HKFE Announces Revised Margins for Futures Contracts

Market Operations

29 Aug 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 Thursday, 1 September 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	83,500	/lot	66,800	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	16,700	/lot	13,360	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	55,500	/lot	44,400	/lot
H-shares Index	Spread Rate	16,650	/spread	13,350	/spread

Mini H-shares Index	Full Rate	11,100	/lot	8,880	/lot
Mini H-shares Index	Spread Rate	3,330	/spread	2,670	/spread

HSCEI Dividend Point Index	Full Rate	1,690	/lot	1,350	/lot
HSCEI Dividend Point Index	Spread Rate	2,030	/spread	1,620	/spread

HSI Dividend Point Index	Full Rate	3,560	/lot	2,850	/lot
HSI Dividend Point Index	Spread Rate	4,280	/spread	3,420	/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	873	/lot	698	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	938	/lot	751	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	1,650	/lot	1,320	/lot
Aluminum Corporation of China Ltd	Spread Rate	495	/spread	396	/spread

Bank of China Limited	Full Rate	334	/lot	267	/lot
Bank of China Limited	Spread Rate	101	/spread	81	/spread

Bank of Communications Co., Ltd. (BCM - Multiplier =1,000)	Full Rate	634	/lot	507	/lot
Bank of Communications Co., Ltd. (BCM - Multiplier =1,000)	Spread Rate	191	/spread	153	/spread

Bank of Communications Co., Ltd. (BCA - Multiplier =1,100)	Full Rate	697	/lot	558	/lot
Bank of Communications Co., Ltd. (BCA - Multiplier =1,100)	Spread Rate	210	/spread	168	/spread

The Bank of East Asia Ltd	Full Rate	486	/lot	389	/lot
The Bank of East Asia Ltd	Spread Rate	146	/spread	117	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	1,060	/lot	845	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	318	/spread	254	/spread

China Construction Bank Corporation	Full Rate	588	/lot	471	/lot
China Construction Bank Corporation	Spread Rate	177	/spread	142	/spread

China Communications Construction Co Ltd	Full Rate	741	/lot	593	/lot
China Communications Construction Co Ltd	Spread Rate	223	/spread	178	/spread

China Mobile Ltd	Full Rate	3,080	/lot	2,460	/lot
China Mobile Ltd	Spread Rate	924	/spread	738	/spread

China Unicom (Hong Kong) Ltd	Full Rate	3,350	/lot	2,680	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	1,010	/spread	804	/spread

CITIC Pacific Ltd	Full Rate	2,100	/lot	1,680	/lot
CITIC Pacific Ltd	Spread Rate	630	/spread	504	/spread

Cheung Kong (Holdings) Ltd	Full Rate	9,190	/lot	7,350	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,760	/spread	2,210	/spread

China Life Insurance Company Ltd	Full Rate	4,190	/lot	3,360	/lot
China Life Insurance Company Ltd	Spread Rate	1,260	/spread	1,010	/spread

CLP Holdings Ltd	Full Rate	2,190	/lot	1,760	/lot
CLP Holdings Ltd	Spread Rate	657	/spread	528	/spread

China Merchants Bank Co Ltd	Full Rate	903	/lot	723	/lot
China Merchants Bank Co Ltd	Spread Rate	271	/spread	217	/spread

CNOOC Ltd	Full Rate	1,970	/lot	1,570	/lot
CNOOC Ltd	Spread Rate	591	/spread	471	/spread

Cathay Pacific Airways Ltd	Full Rate	1,390	/lot	1,110	/lot
Cathay Pacific Airways Ltd	Spread Rate	417	/spread	333	/spread

China Petroleum & Chemical Corporation	Full Rate	1,470	/lot	1,170	/lot
China Petroleum & Chemical Corporation	Spread Rate	441	/spread	351	/spread

China Telecom Corporation Ltd	Full Rate	884	/lot	707	/lot
China Telecom Corporation Ltd	Spread Rate	266	/spread	213	/spread

Esprit Holdings Ltd	Full Rate	308	/lot	246	/lot
Esprit Holdings Ltd	Spread Rate	93	/spread	74	/spread

Foxconn International Holdings Ltd	Full Rate	620	/lot	496	/lot
Foxconn International Holdings Ltd	Spread Rate	186	/spread	149	/spread

