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HKFE Announces Revised Margins for Futures Contracts

Market Operations
27 Dec 2007

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 2008, 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 at the following link (http://www.hkex.com.hk/eng/market/rm/rm_dcrm/riskdata/margin_hkcc/fomargin.htm). 

Futures Contract Margin Rate Initial Margin
(HK$)
Maintenance Margin
(HK$)
Hang Seng Index Full Rate 159,850 /lot 127,880 /lot
Spread Rate 7,500 /spread 6,000 /spread
Mini-Hang Seng Index Full Rate 31,970 /lot 25,576 /lot
Spread Rate 1,500 /spread 1,200 /spread
FTSE/XinhuaChina 25 Index Full Rate 162,370 /lot 129,896 /lot
Spread Rate 48,710 /spread 38,970 /spread
H-Financials Index Full Rate 118,830 /lot 95,064 /lot
Spread Rate 35,650 /spread 28,519 /spread
H-shares Index Full Rate 120,590 /lot 96,472 /lot
Spread Rate 36,180 /spread 28,942 /spread
Three-Year EFN Full Rate 10,143 /lot 8,114 /lot
Spread Rate 3,043 /spread 2,434 /spread
One-Month HIBOR Full Rate 10,807 /lot 8,646 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 4,720 /lot 3,776 /lot
Spread Rate Please refer to attached table
Aluminum Corporation of China Ltd Full Rate 6,184 /lot 4,947 /lot
Spread Rate 1,855 /spread 1,484 /spread
Bank of China Ltd Full Rate 545 /lot 436 /lot
Spread Rate 164 /spread 131 /spread
Bank of Communications Co Ltd Full Rate 1,944 /lot 1,555 /lot
Spread Rate 583 /spread 467 /spread
The Bank of East Asia Ltd Full Rate 1,670 /lot 1,336 /lot
Spread Rate 501 /spread 401 /spread
BOC Hong Kong (Holdings) Ltd  Full Rate 1,276 /lot 1,021 /lot
Spread Rate 383 /spread 306 /spread
China Construction Bank Corporation Full Rate 1,009 /lot 807 /lot
Spread Rate 303 /spread 242 /spread
China Communications Construction Co Ltd  Full Rate 2,983 /lot 2,387 /lot
Spread Rate 895 /spread 716 /spread
China Mobile (Hong Kong) Ltd  Full Rate 8,832 /lot 7,065 /lot
Spread Rate 2,650 /spread 2,120 /spread
China Unicom Ltd Full Rate 5,689 /lot 4,551 /lot
Spread Rate 1,707 /spread 1,365 /spread
CITIC Pacific Ltd Full Rate 5,973 /lot 4,779 /lot
Spread Rate 1,792 /spread 1,434 /spread
Cheung Kong (Holdings) Ltd Full Rate 21,380 /lot 17,104 /lot
Spread Rate 6,414 /spread 5,131 /spread
Cheung Kong Infrastructure Holdings Ltd Full Rate 3,673 /lot 2,939 /lot
Spread Rate 1,102 /spread 882 /spread
China Life Insurance Company Ltd Full Rate 5,979 /lot 4,784 /lot
Spread Rate 1,794 /spread 1,435 /spread
CLP Holdings Ltd Full Rate 1,684 /lot 1,347 /lot
Spread Rate 505 /spread 404 /spread
China Merchants Bank Co Ltd Full Rate 2,104 /lot 1,683 /lot
Spread Rate 631 /spread 505 /spread
CNOOC Ltd Full Rate 2,234 /lot 1,788 /lot
Spread Rate 670 /spread 536 /spread
China Netcom Group Corporation (Hong Kong) Ltd Full Rate 1,781 /lot 1,425 /lot
Spread Rate 534 /spread 428 /spread
Cathay Pacific Airways Ltd Full Rate 1,736 /lot 1,389 /lot
Spread Rate 521 /spread 417 /spread
China Petroleum & Chemical Corporation Full Rate 4,494 /lot 3,595 /lot
Spread Rate 1,348 /spread 1,079 /spread
China Telecom Corporation Ltd  Full Rate 1,960 /lot 1,568 /lot
Spread Rate 588 /spread 470 /spread
Denway Motors Ltd Full Rate 1,581 /lot 1,265 /lot
Spread Rate 474 /spread 380 /spread
Esprit Holdings Ltd
Full Rate 1,707 /lot 1,366 /lot
Spread Rate 512 /spread 410 /spread
