HKFE Announces Revised Margins for Futures Contracts

Market Operations

26 Apr 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, 2 May 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	66,250	/lot	53,000	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	13,250	/lot	10,600	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	34,700	/lot	27,750	/lot
H-shares Index	Spread Rate	10,450	/spread	8,350	/spread

Mini H-shares Index	Full Rate	6,940	/lot	5,550	/lot
Mini H-shares Index	Spread Rate	2,090	/spread	1,670	/spread

HSCEI Dividend Point Index	Full Rate	1,880	/lot	1,510	/lot
HSCEI Dividend Point Index	Spread Rate	2,260	/spread	1,820	/spread

HSI Dividend Point Index	Full Rate	3,610	/lot	2,890	/lot
HSI Dividend Point Index	Spread Rate	4,340	/spread	3,470	/spread

HSI Volatility Index	Full Rate	31,560	/lot	25,250	/lot
	Spread Rate	9,470	/spread	7,580	/spread

IBOVESPA Futures	Full Rate	19,780	/lot	15,830	/lot
IBOVESPA Futures	Spread Rate	5,940	/spread	4,750	/spread

Sensex Index Futures	Full Rate	11,030	/lot	8,830	/lot
Sensex Index Futures	Spread Rate	3,310	/spread	2,650	/spread

FTSE/JSE Top40 Futures	Full Rate	18,940	/lot	15,150	/lot
FTSE/JSE Top40 Futures	Spread Rate	5,690	/spread	4,550	/spread

MICEX Index Futures	Full Rate	16,490	/lot	13,190	/lot
MICEX Index Futures	Spread Rate	4,950	/spread	3,960	/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	418	/lot	335	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	696	/lot	557	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	735	/lot	588	/lot
Aluminum Corporation of China Ltd	Spread Rate	221	/spread	177	/spread

Bank of China Ltd	Full Rate	206	/lot	165	/lot
Bank of China Ltd	Spread Rate	62	/spread	50	/spread

Bank of Communications Co Ltd	Full Rate	416	/lot	333	/lot
Bank of Communications Co Ltd	Spread Rate	125	/spread	100	/spread

The Bank of East Asia Ltd	Full Rate	366	/lot	293	/lot
The Bank of East Asia Ltd	Spread Rate	110	/spread	88	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	682	/lot	546	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	205	/spread	164	/spread

China Construction Bank Corporation	Full Rate	389	/lot	311	/lot
China Construction Bank Corporation	Spread Rate	117	/spread	94	/spread

China Communications Construction Co Ltd	Full Rate	829	/lot	663	/lot
China Communications Construction Co Ltd	Spread Rate	249	/spread	199	/spread

China Mobile Ltd	Full Rate	2,690	/lot	2,150	/lot
China Mobile Ltd	Spread Rate	807	/spread	645	/spread

China Unicom (Hong Kong) Ltd	Full Rate	2,210	/lot	1,770	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	663	/spread	531	/spread

CITIC Pacific Ltd	Full Rate	810	/lot	648	/lot
CITIC Pacific Ltd	Spread Rate	243	/spread	195	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,580	/lot	6,070	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,280	/spread	1,830	/spread

China Life Insurance Company Ltd	Full Rate	1,860	/lot	1,490	/lot
China Life Insurance Company Ltd	Spread Rate	558	/spread	447	/spread

CLP Holdings Ltd	Full Rate	2,080	/lot	1,670	/lot
CLP Holdings Ltd	Spread Rate	624	/spread	501	/spread

China Merchants Bank Co Ltd	Full Rate	618	/lot	495	/lot
China Merchants Bank Co Ltd	Spread Rate	186	/spread	149	/spread

CNOOC Ltd	Full Rate	1,210	/lot	968	/lot
CNOOC Ltd	Spread Rate	363	/spread	291	/spread

Cathay Pacific Airways Ltd	Full Rate	1,060	/lot	841	/lot
Cathay Pacific Airways Ltd	Spread Rate	318	/spread	253	/spread

China Petroleum & Chemical Corporation	Full Rate	1,140	/lot	912	/lot
China Petroleum & Chemical Corporation	Spread Rate	342	/spread	274	/spread

China Telecom Corporation Ltd	Full Rate	591	/lot	473	/lot
China Telecom Corporation Ltd	Spread Rate	178	/spread	142	/spread

Esprit Holdings Ltd	Full Rate	253	/lot	203	/lot
Esprit Holdings Ltd	Spread Rate	76	/spread	61	/spread

