One-Month HIBOR Futures
Contracts Specifications

Underlying Interest Rate One-Month Hong Kong Interbank Offered Rate
Contract Size HK$15,000,000
Contract Months Spot month and the next five calendar months
Contracted Value Contracted price multiplied by the value of a minimum fluctuation multiplied by 100
[e.g. 95.50 x (HK$15,000,000 x 0.0001 x 1/12) x 100]
Minimum Fluctuation One basis point (0.01 of one percent)
The value of a minimum fluctuation  is calculated as the contract size multiplied by a basis point multiplied by one twelfth of a year.
HK$15,000,000 x 0.0001 x 1/12 = HK$125.00
Price Quotation One hundred (100.00) minus the interest rate
Large Open Positions 1,000 contracts long or short in any one contract month and 4,000 contracts long and short in all contract months for the account of an Exchange Participant, and 1,000 contracts long or short in any one contract month and 4,000 contracts long and short in all contract months for the account of a client carried by the Exchange Participant.
Trading Hours
(Hong Kong time)
8:30 a.m. - 12:00 noon (first trading session)
1:30 p.m. - 5:00 p.m. (second trading session)
Trading Hours on the Last Trading Day
(Hong Kong time)
8:30 a.m. - 11:00 a.m.
Special Trading Session The Chief Executive, from time to time, may authorize a special trading session to coincide with potentially significant market events. Not less than three business days prior to a special trading session, Exchange Participants will be notified of the trading hours of the special trading session
Trading Method Electronic order matching through the automated trading system
Last Trading Day The last trading day of a contract shall be two business days before the third Wednesday of the contract month
Final Settlement Day The third Wednesday of the contract month. If the third Wednesday of such contract month is not a business day then the final settlement day of the contract shall be the next business day following the third Wednesday of the contract month
Settlement Method Cash settlement
Final Settlement Price One hundred minus the one-month HKAB interest settlement rate as displayed on Telerate page 9898 at approximately 11:15 a.m. on the last trading day, rounded up to the nearest 0.01 of a percentage point
(100.00 - HKAB interest settlement rate = final settlement price)
Cash Settlement Value Final settlement price multiplied by the value of a minimum fluctuation multiplied by 100
[e.g. final settlement price x (HK$15,000,000 x 0.0001 x 1/12) x 100 = cash settlement value]
Trading Fees & Levies*
(per contract per side)
Exchange Fee HK$5.00
Securities and Futures Commission levy HK$1.00
Compensation fund levy HK$0.50
Total HK$6.50
Commission Negotiable

 

* Fees and levies are subject to change and investors should consult their brokers.

 

updated on 03/09/02

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