HKEx News Release 
27/12/2012 
 
 

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 Wednesday, 2 January 2013, 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

70,700

/lot

56,550

/lot

Spread Rate

7,500

/spread

6,000

/spread

 

 

 

 

 

 

Mini-Hang Seng Index

Full Rate

14,140

/lot

11,310

/lot

Spread Rate

1,500

/spread

1,200

/spread

 

 

 

 

 

 

H-shares Index

Full Rate

35,650

/lot

28,500

/lot

Spread Rate

10,700

/spread

8,550

/spread

 

 

 

 

 

 

Mini H-shares Index

Full Rate

7,130

/lot

5,700

/lot

Spread Rate

2,140

/spread

1,710

/spread

 

 

 

 

 

 

HSCEI Dividend Point Index

Full Rate

1,910

/lot

1,540

/lot

Spread Rate

2,300

/spread

1,850

/spread

 

 

 

 

 

 

HSI Dividend Point Index

Full Rate

3,550

/lot

2,840

/lot

Spread Rate

4,260

/spread

3,410

/spread

 

 

 

 

 

 

HSI Volatility Index

Full Rate

24,730

/lot

19,780

/lot

Spread Rate

7,420

/spread

5,940

/spread

 

 

 

 

 

 

IBOVESPA Futures

Full Rate

19,070

/lot

15,250

/lot

Spread Rate

5,730

/spread

4,580

/spread

 

 

 

 

 

 

Sensex Index Futures

Full Rate

12,200

/lot

9,760

/lot

Spread Rate

3,660

/spread

2,930

/spread

 

 

 

 

 

 

FTSE/JSE Top40 Futures

Full Rate

21,600

/lot

17,280

/lot

Spread Rate

6,480

/spread

5,190

/spread

 

 

 

 

 

 

MICEX Index Futures

Full Rate

16,920

/lot

13,530

/lot

Spread Rate

5,080

/spread

4,060

/spread

 

 

 

 

 

 

Three-Year EFN

Full Rate

10,890

/lot

8,710

/lot

Spread Rate

3,270

/spread

2,620

/spread

 

 

 

 

 

 

One-Month HIBOR

Full Rate

228

/lot

182

/lot

Spread Rate

Please refer to attached table

 

 

 

 

 

 

Three-Month HIBOR

Full Rate

441

/lot

353

/lot

Spread Rate

Please refer to attached table

 

 

 

 

 

 

Aluminum Corporation of China Ltd

Full Rate

580

/lot

464

/lot

Spread Rate

174

/spread

140

/spread

 

 

 

 

 

 

Bank of China Ltd

Full Rate

209

/lot

167

/lot

Spread Rate

63

/spread

51

/spread

 

 

 

 

 

 

Bank of Communications Co Ltd

Full Rate

419

/lot

336

/lot

Spread Rate

126

/spread

101

/spread

 

 

 

 

 

 

The Bank of East Asia Ltd

Full Rate

370

/lot

297

/lot

Spread Rate

111

/spread

90

/spread

 

 

 

 

 

 

BOC Hong Kong (Holdings) Ltd

Full Rate

748

/lot

599

/lot

Spread Rate

225

/spread

180

/spread

 

 

 

 

 

 

China Construction Bank Corporation

Full Rate

381

/lot

305

/lot

Spread Rate

115

/spread

92

/spread

 

 

 

 

 

 

China Communications Construction Co Ltd

Full Rate

528

/lot

422

/lot

Spread Rate

159

/spread

127

/spread

 

 

 

 

 

 

China Mobile Ltd

Full Rate

2,810

/lot

2,250

/lot

Spread Rate

843

/spread

675

/spread

 

 

 

 

 

 

China Unicom (Hong Kong) Ltd

Full Rate

1,930

/lot

1,540

/lot

Spread Rate

579

/spread

462

/spread

 

 

 

 

 

 

CITIC Pacific Ltd

Full Rate

829

/lot

663

/lot

Spread Rate

249

/spread

199

/spread

 

 

 

 

 

 

Cheung Kong (Holdings) Ltd

Full Rate

7,390

/lot

5,930

/lot

Spread Rate

2,220

/spread

1,780

/spread

 

 

 

 

 

 

China Life Insurance Company Ltd

Full Rate

1,530

/lot

1,220

/lot

Spread Rate

459

/spread

366

/spread

 

 

 

 

 

 

CLP Holdings Ltd

Full Rate

2,020

/lot

1,620

/lot

Spread Rate

606

/spread

486

/spread

 

 

 

 

 

 

China Merchants Bank Co Ltd

Full Rate

518

/lot

414

/lot

Spread Rate

156

/spread

125

/spread

 

 

 

 

 

 

CNOOC Ltd

Full Rate

1,060

/lot

843

/lot

Spread Rate

318

/spread

253

/spread

 

 

 

 

 

 

Cathay Pacific Airways Ltd

Full Rate

891

/lot

713

/lot

Spread Rate

268

/spread

214

/spread

 

 

 

 

 

 

China Petroleum & Chemical Corporation

Full Rate

1,090

/lot

865

/lot

Spread Rate

327

/spread

260

/spread

 

 

 

 

 

 

China Telecom Corporation Ltd

Full Rate

626

/lot

501

/lot

Spread Rate

188

/spread

151

/spread

 

 