Foxconn International Holdings Ltd	Full Rate	831	/lot	665	/lot
Foxconn International Holdings Ltd	Spread Rate	250	/spread	200	/spread

Power Assets Holdings Ltd	Full Rate	1,750	/lot	1,400	/lot
Power Assets Holdings Ltd	Spread Rate	525	/spread	420	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	785	/lot	628	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	236	/spread	189	/spread

HSBC Holdings Plc	Full Rate	1,700	/lot	1,360	/lot
HSBC Holdings Plc	Spread Rate	510	/spread	408	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,280	/lot	1,030	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	384	/spread	309	/spread

Henderson Land Development Co Ltd	Full Rate	3,360	/lot	2,690	/lot
Henderson Land Development Co Ltd	Spread Rate	1,010	/spread	807	/spread

Huaneng Power International Inc	Full Rate	1,100	/lot	874	/lot
Huaneng Power International Inc	Spread Rate	330	/spread	263	/spread

Hang Seng Bank Ltd	Full Rate	650	/lot	520	/lot
Hang Seng Bank Ltd	Spread Rate	195	/spread	156	/spread

Hutchison Whampoa Ltd	Full Rate	4,610	/lot	3,690	/lot
Hutchison Whampoa Ltd	Spread Rate	1,390	/spread	1,110	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	364	/lot	291	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	110	/spread	88	/spread

Li & Fung Ltd	Full Rate	3,540	/lot	2,830	/lot
Li & Fung Ltd	Spread Rate	1,070	/spread	849	/spread

MTR Corporation Ltd	Full Rate	867	/lot	694	/lot
MTR Corporation Ltd	Spread Rate	261	/spread	209	/spread

New World Development Co Ltd (NWD - Multiplier = 1,000)	Full Rate	900	/lot	720	/lot
New World Development Co Ltd (NWD - Multiplier = 1,000)	Spread Rate	270	/spread	216	/spread

New World Development Co Ltd (NWA - Multiplier = 1,089)	Full Rate	980	/lot	784	/lot
New World Development Co Ltd (NWA - Multiplier = 1,089)	Spread Rate	294	/spread	235	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,690	/lot	2,150	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	807	/spread	645	/spread

PetroChina Company Ltd	Full Rate	1,430	/lot	1,140	/lot
PetroChina Company Ltd	Spread Rate	429	/spread	342	/spread

PICC Property and Casualty Company Limited (PIC - Multiplier = 2,000)	Full Rate	2,140	/lot	1,710	/lot
	Spread Rate	642	/spread	513	/spread

PICC Property and Casualty Company Limited (PIA - Multiplier = 2,098)	Full Rate	2,245	/lot	1,794	/lot
	Spread Rate	673	/spread	538	/spread

Sun Hung Kai Properties Ltd	Full Rate	12,780	/lot	10,230	/lot
Sun Hung Kai Properties Ltd	Spread Rate	3,840	/spread	3,070	/spread

Swire Pacific Ltd 'A' (SWA - Multiplier = 500)	Full Rate	2,800	/lot	2,240	/lot
Swire Pacific Ltd 'A' (SWA - Multiplier = 500)	Spread Rate	840	/spread	672	/spread

Swire Pacific Ltd 'A' (SWE - Multiplier = 575)	Full Rate	3,222	/lot	2,578	/lot
Swire Pacific Ltd 'A' (SWE - Multiplier = 575)	Spread Rate	967	/spread	773	/spread

Wharf (Holdings) Ltd	Full Rate	3,590	/lot	2,880	/lot
Wharf (Holdings) Ltd	Spread Rate	1,080	/spread	864	/spread

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

Gold Futures	Full Rate	8,190	/lot	6,550	/lot
Gold Futures	Spread Rate	2,460	/spread	1,970	/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	1,320 per spread	1,050 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	1,250 per spread	999 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	1,140 per spread	911 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	955 per spread	764 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	702 per spread	562 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	209 per spread	168 per spread

Spread Margin Rates
for One-Month HIBOR Futures

Spread Combination	Initial Margin (HK$)	Maintenance Margin (HK$)
1st month vs 2nd month 1st month vs 3rd month	701 per spread	561 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	681 per spread	545 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	611 per spread	489 per spread
2nd month vs 3rd month	573 per spread	459 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	126 per spread	101 per spread

Ends

Updated 26 Apr 2012