HKFE Announces Revised Margins for Futures Contracts

Market Operations

27 Jan 2011

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

HKFE Announces Revised Margins for Futures Contracts

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 Monday, 31 January 2011, 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.

Futures Contract	Margin Rate	Initial Margin (HK$)		Maintenance Margin (HK$)

Hang Seng Index	Full Rate	74,600	/lot	59,700	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	14,920	/lot	11,940	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	40,100	/lot	32,100	/lot
H-shares Index	Spread Rate	12,050	/spread	9,650	/spread

Mini H-shares Index	Full Rate	8,020	/lot	6,420	/lot
Mini H-shares Index	Spread Rate	2,410	/spread	1,930	/spread

HSI Dividend Point Index	Full Rate	3,390	/lot	2,710	/lot
HSI Dividend Point Index	Spread Rate	4,070	/spread	3,260	/spread

HSCEI Dividend Point Index	Full Rate	1,660	/lot	1,330	/lot
HSCEI Dividend Point Index	Spread Rate	2,000	/spread	1,600	/spread

Three-Year EFN	Full Rate	10,750	/lot	8,600	/lot
Three-Year EFN	Spread Rate	3,230	/spread	2,580	/spread

One-Month HIBOR	Full Rate	819	/lot	655	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	1,010	/lot	803	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	1,340	/lot	1,070	/lot
Aluminum Corporation of China Ltd	Spread Rate	402	/spread	321	/spread

Bank of China Limited (BCL: Multiplier = 1,000)	Full Rate	264	/lot	211	/lot
Bank of China Limited (BCL: Multiplier = 1,000)	Spread Rate	80	/spread	64	/spread

Bank of China Limited (BCB: Multiplier = 1,043)	Full Rate	275	/lot	220	/lot
Bank of China Limited (BCB: Multiplier = 1,043)	Spread Rate	83	/spread	67	/spread

Bank of Communications Co Ltd	Full Rate	486	/lot	389	/lot
Bank of Communications Co Ltd	Spread Rate	146	/spread	117	/spread

The Bank of East Asia Ltd	Full Rate	440	/lot	352	/lot
The Bank of East Asia Ltd	Spread Rate	132	/spread	106	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	951	/lot	761	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	286	/spread	229	/spread

China Construction Bank Corporation (CCB: Multiplier = 1,000)	Full Rate	454	/lot	363	/lot
	Spread Rate	137	/spread	109	/spread

China Construction Bank Corporation (CCA: Multiplier = 1,031)	Full Rate	468	/lot	374	/lot
	Spread Rate	141	/spread	112	/spread

China Communications Construction Co Ltd	Full Rate	409	/lot	327	/lot
China Communications Construction Co Ltd	Spread Rate	123	/spread	99	/spread

China Mobile Ltd	Full Rate	2,460	/lot	1,970	/lot
China Mobile Ltd	Spread Rate	738	/spread	591	/spread

China Unicom (Hong Kong) Ltd	Full Rate	1,640	/lot	1,310	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	492	/spread	393	/spread

CITIC Pacific Ltd	Full Rate	1,490	/lot	1,190	/lot
CITIC Pacific Ltd	Spread Rate	447	/spread	357	/spread

Cheung Kong (Holdings) Ltd	Full Rate	9,120	/lot	7,300	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,740	/spread	2,190	/spread

China Life Insurance Company Ltd	Full Rate	3,560	/lot	2,850	/lot
China Life Insurance Company Ltd	Spread Rate	1,070	/spread	855	/spread

CLP Holdings Ltd	Full Rate	2,030	/lot	1,620	/lot
CLP Holdings Ltd	Spread Rate	609	/spread	486	/spread

China Merchants Bank Co Ltd	Full Rate	644	/lot	516	/lot
China Merchants Bank Co Ltd	Spread Rate	194	/spread	155	/spread

CNOOC Ltd	Full Rate	1,470	/lot	1,170	/lot
CNOOC Ltd	Spread Rate	441	/spread	351	/spread

Cathay Pacific Airways Ltd	Full Rate	2,140	/lot	1,720	/lot
Cathay Pacific Airways Ltd	Spread Rate	642	/spread	516	/spread

China Petroleum & Chemical Corporation	Full Rate	1,160	/lot	927	/lot
China Petroleum & Chemical Corporation	Spread Rate	348	/spread	279	/spread

China Telecom Corporation Ltd	Full Rate	852	/lot	681	/lot
China Telecom Corporation Ltd	Spread Rate	256	/spread	205	/spread

Esprit Holdings Ltd	Full Rate	234	/lot	187	/lot
Esprit Holdings Ltd	Spread Rate	71	/spread	57	/spread

