HKFE Announces Revised Margins for Futures Contracts

Market Operations

30 Jan 2012

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, 1 February 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	67,650	/lot	54,100	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	13,530	/lot	10,820	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	46,250	/lot	37,000	/lot
H-shares Index	Spread Rate	13,900	/spread	11,100	/spread

Mini H-shares Index	Full Rate	9,250	/lot	7,400	/lot
Mini H-shares Index	Spread Rate	2,780	/spread	2,220	/spread

HSCEI Dividend Point Index	Full Rate	1,680	/lot	1,340	/lot
HSCEI Dividend Point Index	Spread Rate	2,020	/spread	1,610	/spread

HSI Dividend Point Index	Full Rate	3,430	/lot	2,740	/lot
HSI Dividend Point Index	Spread Rate	4,120	/spread	3,290	/spread

Three-Year EFN	Full Rate	10,890	/lot	8,710	/lot
Three-Year EFN	Spread Rate	3,270	/spread	2,620	/spread

One-Month HIBOR	Full Rate	1,040	/lot	825	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	1,160	/lot	927	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	1,140	/lot	910	/lot
Aluminum Corporation of China Ltd	Spread Rate	342	/spread	273	/spread

Bank of China Ltd	Full Rate	311	/lot	249	/lot
Bank of China Ltd	Spread Rate	94	/spread	75	/spread

Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Full Rate	631	/lot	505	/lot
Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Spread Rate	190	/spread	152	/spread

Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Full Rate	694	/lot	556	/lot
Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Spread Rate	209	/spread	167	/spread

The Bank of East Asia Ltd	Full Rate	535	/lot	428	/lot
The Bank of East Asia Ltd	Spread Rate	161	/spread	129	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	736	/lot	589	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	221	/spread	177	/spread

China Construction Bank Corporation	Full Rate	429	/lot	343	/lot
China Construction Bank Corporation	Spread Rate	129	/spread	103	/spread

China Communications Construction Co Ltd	Full Rate	603	/lot	482	/lot
China Communications Construction Co Ltd	Spread Rate	181	/spread	145	/spread

China Mobile Ltd	Full Rate	2,360	/lot	1,890	/lot
China Mobile Ltd	Spread Rate	708	/spread	567	/spread

China Unicom (Hong Kong) Ltd	Full Rate	3,390	/lot	2,710	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	1,020	/spread	813	/spread

CITIC Pacific Ltd	Full Rate	1,240	/lot	991	/lot
CITIC Pacific Ltd	Spread Rate	372	/spread	298	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,610	/lot	6,090	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,290	/spread	1,830	/spread

China Life Insurance Company Ltd	Full Rate	2,650	/lot	2,120	/lot
China Life Insurance Company Ltd	Spread Rate	795	/spread	636	/spread

CLP Holdings Ltd	Full Rate	1,950	/lot	1,560	/lot
CLP Holdings Ltd	Spread Rate	585	/spread	468	/spread

China Merchants Bank Co Ltd	Full Rate	1,050	/lot	834	/lot
China Merchants Bank Co Ltd	Spread Rate	315	/spread	251	/spread

CNOOC Ltd	Full Rate	1,680	/lot	1,340	/lot
CNOOC Ltd	Spread Rate	504	/spread	402	/spread

Cathay Pacific Airways Ltd	Full Rate	998	/lot	798	/lot
Cathay Pacific Airways Ltd	Spread Rate	300	/spread	240	/spread

China Petroleum & Chemical Corporation	Full Rate	1,520	/lot	1,220	/lot
China Petroleum & Chemical Corporation	Spread Rate	456	/spread	366	/spread

China Telecom Corporation Ltd	Full Rate	843	/lot	674	/lot
China Telecom Corporation Ltd	Spread Rate	253	/spread	203	/spread

Esprit Holdings Ltd	Full Rate	197	/lot	158	/lot
Esprit Holdings Ltd	Spread Rate	60	/spread	48	/spread

Foxconn International Holdings Ltd	Full Rate	608	/lot	486	/lot
Foxconn International Holdings Ltd	Spread Rate	183	/spread	146	/spread

