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HKFE Announces Revised Margins for Futures Contracts

Market Operations
28 Dec 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 Tuesday, 3 January 2012, 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 79,050 /lot 63,250 /lot
Spread Rate 7,500 /spread 6,000 /spread
Mini-Hang Seng Index Full Rate 15,810 /lot 12,650 /lot
Spread Rate 1,500 /spread 1,200 /spread
H-shares Index Full Rate 52,750 /lot 42,200 /lot
Spread Rate 15,850 /spread 12,700 /spread
Mini H-shares Index Full Rate 10,550 /lot 8,440 /lot
Spread Rate 3,170 /spread 2,540 /spread
HSCEI Dividend Point Index Full Rate 1,590 /lot 1,270 /lot
Spread Rate 1,910 /spread 1,530 /spread
HSI Dividend Point Index Full Rate 3,340 /lot 2,680 /lot
Spread Rate 4,010 /spread 3,220 /spread
Three-Year EFN Full Rate 10,720 /lot 8,580 /lot
Spread Rate 3,220 /spread 2,580 /spread
One-Month HIBOR Full Rate 1,210 /lot 961 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 1,040 /lot 828 /lot
Spread Rate Please refer to attached table
Aluminum Corporation
of China Ltd
Full Rate 1,390 /lot 1,110 /lot
Spread Rate 417 /spread 333 /spread
Bank of China Ltd Full Rate 349 /lot 280 /lot
Spread Rate 105 /spread 84 /spread
Bank of Communications Co Ltd
(BCM
- Multiplier =1,000)
Full Rate 748 /lot 598 /lot
Spread Rate 225 /spread 180 /spread
Bank of Communications Co Ltd
(BCA
- Multiplier =1,100)
Full Rate 823 /lot 658 /lot
Spread Rate 247 /spread 198 /spread
The Bank of East Asia Ltd Full Rate 631 /lot 505 /lot
Spread Rate 190 /spread 152 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 868 /lot 694 /lot
Spread Rate 261 /spread 209 /spread
China Construction Bank Corporation Full Rate 511 /lot 409 /lot
Spread Rate 154 /spread 123 /spread
China Communications Construction Co Ltd Full Rate 733 /lot 586 /lot
Spread Rate 220 /spread 176 /spread
China Mobile Ltd Full Rate 2,290 /lot 1,840 /lot
Spread Rate 687 /spread 552 /spread
China Unicom (Hong Kong) Ltd Full Rate 3,110 /lot 2,490 /lot
Spread Rate 933 /spread 747 /spread
CITIC Pacific Ltd Full Rate 1,620 /lot 1,300 /lot
Spread Rate 486 /spread 390 /spread
Cheung Kong (Holdings) Ltd Full Rate 8,900 /lot 7,120 /lot
Spread Rate 2,670 /spread 2,140 /spread
China Life Insurance Company Ltd Full Rate 3,020 /lot 2,410 /lot
Spread Rate 906 /spread 723 /spread
CLP Holdings Ltd Full Rate 2,020 /lot 1,620 /lot
Spread Rate 606 /spread 486 /spread
China Merchants Bank
Co Ltd
Full Rate 1,290 /lot 1,030 /lot
Spread Rate 387 /spread 309 /spread
CNOOC Ltd Full Rate 1,940 /lot 1,550 /lot
Spread Rate 582 /spread 465 /spread
Cathay Pacific Airways Ltd Full Rate 1,230 /lot 983 /lot
Spread Rate 369 /spread 295 /spread
China Petroleum & Chemical Corporation Full Rate 1,260 /lot 1,010 /lot
Spread Rate 378 /spread 303 /spread
China Telecom Corporation Ltd Full Rate 725 /lot 580 /lot
Spread Rate 218 /spread 174 /spread
Esprit Holdings Ltd Full Rate 277 /lot 221 /lot
Spread Rate 84 /spread 67 /spread
Foxconn International Holdings Ltd Full Rate 700 /lot 560 /lot
Spread Rate 210 /spread 168 /spread
Power Assets Holdings Ltd Full Rate 1,800 /lot 1,440 /lot
Spread Rate 540 /spread 432 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 1,500 /lot 1,200 /lot
Spread Rate 450 /spread 360 /spread
HSBC Holdings Plc Full Rate 2,640 /lot 2,120 /lot
Spread Rate 792 /spread 636 /spread
Hong Kong and China Gas Co Ltd Full Rate 1,110 /lot 883 /lot
Spread Rate 333 /spread 265 /spread
Henderson Land Development Co Ltd Full Rate 4,270 /lot 3,410 /lot
Spread Rate 1,290 /spread 1,030 /spread
Huaneng Power International Inc Full Rate 1,010 /lot 804 /lot
Spread Rate 303 /spread 242 /spread
Hang Seng Bank Ltd Full Rate 710 /lot 568 /lot
Spread Rate 213 /spread 171 /spread
Hutchison Whampoa Ltd Full Rate 6,530 /lot 5,220 /lot
Spread Rate 1,960 /spread 1,570 /spread
Industrial and Commercial Bank of China Ltd Full Rate 666 /lot 533 /lot
Spread Rate 200 /spread 160 /spread
Li & Fung Ltd Full Rate 4,760 /lot 3,810 /lot
Spread Rate 1,430 /spread 1,150 /spread
MTR Corporation Ltd Full Rate 766 /lot 613 /lot
Spread Rate 230 /spread 184 /spread
New World Development Co Ltd
(NWD - Multiplier = 1,000)
Full Rate 996 /lot 797 /lot
Spread Rate 299 /spread 240 /spread
New World Development Co Ltd
(NWA - Multiplier = 1,089)
Full Rate 1,084 /lot 868 /lot
Spread Rate 326 /spread 261 /spread

Ping An Insurance (Group) Co of China Ltd
Full Rate 4,950 /lot 3,960 /lot
Spread Rate 1,490 /spread 1,190 /spread
PetroChina Company Ltd Full Rate 1,900 /lot 1,520 /lot
Spread Rate 570 /spread 456 /spread
PICC Property and Casualty Co Ltd Full Rate 3,360 /lot 2,690 /lot
Spread Rate 1,010 /spread 807 /spread

Sun Hung Kai Properties Ltd
Full Rate 9,100 /lot 7,280 /lot
Spread Rate 2,730 /spread 2,190 /spread
Swire Pacific Ltd “A”
(SWA - Multiplier = 500)
Full Rate 3,600 /lot 2,880 /lot
Spread Rate 1,080 /spread 864 /spread
Swire Pacific Ltd “A”
(SWB - Multiplier = 515)
Full Rate 3,711 /lot 2,968 /lot
Spread Rate 1,113 /spread 891 /spread
Wharf (Holdings) Ltd Full Rate 5,260 /lot 4,210 /lot
Spread Rate 1,580 /spread 1,270 /spread

 

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 10,970 /lot 8,780 /lot
Spread Rate 3,300 /spread 2,640 /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
      1,500
per spread
      1,200
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
    1,390
per spread
    1,120
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
        1,370
per spread
        1,090
per spread
3rd month vs 4th month
3rd month vs 5th month
4th month vs 5th month
  1,220
per spread
  975
per spread
1st month vs 2nd month   924
per spread
  740
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
      422
per spread
      338
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
  1,010
per spread
  806
per spread
1st month vs 2nd month
1st month vs 3rd month
  923
per spread
  738
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
    664
per spread
    532
per spread
2nd month vs 3rd month   604
per spread
  483
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
  363
per spread
  291
per spread


Ends

Updated 28 Dec 2011

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