HKFE Announces Revised Margins for Futures Contracts

Market Operations

28 Jul 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, 1 August 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	69,300		/lot	55,450	/lot
Hang Seng Index	Spread Rate	7,500		/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	13,860		/lot	11,090	/lot
Mini-Hang Seng Index	Spread Rate	1,500		/spread	1,200	/spread

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

Mini H-shares Index	Full Rate	8,010		/lot	6,410	/lot
Mini H-shares Index	Spread Rate	2,410		/spread	1,930	/spread

HSCEI Dividend Point Index	Full Rate	1,640		/lot	1,310	/lot
HSCEI Dividend Point Index	Spread Rate	1,970		/spread	1,580	/spread

HSI Dividend Point Index	Full Rate	3,690		/lot	2,950	/lot
HSI Dividend Point Index	Spread Rate	4,430		/spread	3,540	/spread

Three-Year EFN	Full Rate	10,740		/lot	8,600	/lot
Three-Year EFN	Spread Rate	3,230		/spread	2,580	/spread

One-Month HIBOR	Full Rate	825		/lot	660	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	1,250		/lot	995	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	1,050	/lot		838	/lot
Aluminum Corporation of China Ltd	Spread Rate	315	/spread		252	/spread

Bank of China Limited	Full Rate	258	/lot		207	/lot
Bank of China Limited	Spread Rate	78	/spread		63	/spread

Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Full Rate	449	/lot		359	/lot
Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Spread Rate	135	/spread		108	/spread

Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Full Rate	494	/lot		395	/lot
Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Spread Rate	148	/spread		119	/spread

The Bank of East Asia Ltd	Full Rate	371	/lot		297	/lot
The Bank of East Asia Ltd	Spread Rate	112	/spread		90	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	716	/lot		573	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	215	/spread		172	/spread

China Construction Bank Corporation	Full Rate	457	/lot		366	/lot
China Construction Bank Corporation	Spread Rate	138	/spread		110	/spread

China Communications Construction Co Ltd	Full Rate	517	/lot		413	/lot
China Communications Construction Co Ltd	Spread Rate	156	/spread		124	/spread

China Mobile Ltd	Full Rate	2,340	/lot		1,870	/lot
China Mobile Ltd	Spread Rate	702	/spread		561	/spread

China Unicom (Hong Kong) Ltd	Full Rate	2,960	/lot		2,370	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	888	/spread		711	/spread

CITIC Pacific Ltd	Full Rate	2,290	/lot		1,830	/lot
CITIC Pacific Ltd	Spread Rate	687	/spread		549	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,110	/lot		5,690	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,140	/spread		1,710	/spread

China Life Insurance Company Ltd	Full Rate	1,990	/lot		1,600	/lot
China Life Insurance Company Ltd	Spread Rate	597	/spread		480	/spread

CLP Holdings Ltd	Full Rate	2,150	/lot		1,720	/lot
CLP Holdings Ltd	Spread Rate	645	/spread		516	/spread

China Merchants Bank Co Ltd	Full Rate	636	/lot		509	/lot
China Merchants Bank Co Ltd	Spread Rate	191	/spread		153	/spread

CNOOC Ltd	Full Rate	1,340	/lot		1,080	/lot
CNOOC Ltd	Spread Rate	402	/spread		324	/spread

Cathay Pacific Airways Ltd	Full Rate	1,140	/lot		906	/lot
Cathay Pacific Airways Ltd	Spread Rate	342	/spread		272	/spread

China Petroleum & Chemical Corporation	Full Rate	955	/lot		764	/lot
China Petroleum & Chemical Corporation	Spread Rate	287	/spread		230	/spread

China Telecom Corporation Ltd	Full Rate	827	/lot		662	/lot
China Telecom Corporation Ltd	Spread Rate	249	/spread		199	/spread

Esprit Holdings Ltd	Full Rate	289	/lot		231	/lot
Esprit Holdings Ltd	Spread Rate	87	/spread		70	/spread

Foxconn International Holdings Ltd	Full Rate	384	/lot		307	/lot
Foxconn International Holdings Ltd	Spread Rate	116	/spread		93	/spread

Power Assets Holdings Ltd	Full Rate	1,820	/lot		1,460	/lot
Power Assets Holdings Ltd	Spread Rate	546	/spread		438	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	991	/lot		793	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	298	/spread		238	/spread

HSBC Holdings Plc	Full Rate	1,920	/lot		1,540	/lot
HSBC Holdings Plc	Spread Rate	576	/spread		462	/spread

Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Full Rate	1,150	/lot		914	/lot
Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Spread Rate	345	/spread		275	/spread

Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Full Rate	1,265	/lot		1,005	/lot
Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Spread Rate	379	/spread		302	/spread

Henderson Land Development Co Ltd	Full Rate	3,310	/lot		2,650	/lot
Henderson Land Development Co Ltd	Spread Rate	993	/spread		795	/spread

Huaneng Power International Inc	Full Rate	493	/lot		394	/lot
Huaneng Power International Inc	Spread Rate	148	/spread		119	/spread

Hang Seng Bank Ltd	Full Rate	755	/lot		604	/lot
Hang Seng Bank Ltd	Spread Rate	227	/spread		182	/spread

Hutchison Whampoa Ltd	Full Rate	5,290	/lot		4,230	/lot
Hutchison Whampoa Ltd	Spread Rate	1,590	/spread		1,270	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	399	/lot		319	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	120	/spread		96	/spread

Li & Fung Ltd (LIF: Multiplier = 2,000)	Full Rate	3,820	/lot		3,060	/lot
Li & Fung Ltd (LIF: Multiplier = 2,000)	Spread Rate	1,150	/spread		918	/spread

Li & Fung Ltd (LIA: Multiplier = 4,000 )	Full Rate	7,640	/lot		6,120	/lot
Li & Fung Ltd (LIA: Multiplier = 4,000 )	Spread Rate	2,300	/spread		1,836	/spread

MTR Corporation Ltd	Full Rate	840	/lot		672	/lot
MTR Corporation Ltd	Spread Rate	252	/spread		202	/spread

New World Development Co Ltd	Full Rate	823	/lot		659	/lot
New World Development Co Ltd	Spread Rate	247	/spread		198	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,620	/lot		2,090	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	786	/spread		627	/spread

PetroChina Company Ltd	Full Rate	1,540	/lot		1,230	/lot
PetroChina Company Ltd	Spread Rate	462	/spread		369	/spread

PICC Property and Casualty Co Ltd	Full Rate	2,530	/lot		2,030	/lot
PICC Property and Casualty Co Ltd	Spread Rate	759	/spread		609	/spread

Sun Hung Kai Properties Ltd	Full Rate	7,160	/lot		5,730	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,150	/spread		1,720	/spread

Swire Pacific Ltd “A”	Full Rate	3,400	/lot		2,720	/lot
Swire Pacific Ltd “A”	Spread Rate	1,020	/spread		816	/spread

Wharf (Holdings) Ltd (WHL: Multiplier = 1,000)	Full Rate	3,430	/lot		2,740	/lot
Wharf (Holdings) Ltd (WHL: Multiplier = 1,000)	Spread Rate	1,030	/spread		822	/spread

Wharf (Holdings) Ltd (WHA: Multiplier = 1,031)	Full Rate	3,537	/lot		2,826	/lot
Wharf (Holdings) Ltd (WHA: Multiplier = 1,031)	Spread Rate	1,062	/spread		848	/spread

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

Gold Futures	Full Rate	5,990	/lot	4,800	/lot
Gold Futures	Spread Rate	1,800	/spread	1,440	/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 6th month 1st month vs 7th month 1st month vs 8th month 1st month vs 9th month 1st month vs 10th month 2nd month vs 6th month 2nd month vs 7th month 2nd month vs 8th month 2nd month vs 9th month 2nd month vs 10th month	1,770 per spread	1,420 per spread
3rd month vs 6th month 3rd month vs 7th month 3rd month vs 8th month 3rd month vs 9th month 3rd month vs 10th month 4th month vs 6th month 4th month vs 7th month 4th month vs 8th month 4th month vs 9th month 4th month vs 10th month 5th month vs 6th month 5th month vs 7th month 5th month vs 8th month 5th month vs 9th month 5th month vs 10th month	1,730 per spread	1,380 per spread
6th month vs 7th month 6th month vs 8th month 6th month vs 9th month 6th month vs 10th month 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	1,280 per spread	1,020 per spread
1st month vs 3rd month 1st month vs 4th month 1st month vs 5th month 2nd month vs 3rd month 2nd month vs 4th month 2nd month vs 5th month	1,130 per spread	898 per spread
3rd month vs 4th month 3rd month vs 5th month 4th month vs 5th month	972 per spread	778 per spread
1st month vs 2nd month	552 per spread	441 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	918 per spread	735 per spread
1st month vs 2nd month 1st month vs 3rd month	849 per spread	679 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	561 per spread	449 per spread
2nd month vs 3rd month	455 per spread	364 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	248 per spread	198 per spread

Ends

Updated 28 Jul 2011