HKEX to Expand its Stock Index Products with Total Return Index Futures

Products

28 Sep 2018

HKEX to offer four Total Return Index Futures contracts from 5 November 2018
New futures will complement HKEX’s existing stock index products

Hong Kong Exchanges and Clearing Limited (HKEX) announced today (Friday) that it will introduce the following Total Return Index (TRI) Futures contracts on 5 November 2018 to meet the needs of fund managers and other market participants who use TRIs and complement its existing stock index products:

Hang Seng Index, or HSI, (Gross Total Return Index) Futures – short name: HSIGTRI Futures;
HSI (Net Total Return Index) Futures – short name: HSINTRI Futures ;
Hang Seng China Enterprises Index, or HSCEI, (Gross Total Return Index) Futures – short name: HSCEIGTRI Futures; and
HSCEI (Net Total Return Index) Futures – short name: HSCEINTRI Futures.

Key contract specifications are in the appendix.

Price Index vs TRI

The HSI and HSCEI are price indices. They measure the price performance of the index's constituent stocks. Dividend payments are not included in index calculations.

A TRI replicates the index performance with dividends available on the ex-dividend day reinvested into the index portfolio.

Gross TRI vs Net TRI

A gross TRI assumes all announced dividends are reinvested, while a net TRI assumes dividend reinvestment on an after-dividend-tax basis. In Hong Kong, all H shares are subject to dividend withholding tax.

TRIs’ constituents

The TRIs have the same constituent stocks and weightings as the corresponding price indices.

Other TRI Futures information

HKEX will provide Market Making and Liquidity Provider programmes to support its TRI Futures, and there will be a Commission Levy exemption for the new products from the launch date to 3 May 2019, both dates inclusive, excluding after-hours trading on 3 May 2019.

Jan-Aug stock index futures trading at HKEX

HKEX’s average daily stock index futures volume in the first eight months of this year was 487,283 contracts, an increase of about 66 per cent from the same period last year.

Appendix

Key contract specifications

Underlying Index	HSIGTRI			HSINTRI	HSCEIGTRI	HSCEINTRI
Contract Multiplier	$50 per Index point
Traded Price	Quoted in index points up to two decimal places
Minimum Fluctuation	0.01 Index point
Contract Months	Short-dated Index Futures: Spot, next calendar month and next two quarter months; and Long-dated Index Futures: Next two December months
Trading Hours	Day Session: 9:15 am – 12:00 noon; and 1:00 pm – 4:30 pm; After-hours Trading Session: 5:15 pm – 1:00 am (next day) (Close at 4:00 pm on Last Trading Day)
Last Trading Day	The second last business day of the calendar month
Final Settlement Price	5-minute average of the underlying index on the Last Trading Day
Final Settlement Day	The first Business Day after the Last Trading Day of the Contract Month

Complete contract specifications and other additional information is available in a circular on the HKEX website.

For details of HKEX’s existing stock index products, please visit HKEX website.

Ends

Updated 03 Dec 2018