Three-Month HIBOR Futures
Contracts Specifications

Underlying Interest Rate

Underlying Interest Rate

Three-Month Hong Kong Interbank Offered Rate

Contract Size

HK$1,000,000

Contract Months

Spot month, the next two calendar months and seven quarterly months on the March, June, September, December calendar quarter cycle

Contracted Value

Contracted price multiplied by the value of a minimum fluctuation multiplied by 100
[e.g. 95.50 x (HK$1,000,000 x 0.0001 x 0.25) x 100]

Minimum Fluctuation

One basis point (0.01 of one percent)
The value of a minimum fluctuation is HK$25.00 calculated as the contract size multiplied by a basis point multiplied by one quarter of a year
HK$1,000,000 x 0.0001 x 0.25 = HK$25.00

Price Quotation

One hundred minus the interest rate

Large Open Positions

5,000 contracts long or short in any one contract month and 20,000 contracts long and short in all contract months for the account of an Exchange Participant, and 5,000 contracts long or short in any one contract month and 20,000 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 three-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$1,000,000 x 0.0001 x 0.25) x 100 = cash settlement value]

Trading Fees & Levies*
(per contract per side)

Exchange Fee

HK$2.00

Securities and Futures Commission levy

HK$1.00

Compensation fund levy

HK$0.50

Total

HK$3.50

Commission

Negotiable

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

 

updated on 03/09/02

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