Foxconn International Holdings Ltd	Full Rate	389	/lot	312	/lot
Foxconn International Holdings Ltd	Spread Rate	117	/spread	94	/spread

Hongkong Electric Holdings Ltd	Full Rate	1,500	/lot	1,200	/lot
Hongkong Electric Holdings Ltd	Spread Rate	450	/spread	360	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,220	/lot	972	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	366	/spread	292	/spread

HSBC Holdings Plc	Full Rate	2,160	/lot	1,730	/lot
HSBC Holdings Plc	Spread Rate	648	/spread	519	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,130	/lot	904	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	339	/spread	272	/spread

Henderson Land Development Co Ltd	Full Rate	3,430	/lot	2,740	/lot
Henderson Land Development Co Ltd	Spread Rate	1,030	/spread	822	/spread

Huaneng Power International Inc	Full Rate	533	/lot	426	/lot
Huaneng Power International Inc	Spread Rate	160	/spread	128	/spread

Hang Seng Bank Ltd	Full Rate	806	/lot	645	/lot
Hang Seng Bank Ltd	Spread Rate	242	/spread	194	/spread

Hutchison Whampoa Ltd	Full Rate	7,670	/lot	6,130	/lot
Hutchison Whampoa Ltd	Spread Rate	2,310	/spread	1,840	/spread

Industrial and Commercial Bank of China Ltd (ICB: Multiplier = 1,000)	Full Rate	369	/lot	295	/lot
	Spread Rate	111	/spread	89	/spread

Industrial and Commercial Bank of China Ltd ICA: Multiplier = 1,019)	Full Rate	376	/lot	301	/lot
	Spread Rate	113	/spread	91	/spread

Li & Fung Ltd	Full Rate	7,780	/lot	6,220	/lot
Li & Fung Ltd	Spread Rate	2,340	/spread	1,870	/spread

MTR Corporation Ltd	Full Rate	909	/lot	727	/lot
MTR Corporation Ltd	Spread Rate	273	/spread	219	/spread

New World Development Co Ltd	Full Rate	1,140	/lot	909	/lot
New World Development Co Ltd	Spread Rate	342	/spread	273	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	3,430	/lot	2,750	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	1,030	/spread	825	/spread

PetroChina Company Ltd	Full Rate	1,420	/lot	1,140	/lot
PetroChina Company Ltd	Spread Rate	426	/spread	342	/spread

PICC Property and Casualty Co Ltd	Full Rate	2,020	/lot	1,620	/lot
PICC Property and Casualty Co Ltd	Spread Rate	606	/spread	486	/spread

Sun Hung Kai Properties Ltd	Full Rate	8,810	/lot	7,050	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,650	/spread	2,120	/spread

Swire Pacific Ltd “A”	Full Rate	4,510	/lot	3,610	/lot
Swire Pacific Ltd “A”	Spread Rate	1,360	/spread	1,090	/spread

Wharf (Holdings) Ltd	Full Rate	4,540	/lot	3,630	/lot
Wharf (Holdings) Ltd	Spread Rate	1,370	/spread	1,090	/spread

Futures Contract	Margin Rate	Initial Margin (US$)		Maintenance Margin (US$)

Gold Futures	Full Rate	5,200	/lot	4,160	/lot
Gold Futures	Spread Rate	1,560	/spread	1,250	/spread

HKFE emphasises 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 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	2,020 per spread	1,600 per spread
1st month vs 7th month 1st month vs 8th month 1st month vs 9th month 1st month vs 10th month 2nd month vs 7th month 2nd month vs 8th month 2nd month vs 9th month 2nd month vs 10th month 3rd month vs 7th month 3rd month vs 8th month 3rd month vs 9th month 3rd month vs 10th month	2,020 per spread	1,600 per spread
4th month vs 7th month 4th month vs 8th month 4th month vs 9th month 4th month vs 10th month 5th month vs 7th month 5th month vs 8th month 5th month vs 9th month 5th month vs 10th month 6th month vs 7th month 6th month vs 8th month 6th month vs 9th month 6th month vs 10th month	2,020 per spread	1,600 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	1,780 per spread	1,420 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	1,100 per spread	874 per spread
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	303 per spread	242 per spread

Spread Margin Rates
for One-Month HIBOR Futures

Spread Combination	Initial Margin (HK$)	Maintenance Margin (HK$)
1st month vs 2nd month 1st month vs 3rd month	542 per spread	434 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	541 per spread	433 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	476 per spread	381 per spread
2nd month vs 3rd month	318 per spread	254 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	246 per spread	197 per spread

Ends

Updated 27 Jan 2011