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HKFE Announces Revised Margins for Futures Contracts

Market Operations
24 Feb 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 Tuesday, 1 March 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
Spread Rate 7,500 /spread 6,000 /spread
Mini-Hang Seng Index Full Rate 14,920 /lot 11,940 /lot
Spread Rate 1,500 /spread 1,200 /spread
H-shares Index Full Rate 40,100 /lot 32,100 /lot
Spread Rate 12,050 /spread 9,650 /spread
Mini H-shares Index Full Rate 8,020 /lot 6,420 /lot
Spread Rate 2,410 /spread 1,930 /spread
HSI Dividend Point Index Full Rate 3,930 /lot 3,140 /lot
Spread Rate 4,720 /spread 3,770 /spread
HSCEI Dividend Point Index Full Rate 1,690 /lot 1,360 /lot
Spread Rate 2,030 /spread 1,640 /spread
Three-Year EFN Full Rate 10,580 /lot 8,460 /lot
Spread Rate 3,180 /spread 2,540 /spread
One-Month HIBOR Full Rate 668 /lot 535 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 827 /lot 662 /lot
Spread Rate Please refer to attached table
Aluminum Corporation of China Ltd Full Rate 1,340 /lot 1,070 /lot
Spread Rate 402 /spread 321 /spread
Bank of China Limited
(BCL: Multiplier = 1,000)
Full Rate 271 /lot 217 /lot
Spread Rate 82 /spread 66 /spread
Bank of China Limited
(BCB: Multiplier = 1,043)
Full Rate 283 /lot 226 /lot
Spread Rate 86 /spread 69 /spread
Bank of Communications Co Ltd Full Rate 486 /lot 389 /lot
Spread Rate 146 /spread 117 /spread
The Bank of East Asia Ltd Full Rate 510 /lot 408 /lot
Spread Rate 153 /spread 123 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 981 /lot 785 /lot
Spread Rate 295 /spread 236 /spread
China Construction Bank Corporation
(
CCB: Multiplier = 1,000)
Full Rate 481 /lot 385 /lot
Spread Rate 145 /spread 116 /spread
China Construction Bank Corporation
(CCA: Multiplier = 1,031)
Full Rate 496 /lot 397 /lot
Spread Rate 149 /spread 120 /spread
China Communications Construction Co Ltd Full Rate 424 /lot 339 /lot
Spread Rate 128 /spread 102 /spread
China Mobile Ltd Full Rate 2,310 /lot 1,850 /lot
Spread Rate 693 /spread 555 /spread
China Unicom (Hong Kong) Ltd Full Rate 2,000 /lot 1,600 /lot
Spread Rate 600 /spread 480 /spread
CITIC Pacific Ltd Full Rate 1,550 /lot 1,240 /lot
Spread Rate 465 /spread 372 /spread
Cheung Kong (Holdings) Ltd Full Rate 11,170 /lot 8,940 /lot
Spread Rate 3,360 /spread 2,690 /spread
China Life Insurance Company Ltd Full Rate 2,680 /lot 2,140 /lot
Spread Rate 804 /spread 642 /spread
CLP Holdings Ltd Full Rate 1,970 /lot 1,570 /lot
Spread Rate 591 /spread 471 /spread
China Merchants Bank Co Ltd Full Rate 644 /lot 516 /lot
Spread Rate 194 /spread 155 /spread
CNOOC Ltd Full Rate 1,690 /lot 1,350 /lot
Spread Rate 507 /spread 405 /spread
Cathay Pacific Airways Ltd Full Rate 1,920 /lot 1,530 /lot
Spread Rate 576 /spread 459 /spread
China Petroleum & Chemical Corporation Full Rate 1,550 /lot 1,240 /lot
Spread Rate 465 /spread 372 /spread
China Telecom Corporation Ltd Full Rate 868 /lot 694 /lot
Spread Rate 261 /spread 209 /spread
Esprit Holdings Ltd Full Rate 303 /lot 243 /lot
Spread Rate 91 /spread 73 /spread
Foxconn International Holdings Ltd Full Rate 410 /lot 328 /lot
Spread Rate 123 /spread 99 /spread
Power Assets Holdings Ltd Full Rate 1,540 /lot 1,230 /lot
Spread Rate 462 /spread 369 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 1,250 /lot 995 /lot
Spread Rate 375 /spread 299 /spread
HSBC Holdings Plc Full Rate 2,300 /lot 1,840 /lot
Spread Rate 690 /spread 552 /spread
Hong Kong and China Gas Co Ltd Full Rate 1,090 /lot 871 /lot
Spread Rate 327 /spread 262 /spread
Henderson Land Development Co Ltd Full Rate 3,120 /lot 2,500 /lot
Spread Rate 936 /spread 750 /spread
Huaneng Power International Inc Full Rate 541 /lot 433 /lot
Spread Rate 163 /spread 130 /spread
Hang Seng Bank Ltd Full Rate 758 /lot 606 /lot
Spread Rate 228 /spread 182 /spread
Hutchison Whampoa Ltd Full Rate 7,860 /lot 6,290 /lot
Spread Rate 2,360 /spread 1,890 /spread
Industrial and Commercial Bank of China Ltd
(ICB: Multiplier = 1,000)
Full Rate 375 /lot 300 /lot
Spread Rate 113 /spread 90 /spread
Industrial and Commercial Bank of China Ltd
(ICA: Multiplier = 1,019)
Full Rate 382 /lot 306 /lot
Spread Rate 115 /spread 92 /spread
Li & Fung Ltd Full Rate 9,150 /lot 7,320 /lot
Spread Rate 2,750 /spread 2,200 /spread
MTR Corporation Ltd Full Rate 880 /lot 704 /lot
Spread Rate 264 /spread 212 /spread
New World Development Co Ltd Full Rate 1,140 /lot 909 /lot
Spread Rate 342 /spread 273 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 3,280 /lot 2,620 /lot
Spread Rate 984 /spread 786 /spread
PetroChina Company Ltd Full Rate 1,680 /lot 1,340 /lot
Spread Rate 504 /spread 402 /spread
PICC Property and Casualty Co Ltd Full Rate 2,020 /lot 1,620 /lot
Spread Rate 606 /spread 486 /spread
Sun Hung Kai Properties Ltd Full Rate 7,950 /lot 6,360 /lot
Spread Rate 2,390 /spread 1,910 /spread
Swire Pacific Ltd “A” Full Rate 4,420 /lot 3,540 /lot
Spread Rate 1,330 /spread 1,070 /spread
Wharf (Holdings) Ltd
(WHL: Multiplier = 1,000)
Full Rate 4,730 /lot 3,790 /lot
Spread Rate 1,420 /spread 1,140 /spread
Wharf (Holdings) Ltd
(WHA: Multiplier = 1,031)
Full Rate 4,878 /lot 3,908 /lot
Spread Rate 1,464 /spread 1,176 /spread

 

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 5,280 /lot 4,230 /lot
Spread Rate 1,590 /spread 1,270 /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
1,650
per spread
1,320
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
1,650
per spread
1,320
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
1,650
per spread
1,320
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
1,650
per spread
1,320
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
1,040
per spread
826
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
249
per spread
199
per spread

 

 

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
455
per spread
364
per spread
1st month vs 2nd month
1st month vs 3rd month
441
per spread
353
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
388
per spread
310
per spread
2nd month vs 3rd month 244
per spread
195
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
201
per spread
161
per spread


Ends

Updated 24 Feb 2011