HKFE Announces Revised Margins for Futures Contracts

Market Operations

29 Oct 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 Thursday, 1 November 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	67,800	/lot	54,250	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	13,560	/lot	10,850	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	33,650	/lot	26,900	/lot
H-shares Index	Spread Rate	10,100	/spread	8,100	/spread

Mini H-shares Index	Full Rate	6,730	/lot	5,380	/lot
Mini H-shares Index	Spread Rate	2,020	/spread	1,620	/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	24,300	/lot	19,440	/lot
HSI Volatility Index	Spread Rate	7,290	/spread	5,840	/spread

IBOVESPA Futures	Full Rate	18,560	/lot	14,850	/lot
IBOVESPA Futures	Spread Rate	5,570	/spread	4,460	/spread

Sensex Index Futures	Full Rate	11,760	/lot	9,410	/lot
Sensex Index Futures	Spread Rate	3,530	/spread	2,830	/spread

FTSE/JSE Top40 Futures	Full Rate	20,600	/lot	16,480	/lot
FTSE/JSE Top40 Futures	Spread Rate	6,180	/spread	4,950	/spread

MICEX Index Futures	Full Rate	16,450	/lot	13,160	/lot
MICEX Index Futures	Spread Rate	4,940	/spread	3,950	/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	235	/lot	188	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	424	/lot	339	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	714	/lot	571	/lot
Aluminum Corporation of China Ltd	Spread Rate	215	/spread	172	/spread

Bank of China Ltd	Full Rate	190	/lot	152	/lot
Bank of China Ltd	Spread Rate	57	/spread	46	/spread

Bank of Communications Co Ltd	Full Rate	406	/lot	325	/lot
Bank of Communications Co Ltd	Spread Rate	122	/spread	98	/spread

The Bank of East Asia Ltd	Full Rate	370	/lot	296	/lot
The Bank of East Asia Ltd	Spread Rate	111	/spread	89	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	752	/lot	602	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	226	/spread	181	/spread

China Construction Bank Corporation	Full Rate	417	/lot	334	/lot
China Construction Bank Corporation	Spread Rate	126	/spread	101	/spread

China Communications Construction Co Ltd	Full Rate	743	/lot	594	/lot
China Communications Construction Co Ltd	Spread Rate	223	/spread	179	/spread

China Mobile Ltd	Full Rate	2,700	/lot	2,160	/lot
China Mobile Ltd	Spread Rate	810	/spread	648	/spread

China Unicom (Hong Kong) Ltd	Full Rate	2,020	/lot	1,620	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	606	/spread	486	/spread

CITIC Pacific Ltd	Full Rate	902	/lot	721	/lot
CITIC Pacific Ltd	Spread Rate	271	/spread	217	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,280	/lot	5,830	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,190	/spread	1,750	/spread

China Life Insurance Company Ltd	Full Rate	1,430	/lot	1,150	/lot
China Life Insurance Company Ltd	Spread Rate	429	/spread	345	/spread

CLP Holdings Ltd	Full Rate	2,070	/lot	1,660	/lot
CLP Holdings Ltd	Spread Rate	621	/spread	498	/spread

China Merchants Bank Co Ltd	Full Rate	499	/lot	400	/lot
China Merchants Bank Co Ltd	Spread Rate	150	/spread	120	/spread

CNOOC Ltd	Full Rate	1,090	/lot	868	/lot
CNOOC Ltd	Spread Rate	327	/spread	261	/spread

Cathay Pacific Airways Ltd	Full Rate	864	/lot	691	/lot
Cathay Pacific Airways Ltd	Spread Rate	260	/spread	208	/spread

China Petroleum & Chemical Corporation	Full Rate	1,030	/lot	820	/lot
China Petroleum & Chemical Corporation	Spread Rate	309	/spread	246	/spread

China Telecom Corporation Ltd	Full Rate	720	/lot	576	/lot
China Telecom Corporation Ltd	Spread Rate	216	/spread	173	/spread

Esprit Holdings Ltd (ESP - Multiplier = 100)	Full Rate	158	/lot	126	/lot
Esprit Holdings Ltd (ESP - Multiplier = 100)	Spread Rate	48	/spread	39	/spread