 

 

 

 

Esprit Holdings Ltd  (ESP - Multiplier = 100)

Full Rate

198

/lot

159

/lot

Spread Rate

60

/spread

48

/spread

 

 

 

 

 

 

Esprit Holdings Ltd  (ESA - Multiplier = 109)

Full Rate

215

/lot

173

/lot

Spread Rate

65

/spread

52

/spread

 

 

 

 

 

 

Foxconn International Holdings Ltd

Full Rate

578

/lot

463

/lot

Spread Rate

174

/spread

139

/spread

 

 

 

 

 

 

Power Assets Holdings Ltd

Full Rate

2,040

/lot

1,630

/lot

Spread Rate

612

/spread

489

/spread

 

 

 

 

 

 

Hong Kong Exchanges and Clearing Ltd

Full Rate

821

/lot

657

/lot

Spread Rate

247

/spread

198

/spread

 

 

 

 

 

 

HSBC Holdings Plc

Full Rate

1,990

/lot

1,590

/lot

Spread Rate

597

/spread

477

/spread

 

 

 

 

 

 

Hong Kong and China Gas Co Ltd

Full Rate

1,320

/lot

1,060

/lot

Spread Rate

396

/spread

318

/spread

 

 

 

 

 

 

Henderson Land Development Co Ltd

Full Rate

3,490

/lot

2,800

/lot

Spread Rate

1,050

/spread

840

/spread

 

 

 

 

 

 

Huaneng Power International Inc

Full Rate

1,040

/lot

830

/lot

Spread Rate

312

/spread

249

/spread

 

 

 

 

 

 

Hang Seng Bank Ltd

Full Rate

742

/lot

593

/lot

Spread Rate

223

/spread

178

/spread

 

 

 

 

 

 

Hutchison Whampoa Ltd

Full Rate

5,040

/lot

4,040

/lot

Spread Rate

1,520

/spread

1,220

/spread

 

 

 

 

 

 

Industrial and Commercial Bank of China Ltd

Full Rate

349

/lot

279

/lot

Spread Rate

105

/spread

84

/spread

 

 

 

 

 

 

Li & Fung Ltd

Full Rate

2,040

/lot

1,630

/lot

Spread Rate

612

/spread

489

/spread

 

 

 

 

 

 

MTR Corporation Ltd

Full Rate

962

/lot

770

/lot

Spread Rate

289

/spread

231

/spread

 

 

 

 

 

 

New World Development Co Ltd

Full Rate

835

/lot

668

/lot

Spread Rate

251

/spread

201

/spread

 

 

 

 

 

 

Ping An Insurance (Group) Co of China Ltd

Full Rate

2,080

/lot

1,660

/lot

Spread Rate

624

/spread

498

/spread

 

 

 

 

 

 

PetroChina Company Ltd

Full Rate

1,380

/lot

1,110

/lot

Spread Rate

414

/spread

333

/spread

 

 

 

 

 

 

PICC Property and Casualty Company Limited

Full Rate

1,310

/lot

1,050

/lot

Spread Rate

393

/spread

315

/spread

 

 

 

 

 

 

Sun Hung Kai Properties Ltd

Full Rate

7,240

/lot

5,800

/lot

Spread Rate

2,180

/spread

1,740

/spread

 

 

 

 

 

 

Swire Pacific Ltd 'A'

Full Rate

2,930

/lot

2,350

/lot

Spread Rate

879

/spread

705

/spread

 

 

 

 

 

 

Wharf (Holdings) Ltd

Full Rate

4,660

/lot

3,730

/lot

Spread Rate

1,400

/spread

1,120

/spread

 

Futures Contract

Margin Rate

Initial Margin
(US$)

Maintenance Margin
(US$)

 

 

 

 

Gold Futures

Full Rate

6,290

/lot

5,030

/lot

Spread Rate

1,890

/spread

1,510

/spread

 

Futures Contract

Margin Rate

Initial Margin
(RMB)

Maintenance Margin
(RMB)

 

 

 

 

RMB Currency Futures
(USD/CNH Futures#)

Full Rate

7,880

/lot

6,300

/lot

Spread Rate

4,730

/spread

3,780

/spread

Spot Month Charge*

1,580

/lot

1,260

/lot

* As mentioned in the circular dated 22 October 2012, the Spot Month Charge will be imposed on the spot month contract during the last four business days before the business day immediately preceding the final settlement day.
 
# USD = US dollar; CNH = RMB traded in Hong Kong

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

 

 

 


439
per spread

 

 


351
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

 

 

 

 

434
per spread

 

 

 

347
per spread

 

1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month

 

 

373
per spread

 

299
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

 

 

 

 

298
per spread

 

 

 

238
per spread

 

4th month vs 5th month
4th month vs 6th month
5th month vs 6th month

 

 

281
per spread

 

225
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

 

 

 

133
per spread

 

 

106
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

 

286
per spread

 

229
per spread

 

1st month vs 4th month
1st month vs 5th month
1st month vs 6th month

 

 

286
per spread

 

229
per spread

 

2nd month vs 3rd month

 

 

235
per spread

 

188
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

 

 

 

235
per spread

 

 

188
per spread

 

4th month vs 5th month
4th month vs 6th month
5th month vs 6th month

 

 

69
per spread

 

55
per spread

 

 

Ends