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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
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

Updated 27 Dec 2012

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