HKFE Announces Revised Margins for Futures Contracts

Market Operations

28 Sep 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, 3 October 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	90,300	/lot	72,250	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	18,060	/lot	14,450	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	59,150	/lot	47,350	/lot
H-shares Index	Spread Rate	17,750	/spread	14,250	/spread

Mini H-shares Index	Full Rate	11,830	/lot	9,470	/lot
Mini H-shares Index	Spread Rate	3,550	/spread	2,850	/spread

HSCEI Dividend Point Index	Full Rate	1,600	/lot	1,280	/lot
HSCEI Dividend Point Index	Spread Rate	1,920	/spread	1,540	/spread

HSI Dividend Point Index	Full Rate	3,500	/lot	2,800	/lot
HSI Dividend Point Index	Spread Rate	4,200	/spread	3,360	/spread

Three-Year EFN	Full Rate	10,910	/lot	8,730	/lot
Three-Year EFN	Spread Rate	3,280	/spread	2,620	/spread

One-Month HIBOR	Full Rate	612	/lot	490	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	1,070	/lot	852	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	1,610	/lot	1,290	/lot
Aluminum Corporation of China Ltd	Spread Rate	483	/spread	387	/spread

Bank of China Limited	Full Rate	340	/lot	272	/lot
Bank of China Limited	Spread Rate	102	/spread	82	/spread

Bank of Communications Co., Ltd. (BCM - Multiplier =1,000)	Full Rate	666	/lot	533	/lot
Bank of Communications Co., Ltd. (BCM - Multiplier =1,000)	Spread Rate	200	/spread	160	/spread

Bank of Communications Co., Ltd. (BCA - Multiplier =1,100)	Full Rate	733	/lot	586	/lot
Bank of Communications Co., Ltd. (BCA - Multiplier =1,100)	Spread Rate	220	/spread	176	/spread

The Bank of East Asia Ltd	Full Rate	508	/lot	406	/lot
The Bank of East Asia Ltd	Spread Rate	153	/spread	122	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	1,100	/lot	873	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	330	/spread	262	/spread

China Construction Bank Corporation	Full Rate	642	/lot	514	/lot
China Construction Bank Corporation	Spread Rate	193	/spread	155	/spread

China Communications Construction Co Ltd	Full Rate	770	/lot	616	/lot
China Communications Construction Co Ltd	Spread Rate	231	/spread	185	/spread

China Mobile Ltd	Full Rate	2,820	/lot	2,250	/lot
China Mobile Ltd	Spread Rate	846	/spread	675	/spread

China Unicom (Hong Kong) Ltd	Full Rate	4,240	/lot	3,390	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	1,280	/spread	1,020	/spread

CITIC Pacific Ltd	Full Rate	1,810	/lot	1,450	/lot
CITIC Pacific Ltd	Spread Rate	543	/spread	435	/spread

Cheung Kong (Holdings) Ltd	Full Rate	10,370	/lot	8,290	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	3,120	/spread	2,490	/spread

China Life Insurance Company Ltd	Full Rate	3,160	/lot	2,530	/lot
China Life Insurance Company Ltd	Spread Rate	948	/spread	759	/spread

CLP Holdings Ltd	Full Rate	2,320	/lot	1,850	/lot
CLP Holdings Ltd	Spread Rate	696	/spread	555	/spread

China Merchants Bank Co Ltd	Full Rate	1,290	/lot	1,040	/lot
China Merchants Bank Co Ltd	Spread Rate	387	/spread	312	/spread

CNOOC Ltd	Full Rate	2,190	/lot	1,750	/lot
CNOOC Ltd	Spread Rate	657	/spread	525	/spread

Cathay Pacific Airways Ltd	Full Rate	1,580	/lot	1,260	/lot
Cathay Pacific Airways Ltd	Spread Rate	474	/spread	378	/spread

China Petroleum & Chemical Corporation	Full Rate	1,640	/lot	1,310	/lot
China Petroleum & Chemical Corporation	Spread Rate	492	/spread	393	/spread

China Telecom Corporation Ltd	Full Rate	1,080	/lot	864	/lot
China Telecom Corporation Ltd	Spread Rate	324	/spread	260	/spread

