HKFE Announces Revised Margins for Futures Contracts

Market Operations

28 Nov 2011

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 Thursday, 1 December 2011, 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	93,300	/lot		74,650	/lot
Hang Seng Index	Spread Rate	7,500	/spread		6,000	/spread

Mini-Hang Seng Index	Full Rate	18,660	/lot		14,930	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread		1,200	/spread

H-shares Index	Full Rate	59,650	/lot		47,700	/lot
H-shares Index	Spread Rate	17,900	/spread		14,350	/spread

Mini H-shares Index	Full Rate	11,930	/lot		9,540	/lot
Mini H-shares Index	Spread Rate	3,580	/spread		2,870	/spread

HSCEI Dividend Point Index	Full Rate	1,560	/lot		1,250	/lot
HSCEI Dividend Point Index	Spread Rate	1,880	/spread		1,500	/spread

HSI Dividend Point Index	Full Rate	3,290	/lot		2,640	/lot
HSI Dividend Point Index	Spread Rate	3,950	/spread		3,170	/spread

Three-Year EFN	Full Rate	10,910	/lot		8,730	/lot
Three-Year EFN	Spread Rate	3,280	/spread		2,620	/spread

One-Month HIBOR	Full Rate	809	/lot		647	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	1,040	/lot	830		/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	1,740	/lot	1,390		/lot
Aluminum Corporation of China Ltd	Spread Rate	522	/spread	417		/spread

Bank of China Ltd	Full Rate	352	/lot	281		/lot
Bank of China Ltd	Spread Rate	106	/spread	85		/spread

Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Full Rate	842	/lot	674		/lot
Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Spread Rate	253	/spread	203		/spread

Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Full Rate	926	/lot	741		/lot
Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Spread Rate	278	/spread	223		/spread

The Bank of East Asia Ltd	Full Rate	666	/lot	533		/lot
The Bank of East Asia Ltd	Spread Rate	200	/spread	160		/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	1,070	/lot	851		/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	321	/spread	256		/spread

China Construction Bank Corporation	Full Rate	626	/lot	501		/lot
China Construction Bank Corporation	Spread Rate	188	/spread	151		/spread

China Communications Construction Co Ltd	Full Rate	841	/lot	673		/lot
China Communications Construction Co Ltd	Spread Rate	253	/spread	202		/spread

China Mobile Ltd	Full Rate	2,380	/lot	1,900		/lot
China Mobile Ltd	Spread Rate	714	/spread	570		/spread

China Unicom (Hong Kong) Ltd	Full Rate	3,510	/lot	2,810		/lot
China Unicom (Hong Kong) Ltd	Spread Rate	1,060	/spread	843		/spread

CITIC Pacific Ltd	Full Rate	2,200	/lot	1,760		/lot
CITIC Pacific Ltd	Spread Rate	660	/spread	528		/spread

Cheung Kong (Holdings) Ltd	Full Rate	11,370	/lot	9,100		/lot
Cheung Kong (Holdings) Ltd	Spread Rate	3,420	/spread	2,730		/spread

China Life Insurance Company Ltd	Full Rate	3,300	/lot	2,640		/lot
China Life Insurance Company Ltd	Spread Rate	990	/spread	792		/spread

CLP Holdings Ltd	Full Rate	2,140	/lot	1,710		/lot
CLP Holdings Ltd	Spread Rate	642	/spread	513		/spread

China Merchants Bank Co Ltd	Full Rate	1,460	/lot	1,170		/lot
China Merchants Bank Co Ltd	Spread Rate	438	/spread	351		/spread

CNOOC Ltd	Full Rate	2,160	/lot	1,730		/lot
CNOOC Ltd	Spread Rate	648	/spread	519		/spread

Cathay Pacific Airways Ltd	Full Rate	1,490	/lot	1,190		/lot
Cathay Pacific Airways Ltd	Spread Rate	447	/spread	357		/spread

China Petroleum & Chemical Corporation	Full Rate	1,630	/lot	1,300		/lot
China Petroleum & Chemical Corporation	Spread Rate	489	/spread	390		/spread

China Telecom Corporation Ltd	Full Rate	831	/lot	665		/lot
China Telecom Corporation Ltd	Spread Rate	250	/spread	200		/spread

Esprit Holdings Ltd	Full Rate	324	/lot	259		/lot
Esprit Holdings Ltd	Spread Rate	98	/spread	78		/spread

Foxconn International Holdings Ltd	Full Rate	651	/lot	521		/lot
Foxconn International Holdings Ltd	Spread Rate	196	/spread	157		/spread

