Market Turnover
-






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

HKFE Announces Revised Margins for Futures Contracts

Market Operations
29 Nov 2004

Hong Kong Futures Exchange
(A wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited)

 

 

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 Wednesday, 1 December 2004, 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.

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
Spread Rate
 43,650 /lot 34,900 /lot
7,500 /spread  6,000 /spread
   
Mini-Hang Seng Index Full Rate
Spread Rate
 8,730 /lot 6,980 /lot
1,500 /spread 1,200 /spread
     
Three-Month HIBOR Full Rate
Spread Rate
4,923 /lot 3,938 /lot
Please refer to the attached table
     
One-Month HIBOR Full Rate
Spread Rate
4,125 /lot 3,300 /lot
Please refer to the attached table
     
Three-Year EFN Full Rate
Spread Rate
10,400 /lot 8,320 /lot
3,120 /spread 2,496 /spread
     
H-Shares Index Full Rate
Spread Rate
 16,050 /lot 12,840 /lot
4,815 /spread 3,852 /spread
     
Dow Jones Industrial Average Index Full Rate
Spread Rate
 6,600 /lot 5,280 /lot
1,980 /spread 1,584 /spread
   
HSBC Holdings Plc Full Rate
Spread Rate
3,260 /lot 2,608 /lot
978 /spread 782 /spread
     
PCCW Ltd Full Rate
Spread Rate
300 /lot 240 /lot
90 /spread 72 /spread
       
Cheung Kong (Holdings) Ltd Full Rate
Spread Rate
4,350 /lot 3,480 /lot
1,305 /spread 1,044 /spread
     
Swire Pacific Ltd 'A' Full Rate
Spread Rate
2,000 /lot 1,600 /lot
600 /spread 480 /spread
     
CITIC Pacific Ltd Full Rate
Spread Rate
1,350 /lot 1,080 /lot
405 /spread 324 /spread
     
China Resources Enterprise Ltd Full Rate
Spread Rate
1,694 /lot 1,355 /lot
508 /spread 406 /spread
     
Shanghai Industrial Holdings Ltd Full Rate
Spread Rate
970 /lot 776 /lot
291 /spread 233 /spread
     
Hongkong Electric Holdings Ltd Full Rate
Spread Rate
1,090 /lot 872 /lot
327 /spread 262 /spread
     
Hang Seng Bank Ltd Full Rate
Spread Rate
672 /lot 538 /lot
202 /spread 162 /spread
     
Henderson Land Development Co Ltd Full Rate
Spread Rate
2,450 /lot 1,960 /lot
735 /spread 588 /spread
     
Hutchison Whampoa Ltd Full Rate
Spread Rate
4,050 /lot 3,240 /lot
1,215 /spread 972 /spread
     
Sun Hung Kai Properties Ltd Full Rate
Spread Rate
4,900 /lot 3,920 /lot
1,470 /spread 1,176 /spread
     
CLP Holdings Ltd Full Rate
Spread Rate
1,390 /lot 1,112 /lot
417 /spread 334 /spread
     
The Wharf (Holdings) Ltd Full Rate
Spread Rate
1,958 /lot 1,566 /lot
587 /spread 470 /spread
     
New World Development Co Ltd Full Rate
Spread Rate
770 /lot 616 /lot
231 /spread 185 /spread
     
Lenovo Group Ltd Full Rate
Spread Rate
860 /lot 688 /lot
258 /spread 206 /spread
       
China Mobile (HK) Ltd Full Rate
Spread Rate
753 /lot 602 /lot
226 /spread 181 /spread
     
The Bank of East Asia Ltd Full Rate
Spread Rate
290 /lot 232 /lot
87 /spread 70 /spread
     
Hong Kong and China Gas Co Ltd Full Rate
Spread Rate
990 /lot 792 /lot
297 /spread 238 /spread
     
