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
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	15,810	/lot	12,650	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	52,750	/lot	42,200	/lot
H-shares Index	Spread Rate	15,850	/spread	12,700	/spread

Mini H-shares Index	Full Rate	10,550	/lot	8,440	/lot
Mini H-shares Index	Spread Rate	3,170	/spread	2,540	/spread

HSCEI Dividend Point Index	Full Rate	1,590	/lot	1,270	/lot
HSCEI Dividend Point Index	Spread Rate	1,910	/spread	1,530	/spread

HSI Dividend Point Index	Full Rate	3,340	/lot	2,680	/lot
HSI Dividend Point Index	Spread Rate	4,010	/spread	3,220	/spread

Three-Year EFN	Full Rate	10,720	/lot	8,580	/lot
Three-Year EFN	Spread Rate	3,220	/spread	2,580	/spread

One-Month HIBOR	Full Rate	1,210	/lot	961	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	1,040	/lot	828	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	1,390	/lot	1,110	/lot
Aluminum Corporation of China Ltd	Spread Rate	417	/spread	333	/spread

Bank of China Ltd	Full Rate	349	/lot	280	/lot
Bank of China Ltd	Spread Rate	105	/spread	84	/spread

Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Full Rate	748	/lot	598	/lot
Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Spread Rate	225	/spread	180	/spread

Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Full Rate	823	/lot	658	/lot
Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Spread Rate	247	/spread	198	/spread

The Bank of East Asia Ltd	Full Rate	631	/lot	505	/lot
The Bank of East Asia Ltd	Spread Rate	190	/spread	152	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	868	/lot	694	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	261	/spread	209	/spread

China Construction Bank Corporation	Full Rate	511	/lot	409	/lot
China Construction Bank Corporation	Spread Rate	154	/spread	123	/spread

China Communications Construction Co Ltd	Full Rate	733	/lot	586	/lot
China Communications Construction Co Ltd	Spread Rate	220	/spread	176	/spread

China Mobile Ltd	Full Rate	2,290	/lot	1,840	/lot
China Mobile Ltd	Spread Rate	687	/spread	552	/spread

China Unicom (Hong Kong) Ltd	Full Rate	3,110	/lot	2,490	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	933	/spread	747	/spread

CITIC Pacific Ltd	Full Rate	1,620	/lot	1,300	/lot
CITIC Pacific Ltd	Spread Rate	486	/spread	390	/spread

Cheung Kong (Holdings) Ltd	Full Rate	8,900	/lot	7,120	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,670	/spread	2,140	/spread

China Life Insurance Company Ltd	Full Rate	3,020	/lot	2,410	/lot
China Life Insurance Company Ltd	Spread Rate	906	/spread	723	/spread

CLP Holdings Ltd	Full Rate	2,020	/lot	1,620	/lot
CLP Holdings Ltd	Spread Rate	606	/spread	486	/spread

China Merchants Bank Co Ltd	Full Rate	1,290	/lot	1,030	/lot
China Merchants Bank Co Ltd	Spread Rate	387	/spread	309	/spread

CNOOC Ltd	Full Rate	1,940	/lot	1,550	/lot
CNOOC Ltd	Spread Rate	582	/spread	465	/spread

Cathay Pacific Airways Ltd	Full Rate	1,230	/lot	983	/lot
Cathay Pacific Airways Ltd	Spread Rate	369	/spread	295	/spread

China Petroleum & Chemical Corporation	Full Rate	1,260	/lot	1,010	/lot
China Petroleum & Chemical Corporation	Spread Rate	378	/spread	303	/spread

China Telecom Corporation Ltd	Full Rate	725	/lot	580	/lot
China Telecom Corporation Ltd	Spread Rate	218	/spread	174	/spread

Esprit Holdings Ltd	Full Rate	277	/lot	221	/lot
Esprit Holdings Ltd	Spread Rate	84	/spread	67	/spread

Foxconn International Holdings Ltd	Full Rate	700	/lot	560	/lot
Foxconn International Holdings Ltd	Spread Rate	210	/spread	168	/spread

Power Assets Holdings Ltd	Full Rate	1,800	/lot	1,440	/lot
Power Assets Holdings Ltd	Spread Rate	540	/spread	432	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,500	/lot	1,200	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	450	/spread	360	/spread

HSBC Holdings Plc	Full Rate	2,640	/lot	2,120	/lot
HSBC Holdings Plc	Spread Rate	792	/spread	636	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,110	/lot	883	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	333	/spread	265	/spread

Henderson Land Development Co Ltd	Full Rate	4,270	/lot	3,410	/lot
Henderson Land Development Co Ltd	Spread Rate	1,290	/spread	1,030	/spread

Huaneng Power International Inc	Full Rate	1,010	/lot	804	/lot
Huaneng Power International Inc	Spread Rate	303	/spread	242	/spread

Hang Seng Bank Ltd	Full Rate	710	/lot	568	/lot
Hang Seng Bank Ltd	Spread Rate	213	/spread	171	/spread

Hutchison Whampoa Ltd	Full Rate	6,530	/lot	5,220	/lot
Hutchison Whampoa Ltd	Spread Rate	1,960	/spread	1,570	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	666	/lot	533	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	200	/spread	160	/spread

Li & Fung Ltd	Full Rate	4,760	/lot	3,810	/lot
Li & Fung Ltd	Spread Rate	1,430	/spread	1,150	/spread

MTR Corporation Ltd	Full Rate	766	/lot	613	/lot
MTR Corporation Ltd	Spread Rate	230	/spread	184	/spread

New World Development Co Ltd (NWD - Multiplier = 1,000)	Full Rate	996	/lot	797	/lot
New World Development Co Ltd (NWD - Multiplier = 1,000)	Spread Rate	299	/spread	240	/spread

New World Development Co Ltd (NWA - Multiplier = 1,089)	Full Rate	1,084	/lot	868	/lot
New World Development Co Ltd (NWA - Multiplier = 1,089)	Spread Rate	326	/spread	261	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	4,950	/lot	3,960	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	1,490	/spread	1,190	/spread

PetroChina Company Ltd	Full Rate	1,900	/lot	1,520	/lot
PetroChina Company Ltd	Spread Rate	570	/spread	456	/spread

PICC Property and Casualty Co Ltd	Full Rate	3,360	/lot	2,690	/lot
PICC Property and Casualty Co Ltd	Spread Rate	1,010	/spread	807	/spread

Sun Hung Kai Properties Ltd	Full Rate	9,100	/lot	7,280	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,730	/spread	2,190	/spread

Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Full Rate	3,600	/lot	2,880	/lot
Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Spread Rate	1,080	/spread	864	/spread

Swire Pacific Ltd “A” (SWB - Multiplier = 515)	Full Rate	3,711	/lot	2,968	/lot
Swire Pacific Ltd “A” (SWB - Multiplier = 515)	Spread Rate	1,113	/spread	891	/spread

Wharf (Holdings) Ltd	Full Rate	5,260	/lot	4,210	/lot
Wharf (Holdings) Ltd	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
Gold Futures	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