Power Assets Holdings Ltd	Full Rate	1,870	/lot	1,500		/lot
Power Assets Holdings Ltd	Spread Rate	561	/spread	450		/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,820	/lot	1,460		/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	546	/spread	438		/spread

HSBC Holdings Plc	Full Rate	3,150	/lot	2,520		/lot
HSBC Holdings Plc	Spread Rate	945	/spread	756		/spread

Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Full Rate	1,140	/lot	906		/lot
Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Spread Rate	342	/spread	272		/spread

Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Full Rate	1,254	/lot	997		/lot
Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Spread Rate	376	/spread	299		/spread

Henderson Land Development Co Ltd	Full Rate	5,010	/lot	4,010		/lot
Henderson Land Development Co Ltd	Spread Rate	1,510	/spread	1,210		/spread

Huaneng Power International Inc	Full Rate	1,040	/lot	829		/lot
Huaneng Power International Inc	Spread Rate	312	/spread	249		/spread

Hang Seng Bank Ltd	Full Rate	851	/lot	681		/lot
Hang Seng Bank Ltd	Spread Rate	256	/spread	205		/spread

Hutchison Whampoa Ltd	Full Rate	7,940	/lot	6,360		/lot
Hutchison Whampoa Ltd	Spread Rate	2,390	/spread	1,910		/spread

Industrial and Commercial Bank of China Ltd	Full Rate	760	/lot	608		/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	228	/spread	183		/spread

Li & Fung Ltd (LIF: Multiplier = 2,000)	Full Rate	4,760	/lot	3,810		/lot
Li & Fung Ltd (LIF: Multiplier = 2,000)	Spread Rate	1,430	/spread	1,150		/spread

Li & Fung Ltd (LIA: Multiplier = 4,000 )	Full Rate	9,520	/lot	7,620		/lot
Li & Fung Ltd (LIA: Multiplier = 4,000 )	Spread Rate	2,860	/spread	2,300		/spread

MTR Corporation Ltd	Full Rate	879	/lot	703		/lot
MTR Corporation Ltd	Spread Rate	264	/spread	211		/spread

New World Development Co Ltd (NWD - Multiplier = 1,000)	Full Rate	1,310	/lot	1,050		/lot
New World Development Co Ltd (NWD - Multiplier = 1,000)	Spread Rate	393	/spread	315		/spread

New World Development Co Ltd (NWA - Multiplier = 1,089)	Full Rate	1,426	/lot	1,143		/lot
New World Development Co Ltd (NWA - Multiplier = 1,089)	Spread Rate	428	/spread	343		/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	5,480	/lot	4,390		/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	1,650	/spread	1,320		/spread

PetroChina Company Ltd	Full Rate	1,970	/lot	1,570		/lot
PetroChina Company Ltd	Spread Rate	591	/spread	471		/spread

PICC Property and Casualty Co Ltd	Full Rate	3,880	/lot	3,110		/lot
PICC Property and Casualty Co Ltd	Spread Rate	1,170	/spread	933		/spread

Sun Hung Kai Properties Ltd	Full Rate	11,120	/lot	8,900		/lot
Sun Hung Kai Properties Ltd	Spread Rate	3,340	/spread	2,670		/spread

Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Full Rate	4,540	/lot	3,630		/lot
Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Spread Rate	1,370	/spread	1,090		/spread

Swire Pacific Ltd “A” (SWB - Multiplier = 515)	Full Rate	4,679	/lot	3,741		/lot
Swire Pacific Ltd “A” (SWB - Multiplier = 515)	Spread Rate	1,412	/spread	1,123		/spread

Wharf (Holdings) Ltd	Full Rate	6,510	/lot	5,210		/lot
Wharf (Holdings) Ltd	Spread Rate	1,960	/spread	1,570		/spread

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

Gold Futures	Full Rate	11,560	/lot	9,250	/lot
Gold Futures	Spread Rate	3,470	/spread	2,780	/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 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	1,420 per spread	1,140 per spread
1st month vs 3rd month 1st month vs 4th month 1st month vs 5th month 2nd month vs 3rd month 2nd month vs 4th month 2nd month vs 5th month	1,360 per spread	1,090 per spread
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 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	1,220 per spread	975 per spread
3rd month vs 4th month 3rd month vs 5th month 4th month vs 5th month	1,200 per spread	958 per spread
1st month vs 2nd month	1,030 per spread	819 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	312 per spread	249 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	962 per spread	769 per spread
1st month vs 2nd month 1st month vs 3rd month	837 per spread	670 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	442 per spread	354 per spread
2nd month vs 3rd month	305 per spread	244 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	243 per spread	195 per spread

Ends

Updated 28 Nov 2011