lot
1,170 (850)/lot/side

6,240 (4,520) per lot
936 (680)/lot/side

Winbond Electronics Corporation Full Rate
Spread Rate

3,550 (2,650) per lot
535 (400)/lot/side
2,840 (2,120) per lot
428 (320)/lot/side

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 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

HK$750 per spread

HK$600 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

HK$600 per spread

HK$480 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
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

HK$500 per spread

HK$400 per spread


 1st month vs 2nd month
1st month vs 3rd month
 2nd month vs 3rd month
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month

HK$350 per spread

HK$280 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
1st month vs 6th month

HK$625 per spread

HK$500 per spread


 1st month vs 2nd month
1st month vs 3rd 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

HK$500 per spread

HK$400 per spread


4th month vs 5th month
4th month vs 6th month
5th month vs 6th month

HK$375 per spread

HK$300 per spread


2nd month vs 3rd month

HK$225 per spread

HK$180 per spread

Updated 28 Dec 2001