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HKFE Announces Revised Margins for Futures Contracts

Market Operations
28 May 2010

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 June 2010, 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 60,750 /lot 48,600 /lot
Spread Rate 7,500 /spread 6,000 /spread
Mini-Hang Seng Index Full Rate 12,150 /lot 9,720 /lot
Spread Rate 1,500 /spread 1,200 /spread
H-shares Index Full Rate 45,100 /lot 36,100 /lot
Spread Rate 13,550 /spread 10,850 /spread
Mini H-shares Index Full Rate 9,020 /lot 7,220 /lot
Spread Rate 2,710 /spread 2,170 /spread
Three-Year EFN Full Rate 10,710 /lot 8,570 /lot
Spread Rate 3,220 /spread 2,580 /spread
One-Month HIBOR Full Rate 407 /lot 325 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 1,360 /lot 1,090 /lot
Spread Rate Please refer to attached table
Aluminum Corporation of China Ltd Full Rate 1,970 /lot 1,580 /lot
Spread Rate 591 /spread 474 /spread
Bank of China Ltd Full Rate 311 /lot 249 /lot
Spread Rate 94 /spread 75 /spread
Bank of Communications Co Ltd Full Rate 769 /lot 616 /lot
Spread Rate 231 /spread 185 /spread
The Bank of East Asia Ltd Full Rate 341 /lot 273 /lot
Spread Rate 103 /spread 82 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 545 /lot 436 /lot
Spread Rate 164 /spread 131 /spread
China Construction Bank Corporation Full Rate 459 /lot 367 /lot
Spread Rate 138 /spread 111 /spread
China Communications Construction Co Ltd Full Rate 681 /lot 545 /lot
Spread Rate 205 /spread 164 /spread
China Mobile Ltd Full Rate 2,340 /lot 1,870 /lot
Spread Rate 702 /spread 561 /spread
China Unicom (Hong Kong) Ltd Full Rate 1,870 /lot 1,500 /lot
Spread Rate 561 /spread 450 /spread
CITIC Pacific Ltd Full Rate 1,710 /lot 1,370 /lot
Spread Rate 513 /spread 411 /spread
Cheung Kong (Holdings) Ltd Full Rate 5,610 /lot 4,490 /lot
Spread Rate 1,690 /spread 1,350 /spread
China Life Insurance Company Ltd Full Rate 2,470 /lot 1,970 /lot
Spread Rate 741 /spread 591 /spread
CLP Holdings Ltd Full Rate 1,790 /lot 1,430 /lot
Spread Rate 537 /spread 429 /spread
China Merchants Bank Co Ltd
(CMB-Multiplier = 500 )
Full Rate 977 /lot 782 /lot
Spread Rate 294 /spread 235 /spread
China Merchants Bank Co Ltd
(CMA-Multiplier = 532 )
Full Rate 1,039 /lot 831 /lot
Spread Rate 313 /spread 250 /spread
CNOOC Ltd Full Rate 1,260 /lot 1,010 /lot
Spread Rate 378 /spread 303 /spread
Cathay Pacific Airways Ltd Full Rate 1,200 /lot 958 /lot
Spread Rate 360 /spread 288 /spread
China Petroleum & Chemical Corporation Full Rate 936 /lot 749 /lot
Spread Rate 281 /spread 225 /spread
China Telecom Corporation Ltd Full Rate 837 /lot 669 /lot
Spread Rate 252 /spread 201 /spread
Esprit Holdings Ltd
(ESP-Multiplier = 100)
Full Rate 790 /lot 632 /lot
Spread Rate 237 /spread 190 /spread
Esprit Holdings Ltd
(ESA-Multiplier = 102)
Full Rate 809 /lot 647 /lot
Spread Rate 243 /spread 195 /spread
Foxconn International Holdings Ltd Full Rate 959 /lot 768 /lot
Spread Rate 288 /spread 231 /spread
Hongkong Electric Holdings Ltd Full Rate 1,520 /lot 1,220 /lot
Spread Rate 456 /spread 366 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 744 /lot 595 /lot
Spread Rate 224 /spread 179 /spread
HSBC Holdings Plc Full Rate 2,830 /lot 2,260 /lot
Spread Rate 849 /spread 678 /spread
Hong Kong and China Gas Co Ltd
(HKG: Multiplier =1000)
Full Rate 1,230 /lot 980 /lot
Spread Rate 369 /spread 294 /spread
Hong Kong and China Gas Co Ltd
(HKA: Multiplier =1100)
Full Rate 1,353 /lot 1,078 /lot
Spread Rate 406 /spread 323 /spread
Henderson Land Development Co Ltd
(HLD-Multiplier=1,000)
Full Rate 3,880 /lot 3,100 /lot
Spread Rate 1,170 /spread 930 /spread
Henderson Land Development Co Ltd
(HLA-Multiplier= 1,021)
Full Rate 3,961 /lot 3,165 /lot
Spread Rate 1,194 /spread 949 /spread
Huaneng Power International Inc Full Rate 573 /lot 458 /lot
Spread Rate 172 /spread 138 /spread
Hang Seng Bank Ltd Full Rate 657 /lot 526 /lot
Spread Rate 198 /spread 158 /spread
Hutchison Whampoa Ltd Full Rate 3,050 /lot 2,440 /lot
Spread Rate 915 /spread 732 /spread
Industrial and Commercial Bank of China Ltd Full Rate 466 /lot 373 /lot
Spread Rate 140 /spread 112 /spread
Li & Fung Ltd Full Rate 8,420 /lot 6,730 /lot
Spread Rate 2,530 /spread 2,020 /spread
MTR Corporation Ltd Full Rate 830 /lot 664 /lot
Spread Rate 249 /spread 200 /spread
New World Development Co Ltd Full Rate 1,160 /lot 922 /lot
Spread Rate 348 /spread 277 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 3,050 /lot 2,440 /lot
Spread Rate 915 /spread 732 /spread
PetroChina Company Ltd Full Rate 1,340 /lot 1,070 /lot
Spread Rate 402 /spread 321 /spread
PICC Property and Casualty Co Ltd Full Rate 1,450 /lot 1,160 /lot
Spread Rate 435 /spread 348 /spread
Sun Hung Kai PropertiesLtd Full Rate 7,610 /lot 6,090 /lot
Spread Rate 2,290 /spread 1,830 /spread
Swire Pacific Ltd "A"
(Trading Symbol: SWA& SWB)
Full Rate 3,550 /lot 2,840 /lot
Spread Rate 1,070 /spread 852 /spread
Wharf (Holdings) Ltd Full Rate 3,660 /lot 2,930 /lot
Spread Rate 1,100 /spread 879 /spread

   

 

 

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 5,750 /lot 4,600 /lot
Spread Rate 1,730 /spread 1,380 /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
2,720
per spread
2,180
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
2,720
per spread
2,180
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
2,500
per spread
2,000
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
1,870
per spread
1,500
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
967
per spread
773
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
408
per spread
327
per spread

  

Spread Margin Rates
for One-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
570
per spread
456
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
546
per spread
437
per spread
1st month vs 2nd month
1st month vs 3rd month
371
per spread
297
per spread
2nd month vs 3rd month 229
per spread
183
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
123
per spread
98
per spread


Ends

Updated 28 May 2010