Power Assets Holdings Ltd	Full Rate	2,420	/lot	1,940	/lot
Power Assets Holdings Ltd	Spread Rate	726	/spread	582	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,370	/lot	1,090	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	411	/spread	327	/spread

HSBC Holdings Plc	Full Rate	2,910	/lot	2,330	/lot
HSBC Holdings Plc	Spread Rate	873	/spread	699	/spread

Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Full Rate	1,270	/lot	1,020	/lot
Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Spread Rate	381	/spread	306	/spread

Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Full Rate	1,397	/lot	1,122	/lot
Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Spread Rate	419	/spread	337	/spread

Henderson Land Development Co Ltd	Full Rate	4,020	/lot	3,220	/lot
Henderson Land Development Co Ltd	Spread Rate	1,210	/spread	966	/spread

Huaneng Power International Inc	Full Rate	544	/lot	435	/lot
Huaneng Power International Inc	Spread Rate	164	/spread	131	/spread

Hang Seng Bank Ltd	Full Rate	688	/lot	550	/lot
Hang Seng Bank Ltd	Spread Rate	207	/spread	165	/spread

Hutchison Whampoa Ltd	Full Rate	8,350	/lot	6,680	/lot
Hutchison Whampoa Ltd	Spread Rate	2,510	/spread	2,010	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	569	/lot	456	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	171	/spread	137	/spread

Li & Fung Ltd (LIF: Multiplier = 2,000)	Full Rate	4,230	/lot	3,380	/lot
Li & Fung Ltd (LIF: Multiplier = 2,000)	Spread Rate	1,270	/spread	1,020	/spread

Li & Fung Ltd (LIA: Multiplier = 4,000 )	Full Rate	8,460	/lot	6,760	/lot
Li & Fung Ltd (LIA: Multiplier = 4,000 )	Spread Rate	2,540	/spread	2,040	/spread

MTR Corporation Ltd	Full Rate	984	/lot	787	/lot
MTR Corporation Ltd	Spread Rate	296	/spread	237	/spread

New World Development Co Ltd	Full Rate	1,130	/lot	901	/lot
New World Development Co Ltd	Spread Rate	339	/spread	271	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	4,100	/lot	3,280	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	1,230	/spread	984	/spread

PetroChina Company Ltd	Full Rate	2,220	/lot	1,770	/lot
PetroChina Company Ltd	Spread Rate	666	/spread	531	/spread

PICC Property and Casualty Co Ltd	Full Rate	4,020	/lot	3,210	/lot
PICC Property and Casualty Co Ltd	Spread Rate	1,210	/spread	963	/spread

Sun Hung Kai Properties Ltd	Full Rate	8,090	/lot	6,470	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,430	/spread	1,950	/spread

Swire Pacific Ltd “A”	Full Rate	3,820	/lot	3,060	/lot
Swire Pacific Ltd “A”	Spread Rate	1,150	/spread	918	/spread

Wharf (Holdings) Ltd (WHL: Multiplier = 1,000)	Full Rate	4,450	/lot	3,560	/lot
Wharf (Holdings) Ltd (WHL: Multiplier = 1,000)	Spread Rate	1,340	/spread	1,070	/spread

Wharf (Holdings) Ltd (WHA: Multiplier = 1,031)	Full Rate	4,589	/lot	3,671	/lot
Wharf (Holdings) Ltd (WHA: Multiplier = 1,031)	Spread Rate	1,382	/spread	1,103	/spread

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

Gold Futures	Full Rate	10,760	/lot	8,610	/lot
Gold Futures	Spread Rate	3,230	/spread	2,590	/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	1,610 per spread	1,290 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	1,490 per spread	1,200 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	1,240 per spread	989 per spread
3rd month vs 4th month 3rd month vs 5th month 4th month vs 5th month	1,110 per spread	884 per spread
1st month vs 2nd month	698 per spread	559 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	360 per spread	288 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	1,020 per spread	813 per spread
1st month vs 2nd month 1st month vs 3rd month	897 per spread	718 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	495 per spread	396 per spread
2nd month vs 3rd month	410 per spread	328 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	262 per spread	210 per spread

Ends

Updated 29 Aug 2011