HKFE Announces Revised Margins for Futures Contracts

Market Operations

27 Dec 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
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	14,140	/lot	11,310	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	35,650	/lot	28,500	/lot
H-shares Index	Spread Rate	10,700	/spread	8,550	/spread

Mini H-shares Index	Full Rate	7,130	/lot	5,700	/lot
Mini H-shares Index	Spread Rate	2,140	/spread	1,710	/spread

HSCEI Dividend Point Index	Full Rate	1,910	/lot	1,540	/lot
HSCEI Dividend Point Index	Spread Rate	2,300	/spread	1,850	/spread

HSI Dividend Point Index	Full Rate	3,550	/lot	2,840	/lot
HSI Dividend Point Index	Spread Rate	4,260	/spread	3,410	/spread

HSI Volatility Index	Full Rate	24,730	/lot	19,780	/lot
HSI Volatility Index	Spread Rate	7,420	/spread	5,940	/spread

IBOVESPA Futures	Full Rate	19,070	/lot	15,250	/lot
IBOVESPA Futures	Spread Rate	5,730	/spread	4,580	/spread

Sensex Index Futures	Full Rate	12,200	/lot	9,760	/lot
Sensex Index Futures	Spread Rate	3,660	/spread	2,930	/spread

FTSE/JSE Top40 Futures	Full Rate	21,600	/lot	17,280	/lot
FTSE/JSE Top40 Futures	Spread Rate	6,480	/spread	5,190	/spread

MICEX Index Futures	Full Rate	16,920	/lot	13,530	/lot
MICEX Index Futures	Spread Rate	5,080	/spread	4,060	/spread

Three-Year EFN	Full Rate	10,890	/lot	8,710	/lot
Three-Year EFN	Spread Rate	3,270	/spread	2,620	/spread

One-Month HIBOR	Full Rate	228	/lot	182	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	441	/lot	353	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	580	/lot	464	/lot
Aluminum Corporation of China Ltd	Spread Rate	174	/spread	140	/spread

Bank of China Ltd	Full Rate	209	/lot	167	/lot
Bank of China Ltd	Spread Rate	63	/spread	51	/spread

Bank of Communications Co Ltd	Full Rate	419	/lot	336	/lot
Bank of Communications Co Ltd	Spread Rate	126	/spread	101	/spread

The Bank of East Asia Ltd	Full Rate	370	/lot	297	/lot
The Bank of East Asia Ltd	Spread Rate	111	/spread	90	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	748	/lot	599	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	225	/spread	180	/spread

China Construction Bank Corporation	Full Rate	381	/lot	305	/lot
China Construction Bank Corporation	Spread Rate	115	/spread	92	/spread

China Communications Construction Co Ltd	Full Rate	528	/lot	422	/lot
China Communications Construction Co Ltd	Spread Rate	159	/spread	127	/spread

China Mobile Ltd	Full Rate	2,810	/lot	2,250	/lot
China Mobile Ltd	Spread Rate	843	/spread	675	/spread

China Unicom (Hong Kong) Ltd	Full Rate	1,930	/lot	1,540	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	579	/spread	462	/spread

CITIC Pacific Ltd	Full Rate	829	/lot	663	/lot
CITIC Pacific Ltd	Spread Rate	249	/spread	199	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,390	/lot	5,930	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,220	/spread	1,780	/spread

China Life Insurance Company Ltd	Full Rate	1,530	/lot	1,220	/lot
China Life Insurance Company Ltd	Spread Rate	459	/spread	366	/spread

CLP Holdings Ltd	Full Rate	2,020	/lot	1,620	/lot
CLP Holdings Ltd	Spread Rate	606	/spread	486	/spread

China Merchants Bank Co Ltd	Full Rate	518	/lot	414	/lot
China Merchants Bank Co Ltd	Spread Rate	156	/spread	125	/spread

CNOOC Ltd	Full Rate	1,060	/lot	843	/lot
CNOOC Ltd	Spread Rate	318	/spread	253	/spread

Cathay Pacific Airways Ltd	Full Rate	891	/lot	713	/lot
Cathay Pacific Airways Ltd	Spread Rate	268	/spread	214	/spread

China Petroleum & Chemical Corporation	Full Rate	1,090	/lot	865	/lot
China Petroleum & Chemical Corporation	Spread Rate	327	/spread	260	/spread

China Telecom Corporation Ltd	Full Rate	626	/lot	501	/lot
China Telecom Corporation Ltd	Spread Rate	188	/spread	151	/spread

Esprit Holdings Ltd (ESP - Multiplier = 100)	Full Rate	198	/lot	159	/lot
Esprit Holdings Ltd (ESP - Multiplier = 100)	Spread Rate	60	/spread	48	/spread

Esprit Holdings Ltd (ESA - Multiplier = 109)	Full Rate	215	/lot	173	/lot
Esprit Holdings Ltd (ESA - Multiplier = 109)	Spread Rate	65	/spread	52	/spread

Foxconn International Holdings Ltd	Full Rate	578	/lot	463	/lot
Foxconn International Holdings Ltd	Spread Rate	174	/spread	139	/spread

Power Assets Holdings Ltd	Full Rate	2,040	/lot	1,630	/lot
Power Assets Holdings Ltd	Spread Rate	612	/spread	489	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	821	/lot	657	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	247	/spread	198	/spread

HSBC Holdings Plc	Full Rate	1,990	/lot	1,590	/lot
HSBC Holdings Plc	Spread Rate	597	/spread	477	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,320	/lot	1,060	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	396	/spread	318	/spread

Henderson Land Development Co Ltd	Full Rate	3,490	/lot	2,800	/lot
Henderson Land Development Co Ltd	Spread Rate	1,050	/spread	840	/spread

Huaneng Power International Inc	Full Rate	1,040	/lot	830	/lot
Huaneng Power International Inc	Spread Rate	312	/spread	249	/spread

Hang Seng Bank Ltd	Full Rate	742	/lot	593	/lot
Hang Seng Bank Ltd	Spread Rate	223	/spread	178	/spread

Hutchison Whampoa Ltd	Full Rate	5,040	/lot	4,040	/lot
Hutchison Whampoa Ltd	Spread Rate	1,520	/spread	1,220	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	349	/lot	279	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	105	/spread	84	/spread

Li & Fung Ltd	Full Rate	2,040	/lot	1,630	/lot
Li & Fung Ltd	Spread Rate	612	/spread	489	/spread

MTR Corporation Ltd	Full Rate	962	/lot	770	/lot
MTR Corporation Ltd	Spread Rate	289	/spread	231	/spread

New World Development Co Ltd	Full Rate	835	/lot	668	/lot
New World Development Co Ltd	Spread Rate	251	/spread	201	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,080	/lot	1,660	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	624	/spread	498	/spread

PetroChina Company Ltd	Full Rate	1,380	/lot	1,110	/lot
PetroChina Company Ltd	Spread Rate	414	/spread	333	/spread

PICC Property and Casualty Company Limited	Full Rate	1,310	/lot	1,050	/lot
PICC Property and Casualty Company Limited	Spread Rate	393	/spread	315	/spread

Sun Hung Kai Properties Ltd	Full Rate	7,240	/lot	5,800	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,180	/spread	1,740	/spread

Swire Pacific Ltd 'A'	Full Rate	2,930	/lot	2,350	/lot
Swire Pacific Ltd 'A'	Spread Rate	879	/spread	705	/spread

Wharf (Holdings) Ltd	Full Rate	4,660	/lot	3,730	/lot
Wharf (Holdings) Ltd	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
Gold Futures	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

Updated 27 Dec 2012