HKFE Announces Revised Margins for Futures Contracts

Market Operations

26 Feb 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 March 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	72,600	/lot	58,100	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	14,520	/lot	11,620	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	36,400	/lot	29,150	/lot
H-shares Index	Spread Rate	10,950	/spread	8,750	/spread

Mini H-shares Index	Full Rate	7,280	/lot	5,830	/lot
Mini H-shares Index	Spread Rate	2,190	/spread	1,750	/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	22,290	/lot	17,830	/lot
HSI Volatility Index	Spread Rate	6,690	/spread	5,350	/spread

IBOVESPA Futures	Full Rate	18,030	/lot	14,420	/lot
IBOVESPA Futures	Spread Rate	5,410	/spread	4,330	/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 Index Futures	Full Rate	22,650	/lot	18,120	/lot
FTSE/JSE Top40 Index Futures	Spread Rate	6,800	/spread	5,440	/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	568	/lot	455	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	397	/lot	318	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	636	/lot	509	/lot
Aluminum Corporation of China Ltd	Spread Rate	191	/spread	153	/spread

Bank of China Ltd	Full Rate	241	/lot	192	/lot
Bank of China Ltd	Spread Rate	73	/spread	58	/spread

Bank of Communications Co Ltd	Full Rate	409	/lot	327	/lot
Bank of Communications Co Ltd	Spread Rate	123	/spread	99	/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	389	/lot	311	/lot
China Construction Bank Corporation	Spread Rate	117	/spread	94	/spread

China Communications Construction Co Ltd	Full Rate	567	/lot	454	/lot
China Communications Construction Co Ltd	Spread Rate	171	/spread	137	/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	1,860	/lot	1,490	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	558	/spread	447	/spread

CITIC Pacific Ltd	Full Rate	1,040	/lot	828	/lot
CITIC Pacific Ltd	Spread Rate	312	/spread	249	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,630	/lot	6,110	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,290	/spread	1,840	/spread

China Life Insurance Company Ltd	Full Rate	1,830	/lot	1,460	/lot
China Life Insurance Company Ltd	Spread Rate	549	/spread	438	/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	671	/lot	537	/lot
China Merchants Bank Co Ltd	Spread Rate	202	/spread	162	/spread

CNOOC Ltd	Full Rate	972	/lot	778	/lot
CNOOC Ltd	Spread Rate	292	/spread	234	/spread

Cathay Pacific Airways Ltd	Full Rate	912	/lot	730	/lot
Cathay Pacific Airways Ltd	Spread Rate	274	/spread	219	/spread

China Petroleum & Chemical Corporation	Full Rate	1,250	/lot	998	/lot
China Petroleum & Chemical Corporation	Spread Rate	375	/spread	300	/spread

China Telecom Corporation Ltd	Full Rate	499	/lot	399	/lot
China Telecom Corporation Ltd	Spread Rate	150	/spread	120	/spread

Esprit Holdings Ltd (ESP - Multiplier = 100)	Full Rate	114	/lot	91	/lot
Esprit Holdings Ltd (ESP - Multiplier = 100)	Spread Rate	35	/spread	28	/spread

Esprit Holdings Ltd (ESA - Multiplier = 109)	Full Rate	124	/lot	99	/lot
Esprit Holdings Ltd (ESA - Multiplier = 109)	Spread Rate	38	/spread	30	/spread

Foxconn International Holdings Ltd	Full Rate	412	/lot	330	/lot
Foxconn International Holdings Ltd	Spread Rate	124	/spread	99	/spread

Power Assets Holdings Ltd	Full Rate	2,230	/lot	1,790	/lot
Power Assets Holdings Ltd	Spread Rate	669	/spread	537	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	906	/lot	725	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	272	/spread	218	/spread

HSBC Holdings Plc	Full Rate	2,140	/lot	1,710	/lot
HSBC Holdings Plc	Spread Rate	642	/spread	513	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,380	/lot	1,110	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	414	/spread	333	/spread

Henderson Land Development Co Ltd	Full Rate	3,430	/lot	2,740	/lot
Henderson Land Development Co Ltd	Spread Rate	1,030	/spread	822	/spread

Huaneng Power International Inc	Full Rate	1,060	/lot	844	/lot
Huaneng Power International Inc	Spread Rate	318	/spread	254	/spread

Hang Seng Bank Ltd	Full Rate	778	/lot	623	/lot
Hang Seng Bank Ltd	Spread Rate	234	/spread	187	/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	340	/lot	272	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	102	/spread	82	/spread

Li & Fung Ltd	Full Rate	3,050	/lot	2,440	/lot
Li & Fung Ltd	Spread Rate	915	/spread	732	/spread

MTR Corporation Ltd	Full Rate	1,010	/lot	806	/lot
MTR Corporation Ltd	Spread Rate	303	/spread	242	/spread

New World Development Co Ltd	Full Rate	1,040	/lot	825	/lot
New World Development Co Ltd	Spread Rate	312	/spread	248	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,310	/lot	1,850	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	693	/spread	555	/spread

PetroChina Company Ltd	Full Rate	1,350	/lot	1,080	/lot
PetroChina Company Ltd	Spread Rate	405	/spread	324	/spread

PICC Property and Casualty Company Limited	Full Rate	1,870	/lot	1,500	/lot
PICC Property and Casualty Company Limited	Spread Rate	561	/spread	450	/spread

Sun Hung Kai Properties Ltd	Full Rate	7,600	/lot	6,080	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,280	/spread	1,830	/spread

Swire Pacific Ltd ‘A’	Full Rate	3,150	/lot	2,520	/lot
Swire Pacific Ltd ‘A’	Spread Rate	945	/spread	756	/spread

The Wharf (Holdings) Ltd	Full Rate	4,480	/lot	3,580	/lot
The Wharf (Holdings) Ltd	Spread Rate	1,350	/spread	1,080	/spread

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

Gold Futures	Full Rate	6,030	/lot	4,820	/lot
Gold Futures	Spread Rate	1,810	/spread	1,450	/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	376 per spread	301 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	331 per spread	265 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	331 per spread	265 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	120 per spread	96 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	120 per spread	96 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	120 per spread	96 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	171 per spread	137 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	171 per spread	137 per spread
2nd month vs 3rd month	171 per spread	137 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	171 per spread	137 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	171 per spread	137 per spread

Ends

Updated 26 Feb 2013