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HKFE Announces Revised Margins for Futures Contracts

Market Operations
30 Dec 2003

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), announced that with effect from the commencement of trading on Monday, 5 January 2004, 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 HKEx website (http://www.hkex.com.hk) and see Trading Information - Futures & Options in the Derivatives Market section.

Futures Contract Margin Rate Initial Margin
(HK$)
Maintenance Margin
(HK$)
Hang Seng Index Full Rate 42,750 per lot 34,200 per lot
Spread Rate
3,750 /lot/side 3,000 /lot/side
Mini-Hang Seng Index Full Rate 8,550 per lot 6,840 per lot
Spread Rate
750 /lot/side 600 /lot/side
MSCI China Free Index Full Rate 17,180 per lot 13,744 per lot
Spread Rate
2,577 /lot/side 2,061.6 /lot/side
Three-Month HIBOR Full Rate 3,750 per lot 3,000 per lot
Spread Rate
Please refer to the attached table
One-Month HIBOR Full Rate 3,000 per lot 2,400 per lot
Spread Rate
Please refer to the attached table
Three-Year Exchange Fund Note Full Rate 10,300 per lot 8,240 per lot
Spread Rate
1,545 /lot/side 1,236 /lot/side
Dow Jones Industrial Average Index Full Rate 6,320 per lot 5,056 per lot
Spread Rate
948 /lot/side 758.4 /lot/side
H-shares Index Full Rate 22,500 per lot 18,000 per lot
Spread Rate
3,375 /lot/side 2,700 /lot/side
HSBC Holdings Plc Full Rate 2,960 per lot 2,368 per lot
Spread Rate
446 /lot/side 356.8 /lot/side
PCCW Ltd Full Rate 500 per lot 400 per lot
Spread Rate
75 /lot/side 60 /lot/side
Cheung Kong (Holdings) Ltd Full Rate 5,440 per lot 4,352 per lot
Spread Rate
816 /lot/side 652.8 /lot/side
Swire Pacific Ltd 'A' Shares Full Rate 1,925 per lot 1,540 per lot
Spread Rate
289 /lot/side 231.2 /lot/side
CITIC Pacific Ltd Full Rate 1,170 per lot 936 per lot
Spread Rate
176 /lot/side 140.8 /lot/side
China Resources Enterprise Ltd Full Rate 1,260 per lot 1,008 per lot
Spread Rate
189 /lot/side 151.2 /lot/side
Shanghai Industrial Holdings Full Rate 1,440 per lot 1,152 per lot
Spread Rate
216 /lot/side 172.8 /lot/side
Hongkong Electric Holdings Full Rate 960 per lot 768 per lot
Spread Rate
144 /lot/side 115.2 /lot/side
Hang Seng Bank Full Rate 617 per lot 493.6 per lot
Spread Rate
93 /lot/side 74.4 /lot/side
Henderson Land Development Co Ltd Full Rate 2,770 per lot 2,216 per lot
Spread Rate
416 /lot/side 332.8 /lot/side
Hutchison Whampoa Ltd Full Rate 4,780 per lot 3,824 per lot
Spread Rate
717 /lot/side 573.6 /lot/side
Sun Hung Kai Properties Ltd Full Rate 6,300 per lot 5,040 per lot
Spread Rate
945 /lot/side 756 /lot/side
CLP Holdings Ltd Full Rate 1,150 per lot 920 per lot
Spread Rate
173 /lot/side 138.4 /lot/side
The Wharf (Holdings) Ltd Full Rate 2,120 per lot 1,696 per lot
Spread Rate
318 /lot/side 254.4 /lot/side
New World Development Co Ltd Full Rate 800 per lot 640 per lot
Spread Rate
120 /lot/side 96 /lot/side
Legend Group Ltd Full Rate 740 per lot 592 per lot
Spread Rate
111 /lot/side 88.8 /lot/side
China Mobile (HK) Ltd Full Rate 915 per lot 732 per lot
Spread Rate
138 /lot/side 110.4 /lot/side
The Bank of East Asia Ltd Full Rate 440 per lot 352 per lot
Spread Rate
66 /lot/side 52.8 /lot/side
Hong Kong and China Gas Co Ltd Full Rate 720 per lot 576 per lot
Spread Rate
108 /lot/side 86.4 /lot/side
MTR Corporation Ltd Full Rate 335 per lot 268 per lot
Spread Rate
51 /lot/side 40.8 /lot/side
China Merchants Holdings (International) Co Ltd Full Rate 1,780 per lot 1,424 per lot
Spread Rate
267 /lot/side 213.6 /lot/side
Johnson Electric Holdings Ltd Full Rate 390 per lot 312 per lot
Spread Rate
59 /lot/side 47.2 /lot/side
Cathay Pacific Airways Ltd Full Rate 1,270 per lot 1,016 per lot
Spread Rate
191 /lot/side 152.8 /lot/side
Hong Kong Exchanges and Clearing Ltd Full Rate 2,460 per lot 1,968 per lot
Spread Rate
369 /lot/side 295.2 /lot/side
Li & Fung Ltd Full Rate 2,600 per lot 2,080 per lot
Spread Rate
390 /lot/side 312 /lot/side
China Unicom Ltd Full Rate 1,760 per lot 1,408 per lot
Spread Rate
264 /lot/side 211.2 /lot/side
PetroChina Co Ltd Full Rate 640 per lot 512 per lot
Spread Rate
96 /lot/side 76.8 /lot/side
Cheung Kong Infrastructure Holdings Ltd Full Rate 1,180 per lot 944 per lot
Spread Rate
177 /lot/side 141.6 /lot/side
Cosco Pacific Ltd Full Rate 1,860 per lot 1,488 per lot
Spread Rate
279 /lot/side 223.2 /lot/side
CNOOC Ltd Full Rate 965 per lot 772 per lot
Spread Rate
145 /lot/side 116 /lot/side
Huaneng Power International Inc Full Rate 2,040 per lot 1,632 per lot
Spread Rate
306 /lot/side 244.8 /lot/side
BOC Hong Kong (Holdings) Ltd Full Rate 860 per lot 688 per lot
Spread Rate
129 /lot/side 103.2 /lot/side