Esprit Holdings Ltd (ESA - Multiplier = 109)	Full Rate	171	/lot	137	/lot
Esprit Holdings Ltd (ESA - Multiplier = 109)	Spread Rate	52	/spread	42	/spread

Foxconn International Holdings Ltd	Full Rate	479	/lot	383	/lot
Foxconn International Holdings Ltd	Spread Rate	144	/spread	115	/spread

Power Assets Holdings Ltd	Full Rate	2,040	/lot	1,630	/lot
Power Assets Holdings Ltd	Spread Rate	612	/spread	489	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	947	/lot	758	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	285	/spread	228	/spread

HSBC Holdings Plc	Full Rate	1,900	/lot	1,520	/lot
HSBC Holdings Plc	Spread Rate	570	/spread	456	/spread

Hong Kong and China Gas Co. Ltd. (HKG - Multiplier = 1,000)	Full Rate	1,260	/lot	1,010	/lot
Hong Kong and China Gas Co. Ltd. (HKG - Multiplier = 1,000)	Spread Rate	378	/spread	303	/spread

Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Full Rate	1,386	/lot	1,111	/lot
Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Spread Rate	416	/spread	333	/spread

Henderson Land Development Co Ltd	Full Rate	4,230	/lot	3,380	/lot
Henderson Land Development Co Ltd	Spread Rate	1,270	/spread	1,020	/spread

Huaneng Power International Inc	Full Rate	881	/lot	705	/lot
Huaneng Power International Inc	Spread Rate	265	/spread	212	/spread

Hang Seng Bank Ltd	Full Rate	742	/lot	593	/lot
Hang Seng Bank Ltd	Spread Rate	223	/spread	178	/spread

Hutchison Whampoa Ltd	Full Rate	4,850	/lot	3,880	/lot
Hutchison Whampoa Ltd	Spread Rate	1,460	/spread	1,170	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	355	/lot	283	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	107	/spread	85	/spread

Li & Fung Ltd	Full Rate	3,020	/lot	2,420	/lot
Li & Fung Ltd	Spread Rate	906	/spread	726	/spread

MTR Corporation Ltd	Full Rate	933	/lot	746	/lot
MTR Corporation Ltd	Spread Rate	280	/spread	224	/spread

New World Development Co Ltd	Full Rate	1,020	/lot	815	/lot
New World Development Co Ltd	Spread Rate	306	/spread	245	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,040	/lot	1,630	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	612	/spread	489	/spread

PetroChina Company Ltd	Full Rate	1,370	/lot	1,100	/lot
PetroChina Company Ltd	Spread Rate	411	/spread	330	/spread

PICC Property and Casualty Company Limited	Full Rate	1,340	/lot	1,070	/lot
PICC Property and Casualty Company Limited	Spread Rate	402	/spread	321	/spread

Sun Hung Kai Properties Ltd	Full Rate	6,620	/lot	5,290	/lot
Sun Hung Kai Properties Ltd	Spread Rate	1,990	/spread	1,590	/spread

Swire Pacific Ltd ‘A’	Full Rate	2,950	/lot	2,360	/lot
Swire Pacific Ltd ‘A’	Spread Rate	885	/spread	708	/spread

Wharf (Holdings) Ltd	Full Rate	3,350	/lot	2,680	/lot
Wharf (Holdings) Ltd	Spread Rate	1,010	/spread	804	/spread

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

Gold Futures	Full Rate	6,470	/lot	5,180	/lot
Gold Futures	Spread Rate	1,950	/spread	1,560	/spread

Futures Contract	Margin Rate	Initial Margin (RMB)		Maintenance Margin (RMB)

RMB Currency Futures (USD/CNH Futures#)	Full Rate	8,050	/lot	6,450	/lot
RMB Currency Futures (USD/CNH Futures#)	Spread Rate	4,830	/spread	3,870	/spread

# USD = US dollar; CNH = RMB traded in Hong Kong

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	616 per spread	493 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	614 per spread	492 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	590 per spread	472 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	559 per spread	447 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	249 per spread	199 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	128 per spread	102 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	383 per spread	307 per spread
1st month vs 2nd month 1st month vs 3rd month	358 per spread	286 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	328 per spread	263 per spread
2nd month vs 3rd month	318 per spread	254 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	166 per spread	133 per spread

Ends

Updated 29 Oct 2012