HKFE Revises Margins for Stock and Stock Index Futures

Market Operations

31 May 2001

Hong Kong Futures Exchange (HKFE), a wholly-owned subsidiary of Hong Kong Exchanges and Clearing Limited (HKEx), announced today (Thursday) that with effect from the commencement of trading on Friday, 1 June 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 the result of a regular review of market conditions and are based on the clearing company's standard margining methodology.

* Amounts in brackets are the original margin rates:

Futures Contract	Margin Rates	Initial Margin	Maintenance Margin
Hang Seng Index	Full Rates Spread Rates	$52,500 ($62,500) per lot $3,750 ($3,750) /lot/side	$42,000 ($50,000) per lot $3,000 ($3,000) /lot/side
Mini-Hang Seng Index	Full Rates Spread Rates	$10,500 ($12,500) per lot $750 ($750) /lot/side	$8,400 ($10,000) per lot $600 ($600) /lot/side
Hang Seng 100 Index	Full Rates Spread Rates	$10,000 ($11,000) per lot $1,500 ($1,500) /lot/side	$8,000 ($8,800) per lot $1,200 ($1,200) /lot/side
Red-Chip Index	Full Rates Spread Rates	$5,500 ($6,500) per lot $1,250 ($1,250) /lot/side	$4,400 ($5,200) per lot $1,000 ($1,000) /lot/side
Hang Seng Properties Sub-Index	Full Rates Spread Rates	$83,750 ($100,000) per lot $3,750 ($3,750) /lot/side	$67,000 ($80,000) per lot $3,000 ($3,000) /lot/side
MSCI China Free Index	Full Rates Spread Rates	$27,000 ($27,500) per lot $3,500 ($3,500) /lot/side	$21,600 ($22,000) per lot $2,800 ($2,800) /lot/side
One-Month HIBOR	Full Rates Spread Rates	$1,150 ($1,250) per lot	$920 ($1,000) per lot
One-Month HIBOR	Full Rates Spread Rates	Please refer to the attached table
Three-Month HIBOR	Full Rates Spread Rates	$1,050 ($1,250) per lot	$840 ($1,000) per lot
Three-Month HIBOR	Full Rates Spread Rates	Please refer to the attached table
HSBC Holdings plc	Full Rates Spread Rates	$49,200 ($54,000) per lot $7,380 ($8,100)/lot/side	$39,360 (43,200) per lot $6,000 (6,480)/lot/side
Pacific Century Cyberworks Ltd	Full Rates Spread Rates	$2,250 ($5,000) per lot $340 ($750)/lot/side	$1,800 ($4,000) per lot $270 ($600) /lot/side
Cheung Kong (Holdings) Ltd	Full Rates Spread Rates	$38,500 ($41,000) per lot $5,775 ($6,150) /lot/side	$30,800 ($32,800) per lot $4,620 ($4,920) /lot/side
Swire Pacific Ltd "A" Shares	Full Rates Spread Rates	$11,375 ($18,500) per lot $1,710 ($2,775) /lot/side	$9,100 ($14,800) per lot $1,365 ($2,220) /lot/side
China Resources Enterprise Ltd	Full Rates Spread Rates	$15,500 ($17,500) per lot $2,330 ($2,625) /lot/side	$12,400 ($14,000) per lot $1,860 ($2,100) /lot/side
Shanghai Industrial Holdings Ltd	Full Rates Spread Rates	$6,000 ($8,000) per lot $900 ($1,200) /lot/side	$4,800 ($6,400) per lot $720 (960) /lot/side
Hongkong Electric Holdings Ltd	Full Rates Spread Rates	$4,500 ($5,375) per lot $675 ($810) /lot/side	$3,600 ($4,300) per lot $540 ($648) /lot/side
Hang Seng Bank Ltd	Full Rates Spread Rates	$11,500 ($15,600) per lot $1,730 ($2,340) /lot/side	$9,200 ($12,480) per lot $1,380 ($1,872) /lot/side
Henderson Land Development Co. Ltd	Full Rates Spread Rates	$22,500 ($30,000) per lot $3,375 ($4,500) /lot/side	$18,000 ($24,000) per lot $2,700 ($3,600) /lot/side
Hutchison Whampoa Ltd	Full Rates Spread Rates	$41,250 ($50,000) per lot $6,190 ($7,500) /lot/side	$33,000 ($40,000) per lot $4,950 ($6,000) /lot/side
Sun Hung Kai Properties Ltd	Full Rates Spread Rates	$46,750 ($51,000) per lot $7,015 ($7,650) /lot/side	$37,400 ($40,800) per lot $5,610 ($6,120) /lot/side
CLP Holdings Ltd	Full Rates Spread Rates	$5,125 ($7,000) per lot $770 ($1,050) /lot/side	$4,100 ($5,600)per lot $615 ($840) /lot/side
The Wharf (Holdings)	Full Rates Spread Rates	$12,500 ($17,000) per lot $1,875 ($2,550) /lot/side	$10,000 ($13,600) per lot $1,500 ($2,040) /lot/side
Hopewell Holdings Ltd	Full Rates Spread Rates	$800 ($1,000) per lot $120 ($150) /lot/side	$640 ($800) per lot $96 ($120) /lot/side
New World Development Co. Ltd	Full Rates Spread Rates	$7,750 ($12,000) per lot $1,165 ($1,800) /lot/side	$6,200 ($9,600) per lot $930 ($1,440) /lot/side
China Mobile (HK) Ltd	Full Rates Spread Rates	$16,125 ($17,125) per lot $2,420 ($2,575) /lot/side	$12,900 ($13,700) per lot $1,935 ($2,060) /lot/side
The Bank of East Asia Ltd	Full Rates Spread Rates	$1,325 ($1,900) per lot $200 ($285) /lot/side	$1,060 ($1,520) per lot $160 ($228) /lot/side
Legend Holdings Ltd	Full Rates Spread Rates	$9,250 ($12,500) per lot $1,390 ($1,875) /lot/side	$7,400 ($10,000) per lot $1,110 ($1,500) /lot/side

