HKFE Announces Revised Margins for Futures Contracts

Market Operations

28 Nov 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 Monday, 3 December 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	68,850	/lot	55,100	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	13,770	/lot	11,020	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	32,800	/lot	26,250	/lot
H-shares Index	Spread Rate	9,850	/spread	7,900	/spread

Mini H-shares Index	Full Rate	6,560	/lot	5,250	/lot
Mini H-shares Index	Spread Rate	1,970	/spread	1,580	/spread

HSCEI Dividend Point Index	Full Rate	1,910	/lot	1,540	/lot
HSCEI Dividend Point Index	Spread Rate	2,300	/spread	1,850	/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	23,360	/lot	18,690	/lot
HSI Volatility Index	Spread Rate	7,010	/spread	5,610	/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	21,050	/lot	16,840	/lot
FTSE/JSE Top40 Futures	Spread Rate	6,320	/spread	5,060	/spread

MICEX Index Futures	Full Rate	15,920	/lot	12,740	/lot
MICEX Index Futures	Spread Rate	4,780	/spread	3,830	/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	251	/lot	201	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	361	/lot	289	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	624	/lot	499	/lot
Aluminum Corporation of China Ltd	Spread Rate	188	/spread	150	/spread

Bank of China Ltd	Full Rate	200	/lot	160	/lot
Bank of China Ltd	Spread Rate	60	/spread	48	/spread

Bank of Communications Co Ltd	Full Rate	419	/lot	336	/lot
Bank of Communications Co Ltd	Spread Rate	126	/spread	101	/spread

The Bank of East Asia Ltd	Full Rate	370	/lot	297	/lot
The Bank of East Asia Ltd	Spread Rate	111	/spread	90	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	731	/lot	585	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	220	/spread	176	/spread

China Construction Bank Corporation	Full Rate	445	/lot	356	/lot
China Construction Bank Corporation	Spread Rate	134	/spread	107	/spread

China Communications Construction Co Ltd	Full Rate	648	/lot	519	/lot
China Communications Construction Co Ltd	Spread Rate	195	/spread	156	/spread

China Mobile Ltd	Full Rate	2,760	/lot	2,210	/lot
China Mobile Ltd	Spread Rate	828	/spread	663	/spread

China Unicom (Hong Kong) Ltd	Full Rate	2,390	/lot	1,910	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	717	/spread	573	/spread

CITIC Pacific Ltd	Full Rate	860	/lot	688	/lot
CITIC Pacific Ltd	Spread Rate	258	/spread	207	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,280	/lot	5,840	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,190	/spread	1,760	/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	2,110	/lot	1,690	/lot
CLP Holdings Ltd	Spread Rate	633	/spread	507	/spread

China Merchants Bank Co Ltd	Full Rate	482	/lot	386	/lot
China Merchants Bank Co Ltd	Spread Rate	145	/spread	116	/spread

CNOOC Ltd	Full Rate	1,030	/lot	823	/lot
CNOOC Ltd	Spread Rate	309	/spread	247	/spread

Cathay Pacific Airways Ltd	Full Rate	877	/lot	702	/lot
Cathay Pacific Airways Ltd	Spread Rate	264	/spread	211	/spread

China Petroleum & Chemical Corporation	Full Rate	1,170	/lot	933	/lot
China Petroleum & Chemical Corporation	Spread Rate	351	/spread	280	/spread

China Telecom Corporation Ltd	Full Rate	749	/lot	599	/lot
China Telecom Corporation Ltd	Spread Rate	225	/spread	180	/spread

Esprit Holdings Ltd (ESP - Multiplier = 100)	Full Rate	273	/lot	219	/lot
Esprit Holdings Ltd (ESP - Multiplier = 100)	Spread Rate	82	/spread	66	/spread

Esprit Holdings Ltd (ESA - Multiplier = 109)	Full Rate	296	/lot	238	/lot
Esprit Holdings Ltd (ESA - Multiplier = 109)	Spread Rate	89	/spread	72	/spread

Foxconn International Holdings Ltd	Full Rate	787	/lot	629	/lot
Foxconn International Holdings Ltd	Spread Rate	237	/spread	189	/spread

Power Assets Holdings Ltd	Full Rate	2,160	/lot	1,730	/lot
Power Assets Holdings Ltd	Spread Rate	648	/spread	519	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	968	/lot	774	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	291	/spread	233	/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	1,290	/lot	1,030	/lot
Hong Kong and China Gas Co. Ltd. (HKG - Multiplier = 1,000)	Spread Rate	387	/spread	309	/spread

Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Full Rate	1,419	/lot	1,133	/lot
Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Spread Rate	426	/spread	340	/spread

Henderson Land Development Co Ltd	Full Rate	4,030	/lot	3,230	/lot
Henderson Land Development Co Ltd	Spread Rate	1,210	/spread	969	/spread

Huaneng Power International Inc	Full Rate	824	/lot	665	/lot
Huaneng Power International Inc	Spread Rate	248	/spread	200	/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	4,930	/lot	3,940	/lot
Hutchison Whampoa Ltd	Spread Rate	1,480	/spread	1,190	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	349	/lot	279	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	105	/spread	84	/spread

Li & Fung Ltd	Full Rate	2,740	/lot	2,200	/lot
Li & Fung Ltd	Spread Rate	822	/spread	660	/spread

MTR Corporation Ltd	Full Rate	947	/lot	758	/lot
MTR Corporation Ltd	Spread Rate	285	/spread	228	/spread

New World Development Co Ltd	Full Rate	1,110	/lot	882	/lot
New World Development Co Ltd	Spread Rate	333	/spread	265	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	1,850	/lot	1,480	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	555	/spread	444	/spread

PetroChina Company Ltd	Full Rate	1,290	/lot	1,030	/lot
PetroChina Company Ltd	Spread Rate	387	/spread	309	/spread

PICC Property and Casualty Company Limited	Full Rate	1,250	/lot	1,000	/lot
PICC Property and Casualty Company Limited	Spread Rate	375	/spread	300	/spread

Sun Hung Kai Properties Ltd	Full Rate	7,000	/lot	5,600	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,100	/spread	1,680	/spread

Swire Pacific Ltd ‘A’	Full Rate	3,000	/lot	2,400	/lot
Swire Pacific Ltd ‘A’	Spread Rate	900	/spread	720	/spread

Wharf (Holdings) Ltd	Full Rate	3,480	/lot	2,780	/lot
Wharf (Holdings) Ltd	Spread Rate	1,050	/spread	834	/spread

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

Gold Futures	Full Rate	6,570	/lot	5,260	/lot
Gold Futures	Spread Rate	1,980	/spread	1,580	/spread

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

RMB Currency Futures (USD/CNH Futures#)	Full Rate	9,660	/lot	7,740	/lot
RMB Currency Futures (USD/CNH Futures#)	Spread Rate	8,050	/spread	6,450	/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 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	526 per spread	421 per spread
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	522 per spread	417 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	432 per spread	345 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	421 per spread	337 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	320 per spread	256 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	109 per spread	87 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	389 per spread	312 per spread
1st month vs 2nd month 1st month vs 3rd month	364 per spread	291 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 28 Nov 2012