Power Assets Holdings Ltd	Full Rate	1,690	/lot	1,360	/lot
Power Assets Holdings Ltd	Spread Rate	507	/spread	408	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,170	/lot	933	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	351	/spread	280	/spread

HSBC Holdings Plc	Full Rate	2,090	/lot	1,670	/lot
HSBC Holdings Plc	Spread Rate	627	/spread	501	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,150	/lot	916	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	345	/spread	275	/spread

Henderson Land Development Co Ltd	Full Rate	3,560	/lot	2,850	/lot
Henderson Land Development Co Ltd	Spread Rate	1,070	/spread	855	/spread

Huaneng Power International Inc	Full Rate	838	/lot	670	/lot
Huaneng Power International Inc	Spread Rate	252	/spread	201	/spread

Hang Seng Bank Ltd	Full Rate	594	/lot	475	/lot
Hang Seng Bank Ltd	Spread Rate	179	/spread	143	/spread

Hutchison Whampoa Ltd	Full Rate	5,830	/lot	4,660	/lot
Hutchison Whampoa Ltd	Spread Rate	1,750	/spread	1,400	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	644	/lot	515	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	194	/spread	155	/spread

Li & Fung Ltd	Full Rate	3,840	/lot	3,080	/lot
Li & Fung Ltd	Spread Rate	1,160	/spread	924	/spread

MTR Corporation Ltd	Full Rate	787	/lot	630	/lot
MTR Corporation Ltd	Spread Rate	237	/spread	189	/spread

New World Development Co Ltd (NWD - Multiplier = 1,000)	Full Rate	813	/lot	650	/lot
New World Development Co Ltd (NWD - Multiplier = 1,000)	Spread Rate	244	/spread	195	/spread

New World Development Co Ltd (NWA - Multiplier = 1,089)	Full Rate	885	/lot	708	/lot
New World Development Co Ltd (NWA - Multiplier = 1,089)	Spread Rate	266	/spread	212	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	4,140	/lot	3,310	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	1,250	/spread	993	/spread

PetroChina Company Ltd	Full Rate	1,820	/lot	1,460	/lot
PetroChina Company Ltd	Spread Rate	546	/spread	438	/spread

PICC Property and Casualty Company Limited (PIC - Multiplier = 2,000)	Full Rate	2,930	/lot	2,350	/lot
	Spread Rate	879	/spread	705	/spread

PICC Property and Casualty Company Limited (PIA - Multiplier = 2,098)	Full Rate	3,073	/lot	2,465	/lot
	Spread Rate	922	/spread	739	/spread

Sun Hung Kai Properties Ltd	Full Rate	7,400	/lot	5,920	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,220	/spread	1,780	/spread

Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Full Rate	3,500	/lot	2,800	/lot
Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Spread Rate	1,050	/spread	840	/spread

Swire Pacific Ltd. 'A' (SWE - Multiplier = 575)	Full Rate	4,028	/lot	3,223	/lot
Swire Pacific Ltd. 'A' (SWE - Multiplier = 575)	Spread Rate	1,208	/spread	967	/spread

Swire Pacific Ltd. 'A' (SWF - Multiplier = 575)	Full Rate	4,028	/lot	3,223	/lot
Swire Pacific Ltd. 'A' (SWF - Multiplier = 575)	Spread Rate	1,208	/spread	967	/spread

Wharf (Holdings) Ltd	Full Rate	4,330	/lot	3,460	/lot
Wharf (Holdings) Ltd	Spread Rate	1,300	/spread	1,040	/spread

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

Gold Futures	Full Rate	8,790	/lot	7,030	/lot
Gold Futures	Spread Rate	2,640	/spread	2,110	/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	1,340 per spread	1,080 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	1,280 per spread	1,030 per spread
3rd month vs 4th month 3rd month vs 5th month 4th month vs 5th month	1,120 per spread	890 per spread
1st month vs 2nd month	894 per spread	716 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	429 per spread	344 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	929 per spread	743 per spread
1st month vs 2nd month 1st month vs 3rd month	875 per spread	700 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	654 per spread	523 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	312 per spread	248 per spread

Ends

Updated 30 Jan 2012