HKFE emphasised that the above are minimum rates and Exchange Participants should set their margin requirements according to their clients' individual circumstances.

Attachment

Spread Margin Rates
for One-Month HIBOR Futures

Spread Combination	Margin Categories	Initial Margin	Maintenance Margin
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	Clearing House Margin	HK$1,120 per spread	HK$1,120 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	Client Margin	HK$1,400 per spread	HK$1,120 per spread
2nd month vs 4th month 2nd month vs 5th month 2nd month vs 6th month	Clearing House Margin	HK$1,000 per spread	HK$1,000 per spread
3rd month vs 4th month 3rd month vs 5th month 3rd month vs 6th month	Client Margin	HK$1,250 per spread	HK$1,000 per spread
1st month vs 2nd month 1st month vs 3rd month	Clearing House Margin	HK$720 per spread	HK$720 per spread
1st month vs 2nd month 1st month vs 3rd month	Client Margin	HK$900 per spread	HK$720 per spread
2nd month vs 3rd month	Clearing House Margin	HK$400 per spread	HK$400 per spread
2nd month vs 3rd month	Client Margin	HK$500 per spread	HK$400 per spread

Spread Margin Rates
for Three-Month HIBOR Futures

Spread Combination	Margin Categories	Initial Margin	Maintenance Margin
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 4th month vs 7th month 4th month vs 8th month 4th month vs 9th month 4th month vs 10th month	Clearing House Margin	HK$1,000 per spread	HK$1,000 per spread
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 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	Client Margin	HK$1,250 per spread	HK$1,000 per spread
1st month vs 3rd month 1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	Clearing House Margin	HK$520 per spread	HK$520 per spread
2nd month vs 3rd month 2nd month vs 4th month 2nd month vs 5th month 2nd month vs 6th month	Client Margin	HK$650 per spread	HK$520 per spread
1st month vs 2nd month 3rd month vs 4th month 3rd month vs 5th month 3rd month vs 6th month	Clearing House Margin	HK$400 per spread	HK$400 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	Client Margin	HK$500 per spread	HK$400 per spread

Updated 31 May 2001