HKFE Announces Revised Margins for Futures Contracts

Market Operations

29 Jan 2013

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 Friday, 1 February 2013, 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	73,850	/lot	59,050	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	14,770	/lot	11,810	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	37,950	/lot	30,350	/lot
H-shares Index	Spread Rate	11,400	/spread	9,150	/spread

Mini H-shares Index	Full Rate	7,590	/lot	6,070	/lot
Mini H-shares Index	Spread Rate	2,280	/spread	1,830	/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	25,160	/lot	20,130	/lot
HSI Volatility Index	Spread Rate	7,550	/spread	6,040	/spread

IBOVESPA Futures	Full Rate	19,400	/lot	15,550	/lot
IBOVESPA Futures	Spread Rate	5,820	/spread	4,670	/spread

Sensex Index Futures	Full Rate	12,510	/lot	10,010	/lot
Sensex Index Futures	Spread Rate	3,760	/spread	3,010	/spread

FTSE/JSE Top40 Futures	Full Rate	22,310	/lot	17,850	/lot
FTSE/JSE Top40 Futures	Spread Rate	6,700	/spread	5,360	/spread

MICEX Index Futures	Full Rate	17,340	/lot	13,870	/lot
MICEX Index Futures	Spread Rate	5,210	/spread	4,170	/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	539	/lot	431	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	469	/lot	376	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	744	/lot	595	/lot
Aluminum Corporation of China Ltd	Spread Rate	224	/spread	179	/spread

Bank of China Ltd	Full Rate	237	/lot	189	/lot
Bank of China Ltd	Spread Rate	72	/spread	57	/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	393	/lot	314	/lot
The Bank of East Asia Ltd	Spread Rate	118	/spread	95	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	819	/lot	655	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	246	/spread	197	/spread

China Construction Bank Corporation	Full Rate	402	/lot	321	/lot
China Construction Bank Corporation	Spread Rate	121	/spread	97	/spread

China Communications Construction Co Ltd	Full Rate	649	/lot	519	/lot
China Communications Construction Co Ltd	Spread Rate	195	/spread	156	/spread

China Mobile Ltd	Full Rate	2,680	/lot	2,140	/lot
China Mobile Ltd	Spread Rate	804	/spread	642	/spread

China Unicom (Hong Kong) Ltd	Full Rate	1,790	/lot	1,430	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	537	/spread	429	/spread

CITIC Pacific Ltd	Full Rate	1,320	/lot	1,060	/lot
CITIC Pacific Ltd	Spread Rate	396	/spread	318	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,870	/lot	6,300	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,370	/spread	1,890	/spread

China Life Insurance Company Ltd	Full Rate	1,910	/lot	1,530	/lot
China Life Insurance Company Ltd	Spread Rate	573	/spread	459	/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	602	/lot	482	/lot
China Merchants Bank Co Ltd	Spread Rate	181	/spread	145	/spread

CNOOC Ltd	Full Rate	1,010	/lot	804	/lot
CNOOC Ltd	Spread Rate	303	/spread	242	/spread

Cathay Pacific Airways Ltd	Full Rate	972	/lot	777	/lot
Cathay Pacific Airways Ltd	Spread Rate	292	/spread	234	/spread

China Petroleum & Chemical Corporation	Full Rate	1,140	/lot	908	/lot
China Petroleum & Chemical Corporation	Spread Rate	342	/spread	273	/spread

China Telecom Corporation Ltd	Full Rate	535	/lot	428	/lot
China Telecom Corporation Ltd	Spread Rate	161	/spread	129	/spread

Esprit Holdings Ltd (ESP - Multiplier = 100)	Full Rate	147	/lot	118	/lot
Esprit Holdings Ltd (ESP - Multiplier = 100)	Spread Rate	45	/spread	36	/spread

Esprit Holdings Ltd (ESA - Multiplier = 109)	Full Rate	160	/lot	128	/lot
Esprit Holdings Ltd (ESA - Multiplier = 109)	Spread Rate	49	/spread	39	/spread

Foxconn International Holdings Ltd	Full Rate	424	/lot	339	/lot
Foxconn International Holdings Ltd	Spread Rate	128	/spread	102	/spread

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

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,010	/lot	807	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	303	/spread	243	/spread

HSBC Holdings Plc	Full Rate	2,100	/lot	1,680	/lot
HSBC Holdings Plc	Spread Rate	630	/spread	504	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,350	/lot	1,080	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	405	/spread	324	/spread

Henderson Land Development Co Ltd	Full Rate	3,620	/lot	2,890	/lot
Henderson Land Development Co Ltd	Spread Rate	1,090	/spread	867	/spread

Huaneng Power International Inc	Full Rate	1,010	/lot	801	/lot
Huaneng Power International Inc	Spread Rate	303	/spread	241	/spread

Hang Seng Bank Ltd	Full Rate	766	/lot	613	/lot
Hang Seng Bank Ltd	Spread Rate	230	/spread	184	/spread

Hutchison Whampoa Ltd	Full Rate	5,340	/lot	4,270	/lot
Hutchison Whampoa Ltd	Spread Rate	1,610	/spread	1,290	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	357	/lot	286	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	108	/spread	86	/spread

Li & Fung Ltd	Full Rate	3,890	/lot	3,110	/lot
Li & Fung Ltd	Spread Rate	1,170	/spread	933	/spread

MTR Corporation Ltd	Full Rate	977	/lot	782	/lot
MTR Corporation Ltd	Spread Rate	294	/spread	235	/spread

New World Development Co Ltd	Full Rate	938	/lot	751	/lot
New World Development Co Ltd	Spread Rate	282	/spread	226	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,530	/lot	2,030	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	759	/spread	609	/spread

PetroChina Company Ltd	Full Rate	1,410	/lot	1,130	/lot
PetroChina Company Ltd	Spread Rate	423	/spread	339	/spread

PICC Property and Casualty Company Limited	Full Rate	1,920	/lot	1,530	/lot
PICC Property and Casualty Company Limited	Spread Rate	576	/spread	459	/spread

Sun Hung Kai Properties Ltd	Full Rate	7,980	/lot	6,390	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,400	/spread	1,920	/spread

Swire Pacific Ltd 'A'	Full Rate	3,060	/lot	2,450	/lot
Swire Pacific Ltd 'A'	Spread Rate	918	/spread	735	/spread

Wharf (Holdings) Ltd	Full Rate	4,170	/lot	3,330	/lot
Wharf (Holdings) Ltd	Spread Rate	1,260	/spread	999	/spread

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

Gold Futures	Full Rate	6,390	/lot	5,110	/lot
Gold Futures	Spread Rate	1,920	/spread	1,540	/spread

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

RMB Currency Futures (USD/CNH Futures#)	Full Rate	7,880	/lot	6,300	/lot
	Spread Rate	4,730	/spread	3,780	/spread
	Spot Month Charge*	1,580	/lot	1,260	/lot

*	As mentioned in the circular dated 22 October 2012, the Spot Month Charge will be imposed on the spot month contract during the last four business days before the business day immediately preceding the final settlement day.
#	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 2nd month 1st month vs 3rd month 2nd month vs 3rd month	393 per spread	315 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	361 per spread	289 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	355 per spread	284 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	141 per spread	113 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	141 per spread	113 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	141 per spread	113 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	162 per spread	130 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	162 per spread	130 per spread
2nd month vs 3rd month	162 per spread	130 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	162 per spread	130 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	162 per spread	130 per spread

Ends

Updated 29 Jan 2013