HKFE Announces Revised Margins for Futures Contracts

Market Operations

27 Mar 2014

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 Tuesday, 1 April 2014, 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	68,200	/lot	54,550	/lot
Hang Seng Index	Spread Rate	13,650	/spread	10,950	/spread

Mini-Hang Seng Index	Full Rate	13,640	/lot	10,910	/lot
Mini-Hang Seng Index	Spread Rate	2,730	/spread	2,190	/spread

H-shares Index	Full Rate	30,300	/lot	24,250	/lot
H-shares Index	Spread Rate	9,100	/spread	7,300	/spread

Mini H-shares Index	Full Rate	6,060	/lot	4,850	/lot
Mini H-shares Index	Spread Rate	1,820	/spread	1,460	/spread

CES China 120 Index	Full Rate	11,390	/lot	9,110	/lot
CES China 120 Index	Spread Rate	3,420	/spread	2,740	/spread

HSCEI Dividend Point Index	Full Rate	2,150	/lot	1,720	/lot
HSCEI Dividend Point Index	Spread Rate	2,580	/spread	2,070	/spread

HSI Dividend Point Index	Full Rate	4,090	/lot	3,270	/lot
HSI Dividend Point Index	Spread Rate	4,910	/spread	3,930	/spread

HSI Volatility Index	Full Rate	25,450	/lot	20,360	/lot
HSI Volatility Index	Spread Rate	7,640	/spread	6,110	/spread

IBOVESPA	Full Rate	14,840	/lot	11,870	/lot
IBOVESPA	Spread Rate	4,460	/spread	3,570	/spread

S&P BSE Sensex Index	Full Rate	13,650	/lot	10,920	/lot
S&P BSE Sensex Index	Spread Rate	4,100	/spread	3,280	/spread

FTSE/JSE Top40 Index	Full Rate	26,250	/lot	21,000	/lot
FTSE/JSE Top40 Index	Spread Rate	7,880	/spread	6,300	/spread

MICEX Index	Full Rate	15,970	/lot	12,780	/lot
MICEX Index	Spread Rate	4,800	/spread	3,840	/spread

Three-Year EFN	Full Rate	10,940	/lot	8,750	/lot
Three-Year EFN	Spread Rate	3,290	/spread	2,630	/spread

One-Month HIBOR	Full Rate	557	/lot	446	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	388	/lot	311	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

iShares FTSE A50 China Index ETF	Full Rate	2,800	/lot	2,240	/lot
iShares FTSE A50 China Index ETF	Spread Rate	840	/spread	672	/spread

Aluminum Corporation of China Ltd	Full Rate	374	/lot	300	/lot
Aluminum Corporation of China Ltd	Spread Rate	113	/spread	90	/spread

China AMC CSI 300 index ETF	Full Rate	3,390	/lot	2,710	/lot
China AMC CSI 300 index ETF	Spread Rate	1,020	/spread	813	/spread

Bank of China Ltd	Full Rate	183	/lot	146	/lot
Bank of China Ltd	Spread Rate	55	/spread	44	/spread

Bank of Communications Co Ltd	Full Rate	294	/lot	235	/lot
Bank of Communications Co Ltd	Spread Rate	89	/spread	71	/spread

The Bank of East Asia Ltd	Full Rate	370	/lot	296	/lot
The Bank of East Asia Ltd	Spread Rate	111	/spread	89	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	696	/lot	557	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	209	/spread	168	/spread

China Construction Bank Corporation	Full Rate	318	/lot	255	/lot
China Construction Bank Corporation	Spread Rate	96	/spread	77	/spread

China Communications Construction Co Ltd	Full Rate	451	/lot	361	/lot
China Communications Construction Co Ltd	Spread Rate	135	/spread	109	/spread

China Mobile Ltd	Full Rate	2,620	/lot	2,100	/lot
China Mobile Ltd	Spread Rate	786	/spread	630	/spread

China Unicom (Hong Kong) Ltd	Full Rate	1,410	/lot	1,130	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	423	/spread	339	/spread

CITIC Pacific Ltd	Full Rate	968	/lot	775	/lot
CITIC Pacific Ltd	Spread Rate	291	/spread	233	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,680	/lot	6,140	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,310	/spread	1,850	/spread

China Life Insurance Company Ltd	Full Rate	1,820	/lot	1,460	/lot
China Life Insurance Company Ltd	Spread Rate	546	/spread	438	/spread

CLP Holdings Ltd	Full Rate	1,750	/lot	1,400	/lot
CLP Holdings Ltd	Spread Rate	525	/spread	420	/spread

China Merchants Bank Co Ltd	Full Rate	514	/lot	411	/lot
China Merchants Bank Co Ltd	Spread Rate	155	/spread	124	/spread

CNOOC Ltd	Full Rate	970	/lot	776	/lot
CNOOC Ltd	Spread Rate	291	/spread	233	/spread

Cathay Pacific Airways Ltd	Full Rate	1,110	/lot	886	/lot
Cathay Pacific Airways Ltd	Spread Rate	333	/spread	266	/spread