Esprit Holdings Ltd	Full Rate	524	/lot	419	/lot
Esprit Holdings Ltd	Spread Rate	158	/spread	126	/spread

Foxconn International Holdings Ltd	Full Rate	584	/lot	467	/lot
Foxconn International Holdings Ltd	Spread Rate	176	/spread	141	/spread

Power Assets Holdings Ltd	Full Rate	2,420	/lot	1,930	/lot
Power Assets Holdings Ltd	Spread Rate	726	/spread	579	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,400	/lot	1,120	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	420	/spread	336	/spread

HSBC Holdings Plc	Full Rate	2,750	/lot	2,200	/lot
HSBC Holdings Plc	Spread Rate	825	/spread	660	/spread

Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Full Rate	1,200	/lot	960	/lot
Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Spread Rate	360	/spread	288	/spread

Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Full Rate	1,320	/lot	1,056	/lot
Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Spread Rate	396	/spread	317	/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	788	/lot	631	/lot
Huaneng Power International Inc	Spread Rate	237	/spread	190	/spread

Hang Seng Bank Ltd	Full Rate	707	/lot	566	/lot
Hang Seng Bank Ltd	Spread Rate	213	/spread	170	/spread

Hutchison Whampoa Ltd	Full Rate	8,020	/lot	6,420	/lot
Hutchison Whampoa Ltd	Spread Rate	2,410	/spread	1,930	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	745	/lot	596	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	224	/spread	179	/spread

Li & Fung Ltd (LIF: Multiplier = 2,000)	Full Rate	4,760	/lot	3,810	/lot
Li & Fung Ltd (LIF: Multiplier = 2,000)	Spread Rate	1,430	/spread	1,150	/spread

Li & Fung Ltd (LIA: Multiplier = 4,000 )	Full Rate	9,520	/lot	7,620	/lot
Li & Fung Ltd (LIA: Multiplier = 4,000 )	Spread Rate	2,860	/spread	2,300	/spread

MTR Corporation Ltd	Full Rate	847	/lot	678	/lot
MTR Corporation Ltd	Spread Rate	255	/spread	204	/spread

New World Development Co Ltd	Full Rate	1,110	/lot	887	/lot
New World Development Co Ltd	Spread Rate	333	/spread	267	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	5,610	/lot	4,490	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	1,690	/spread	1,350	/spread

PetroChina Company Ltd	Full Rate	2,220	/lot	1,780	/lot
PetroChina Company Ltd	Spread Rate	666	/spread	534	/spread

PICC Property and Casualty Co Ltd	Full Rate	4,210	/lot	3,370	/lot
PICC Property and Casualty Co Ltd	Spread Rate	1,270	/spread	1,020	/spread

Sun Hung Kai Properties Ltd	Full Rate	8,560	/lot	6,850	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,570	/spread	2,060	/spread

Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Full Rate	3,840	/lot	3,080	/lot
Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Spread Rate	1,160	/spread	924	/spread

Swire Pacific Ltd “A” (SWB - Multiplier = 515)	Full Rate	3,958	/lot	3,175	/lot
Swire Pacific Ltd “A” (SWB - Multiplier = 515)	Spread Rate	1,196	/spread	952	/spread

Wharf (Holdings) Ltd	Full Rate	4,960	/lot	3,970	/lot
Wharf (Holdings) Ltd	Spread Rate	1,490	/spread	1,200	/spread

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

Gold Futures	Full Rate	14,860	/lot	11,890	/lot
Gold Futures	Spread Rate	4,460	/spread	3,570	/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	1,530 per spread	1,230 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	1,380 per spread	1,110 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	1,330 per spread	1,060 per spread
3rd month vs 4th month 3rd month vs 5th month 4th month vs 5th month	1,130 per spread	898 per spread
1st month vs 2nd month	762 per spread	609 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	366 per spread	293 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	1,060 per spread	847 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	550 per spread	440 per spread
2nd month vs 3rd month	417 per spread	334 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	184 per spread	147 per spread

Ends

Updated 28 Sep 2011