MTR Corporation Ltd Full Rate
Spread Rate
385 /lot 308 /lot
116 /spread 93 /spread
     
China Merchants Holdings (International) Co Ltd Full Rate
Spread Rate
1,606 /lot 1,285 /lot
482 /spread 386 /spread
     
Johnson Electric Holdings Ltd Full Rate
Spread Rate
275 /lot 220 /lot
83 /spread 66 /spread
     
Cathay Pacific Airways Ltd Full Rate
Spread Rate
880 /lot 704 /lot
264 /spread 211 /spread
     
Hong Kong Exchanges and Clearing Ltd Full Rate
Spread Rate
2,816 /lot 2,253 /lot
845 /spread 676 /spread
     
Li & Fung Ltd Full Rate
Spread Rate
1,760 /lot 1,408 /lot
528 /spread 422 /spread
     
China Unicom Ltd Full Rate
Spread Rate
990 /lot 792 /lot
297 /spread 238 /spread
     
PetroChina Co Ltd Full Rate
Spread Rate
530 /lot 424 /lot
159 /spread 127 /spread
     
Cheung Kong Infrastructure Holdings Ltd Full Rate
Spread Rate
1,890 /lot 1,512 /lot
567 /spread 454 /spread
     
Cosco Pacific Ltd Full Rate
Spread Rate
2,640 /lot 2,112 /lot
792 /spread 634 /spread
       
CNOOC Ltd Full Rate
Spread Rate
 374 /lot 299 /lot
112 /spread 90 /spread
   
Huaneng Power International, Inc Full Rate
Spread Rate
 924 /lot 739 /lot
277 /spread 222 /spread
   
BOC Hong Kong (Holdings) Ltd Full Rate
Spread Rate
 457 /lot 366 /lot
137 /spread 110 /spread
     
Aluminum Corporation of China Ltd Full Rate
Spread Rate
 1,364 /lot 1,091 /lot
409 /spread 327 /spread
     
China Life Insurance Co Ltd Full Rate
Spread Rate
 385 /lot 308 /lot
116 /spread 93 /spread
     
China Petroleum & Chemical Corporation Full Rate
Spread Rate
528 /lot 422 /lot
158 /spread 126 /spread
     
China Telecom Corporation Ltd Full Rate
Spread Rate
484 /lot 387 /lot
145 /spread 116 /spread

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 One-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
$4,750
per spread
$3,800
per spread
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
$3,875
per spread
$3,100
per spread
1st month vs 2nd month
1st month vs 3rd month
$3,000
per spread
$2,400
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
$1,750
per spread
$1,400
per spread
2nd month vs 3rd month $1,375
per spread
$1,100
per spread

 

 

Spread Margin Rates
for Three-Month HIBOR Futures


Spread
Combination

Initial
Margin
HK$

Maintenance
Margin
HK$
1st month vs 6th month
1st month vs 7th month
1st month vs 8th month
1st month vs 9th month
1st month vs 10th month
2nd month vs 6th month
2nd month vs 7th month
2nd month vs 8th month
2nd month vs 9th month
2nd month vs 10th month
3rd month vs 6th month
3rd month vs 7th 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 6th month
4th month vs 7th month
4th month vs 8th month
4th month vs 9th month
4th month vs 10th month
5th month vs 6th month
5th month vs 7th month
5th month vs 8th month
5th month vs 9th month
5th month vs 10th month
$4,500
per spread
$3,600
per spread
6th month vs 7th 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
8th month vs 9th month
8th month vs 10th month
9th month vs 10th month
$4,125
per spread
$3,300
per spread
1st month vs 4th month
1st month vs 5th month
2nd month vs 4th month
2nd month vs 5th month
3rd month vs 4th month
3rd month vs 5th month
$4,000
per spread
$3,200
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
$3,000
per spread
$2,400
per spread
4th month vs 5th month $1,875
per spread
$1,500
per spread

Updated 29 Nov 2004