China Petroleum & Chemical Corporation	Full Rate	1,400	/lot	1,120	/lot
China Petroleum & Chemical Corporation	Spread Rate	420	/spread	336	/spread

CSOP FTSE China A50 ETF	Full Rate	2,720	/lot	2,180	/lot
CSOP FTSE China A50 ETF	Spread Rate	816	/spread	654	/spread

China Telecom Corporation Ltd	Full Rate	405	/lot	324	/lot
China Telecom Corporation Ltd	Spread Rate	122	/spread	98	/spread

Esprit Holdings Ltd	Full Rate	126	/lot	101	/lot
Esprit Holdings Ltd	Spread Rate	38	/spread	31	/spread

FIH Mobile Limited	Full Rate	718	/lot	574	/lot
FIH Mobile Limited	Spread Rate	216	/spread	173	/spread

Power Assets Holdings Ltd	Full Rate	2,000	/lot	1,600	/lot
Power Assets Holdings Ltd	Spread Rate	600	/spread	480	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	717	/lot	574	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	216	/spread	173	/spread

HSBC Holdings Plc	Full Rate	1,920	/lot	1,540	/lot
HSBC Holdings Plc	Spread Rate	576	/spread	462	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,010	/lot	808	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	303	/spread	243	/spread

Henderson Land Development Co Ltd	Full Rate	2,930	/lot	2,350	/lot
Henderson Land Development Co Ltd	Spread Rate	879	/spread	705	/spread

Huaneng Power International Inc	Full Rate	1,500	/lot	1,200	/lot
Huaneng Power International Inc	Spread Rate	450	/spread	360	/spread

Hang Seng Bank Ltd	Full Rate	743	/lot	595	/lot
Hang Seng Bank Ltd	Spread Rate	223	/spread	179	/spread

Hutchison Whampoa Ltd	Full Rate	9,410	/lot	7,530	/lot
Hutchison Whampoa Ltd	Spread Rate	2,830	/spread	2,260	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	286	/lot	229	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	86	/spread	69	/spread

Li & Fung Ltd	Full Rate	4,170	/lot	3,340	/lot
Li & Fung Ltd	Spread Rate	1,260	/spread	1,010	/spread

MTR Corporation Ltd	Full Rate	878	/lot	703	/lot
MTR Corporation Ltd	Spread Rate	264	/spread	211	/spread

New World Development Co Ltd (NWD: Multiplier = 1,000)	Full Rate	1,270	/lot	1,010	/lot
New World Development Co Ltd (NWD: Multiplier = 1,000)	Spread Rate	378	/spread	302	/spread

New World Development Co Ltd (NWA: Multiplier = 1,062)	Full Rate	1,340	/lot	1,070	/lot
New World Development Co Ltd (NWA: Multiplier = 1,062)	Spread Rate	402	/spread	321	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,310	/lot	1,850	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	693	/spread	555	/spread

PetroChina Company Ltd	Full Rate	1,250	/lot	1,000	/lot
PetroChina Company Ltd	Spread Rate	375	/spread	300	/spread

PICC Property and Casualty Company Limited	Full Rate	1,600	/lot	1,280	/lot
PICC Property and Casualty Company Limited	Spread Rate	480	/spread	384	/spread

Sun Hung Kai Properties Ltd	Full Rate	5,710	/lot	4,570	/lot
Sun Hung Kai Properties Ltd	Spread Rate	1,720	/spread	1,380	/spread

Swire Pacific Ltd 'A'	Full Rate	2,750	/lot	2,200	/lot
Swire Pacific Ltd 'A'	Spread Rate	825	/spread	660	/spread

The Wharf (Holdings) Ltd	Full Rate	4,180	/lot	3,340	/lot
The Wharf (Holdings) Ltd	Spread Rate	1,260	/spread	1,010	/spread

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

Gold Futures	Full Rate	5,210	/lot	4,170	/lot
Gold Futures	Spread Rate	1,570	/spread	1,260	/spread

Futures Contract	Margin Rate	Initial Margin (RMB)		Maintenance Margin (RMB)

RMB Currency Futures (USD/CNH Futures#)	Full Rate	15,630	/lot	12,500	/lot
	Spread Rate	9,380	/spread	7,500	/spread
	Spot Month Charge*	3,130	/lot	2,500	/lot

*	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 3rd month 1st month vs 4th month 1st month vs 5th month 1st month vs 6th month 2nd month vs 3rd month 2nd month vs 4th month 2nd month vs 5th month 2nd month vs 6th month	776 per spread	622 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	776 per spread	622 per spread
3rd month vs 7th month 3rd month vs 8th month 3rd month vs 9th month 3rd month vs 10th month 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	776 per spread	622 per spread
3rd month vs 4th month 3rd month vs 5th month 3rd month vs 6th month 4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	706 per spread	565 per spread
1st month vs 2nd month	487 per spread	390 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	117 per spread	94 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	517 per spread	413 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	517 per spread	413 per spread
2nd month vs 3rd month	168 per spread	134 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	168 per spread	134 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	168 per spread	134 per spread

Ends

Updated 27 Mar 2014