Foxconn International Holdings Ltd Full Rate 2,506 /lot 2,004 /lot
Spread Rate 752 /spread 601 /spread
Hongkong Electric Holdings Ltd Full Rate 1,658 /lot 1,327 /lot
Spread Rate 497 /spread 398 /spread
Hong Kong Exchanges and Clearing Ltd  Full Rate 14,131 /lot 11,304 /lot
Spread Rate 4,239 /spread 3,391 /spread
HSBC Holdings Plc  Full Rate 3,731 /lot 2,985 /lot
  Spread Rate 1,119 /spread 896 /spread
Hong Kong and China Gas Co Ltd Full Rate 3,158 /lot 2,526 /lot
Spread Rate 947 /spread 758 /spread
Henderson Land Development Co Ltd Full Rate 11,170 /lot 8,936 /lot
Spread Rate 3,351 /spread 2,681 /spread
Huaneng Power International Inc Full Rate 2,281 /lot 1,825 /lot
Spread Rate 684 /spread 548 /spread
Hang Seng Bank Ltd Full Rate 1,837 /lot 1,469 /lot
Spread Rate 551 /spread 441 /spread
Hutchison Whampoa Ltd Full Rate 9,683 /lot 7,747 /lot
Spread Rate 2,905 /spread 2,324 /spread
Industrial and Commercial Bank of China Ltd Full Rate 751 /lot 601 /lot
Spread Rate 225 /spread 180 /spread
Johnson Electric Holdings Ltd Full Rate 267 /lot 214 /lot
Spread Rate 80 /spread 64 /spread
Li & Fung Ltd Full Rate 10,977 /lot 8,782 /lot
Spread Rate 3,293 /spread 2,635 /spread
MTR Corporation Ltd Full Rate 1,301 /lot 1,040 /lot
Spread Rate 390 /spread 312 /spread
New World Development Co Ltd Full Rate 4,047 /lot 3,238 /lot
Spread Rate 1,214 /spread 971 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 6,211 /lot 4,969 /lot
Spread Rate 1,863 /spread 1,491 /spread
PCCW Ltd Full Rate 291 /lot 233 /lot
Spread Rate 87 /spread 70 /spread
PetroChina Company Ltd Full Rate 4,816 /lot 3,853 /lot
Spread Rate 1,445 /spread 1,156 /spread
PICC Property and Casualty Co Ltd Full Rate 4,435 /lot 3,548 /lot
Spread Rate 1,331 /spread 1,064 /spread
Sun Hung Kai Properties Ltd Full Rate 23,305 /lot 18,644 /lot
Spread Rate 6,992 /spread 5,593 /spread
Swire Pacific Ltd “A” Full Rate 7,167 /lot 5,734 /lot
Spread Rate 2,150 /spread 1,720 /spread
The Wharf (Holdings) Ltd
(WHL: Multiplier =1,000)
Full Rate 6,838 /lot 5,471 /lot
Spread Rate 2,051 /spread 1,641 /spread
The Wharf (Holdings) Ltd
(WHA: Multiplier =1,040)
Full Rate 7,112 /lot 5,690 /lot
Spread Rate 2,133 /spread 1,706 /spread

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 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
9,400
per spread
7,520
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
7,575
per spread
6,060
per spread
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
7,175
per spread
5,740
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
6,700
per spread
5,360
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
 
3,100
per spread
 
2,480
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
  2,550
per spread
  2,040
per spread

 


Spread Margin Rates
for One-Month HIBOR Futures

Spread Combination Initial Margin
(HK$)
Maintenance Margin
(HK$)
3rd month vs 4th month
3rd month vs 5th month
3rd month vs 6th month
14,037
per spread
11,230
per spread
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
13,601
per spread
10,881
per spread
1st month vs 3rd month 
2nd month vs 3rd month
10,839
per spread
8,671
per spread
1st month vs 2nd month 6,219
per spread
4,975
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month

5,617
per spread

4,494
per spread

Updated 27 Dec 2007