HKFE Announces Revised Margins for Three-month HIBOR Futures Contract
Market Operations
25 May 2004
Hong Kong Futures Exchange
(A wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited)
HKFE Announces Revised Margins for Three-month HIBOR Futures Contract
Hong Kong Futures Exchange Limited (HKFE), a wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited (HKEx), has announced today that with effect from the commencement of trading on Thursday, 27 May 2004, 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$) |
Maintenance Margin
(HK$) |
|
Three-Month HIBOR |
Full Rate |
5,900 per lot |
4,720 per lot |
|
Spread Rate |
Please refer to the attached table |
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
(HK$) |
Maintenance Margin
(HK$) |
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
1st month vs 7th month
2nd month vs 4th month
2nd month vs 5th month
2nd month vs 6th month
2nd month vs 7th month
3rd month vs 4th month
3rd month vs 5th month
3rd month vs 6th month
3rd month vs 7th month
|
5,625
per spread |
4,500
per spread |
1st month vs 8th month
1st month vs 9th month
1st month vs 10th month
2nd month vs 8th month
2nd month vs 9th month
2nd month vs 10th month
3rd month vs 8th month
3rd month vs 9th month
3rd month vs 10th month
|
5,500
per spread |
4,400
per spread
|
4th month vs 8th month
4th month vs 9th month
4th month vs 10th month
5th month vs 8th month
5th month vs 9th month
5th month vs 10th month
6th month vs 8th month
6th month vs 9th month
6th month vs 10th month
7th month vs 8th month
7th month vs 9th month
7th month vs 10th month
|
3,750
per spread |
3,000
per spread |
4th month vs 5th month
4th month vs 6th month
4th month vs 7th month
5th month vs 6th month
5th month vs 7th month
6th month vs 7th month
|
3,000
per spread |
2,400
per spread
|
8th month vs 9th month
8th month vs 10th month
9th month vs 10th month
|
2,375
per spread |
1,900
per spread |
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
|
2,125
per spread |
1,700
per spread |