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

Spread Margin Rates
for One-Month HIBOR Futures

Spread Combination Initial Margin Maintenance Margin

1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
HK$3,750 per spread HK$3,000 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
HK$2,750 per spread HK$2,200 per spread

1st month vs 2nd month
1st month vs 3rd month
HK$2,750 per spread HK$2,200 per spread

2nd month vs 3rd month
HK$1,375 per spread HK$1,100 per spread

4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
HK$1,250 per spread HK$1,000 per spread

Spread Margin Rates
for Three-Month HIBOR Futures

Spread Combination Initial Margin Maintenance Margin

1st month vs 6th month
1st month vs 7th month
1st month vs 8th month
1st month vs 9th month
1st month vs 10th month
2nd month vs 6th month
2nd month vs 7th month
2nd month vs 8th month
2nd month vs 9th month
2nd month vs 10th month
3rd month vs 6th month
3rd month vs 7th month
3rd month vs 8th month
3rd month vs 9th month
3rd month vs 10th month
HK$6,375 per spread HK$5,100 per spread

4th month vs 6th month
4th month vs 7th month
4th month vs 8th month
4th month vs 9th month
4th month vs 10th month
5th month vs 6th month
5th month vs 7th month
5th month vs 8th month
5th month vs 9th month
5th month vs 10th month
HK$4,750 per spread HK$3,800 per spread

1st month vs 4th month
1st month vs 5th month
2nd month vs 4th month
2nd month vs 5th month
3rd month vs 4th month
3rd month vs 5th month
HK$4,500 per spread HK$3,600 per spread

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
HK$2,875 per spread HK$2,300 per spread

4th month vs 5th month
HK$2,250 per spread HK$1,800 per spread

1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
HK$1,750 per spread HK$1,400 per spread

Updated 30 Dec 2003

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