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HKFE Announces Revised Margins for Futures Contracts

Market Operations
28 Aug 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 Monday, 2 September 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 68,450 /lot 54,750 /lot
Spread Rate 13,700 /spread 10,950 /spread
Mini-Hang Seng Index Full Rate 13,690 /lot 10,950 /lot
Spread Rate 2,740 /spread 2,190 /spread
H-shares Index Full Rate 33,500 /lot 26,800 /lot
Spread Rate 10,050 /spread 8,050 /spread
Mini H-shares Index Full Rate 6,700 /lot 5,360 /lot
Spread Rate 2,010 /spread 1,610 /spread
CES China 120 Index Full Rate 12,000 /lot 9,600 /lot
Spread Rate 3,600 /spread 2,880 /spread
HSCEI Dividend Point Index Full Rate 2,080 /lot 1,660 /lot
Spread Rate 2,500 /spread 2,000 /spread
HSI Dividend Point Index Full Rate 3,910 /lot 3,130 /lot
Spread Rate 4,700 /spread 3,760 /spread
HSI Volatility Index Full Rate 28,900 /lot 23,120 /lot
Spread Rate 8,670 /spread 6,940 /spread
IBOVESPA Futures Full Rate 19,140 /lot 15,320 /lot
Spread Rate 5,750 /spread 4,600 /spread
BSE S&P Sensex Index Futures Full Rate 11,410 /lot 9,130 /lot
Spread Rate 3,430 /spread 2,740 /spread
FTSE/JSE Top40 Index Futures Full Rate 24,020 /lot 19,220 /lot
Spread Rate 7,210 /spread 5,770 /spread
MICEX Index Futures Full Rate 15,600 /lot 12,480 /lot
Spread Rate 4,680 /spread 3,750 /spread
Three-Year EFN Full Rate 10,890 /lot 8,710 /lot
Spread Rate 3,270 /spread 2,620 /spread
One-Month HIBOR Full Rate 461 /lot 369 /lot
Spread Rate

Please refer to attached table

Three-Month HIBOR Full Rate 369 /lot 295 /lot
Spread Rate

Please refer to attached table

iShares FTSE A50 China Index ETF Full Rate 3,010 /lot 2,410 /lot
Spread Rate 903 /spread 723 /spread
Aluminum Corporation of China Ltd Full Rate 573 /lot 459 /lot
Spread Rate 172 /spread 138 /spread
China AMC CSI 300 index ETF Full Rate 3,830 /lot 3,070 /lot
Spread Rate 1,150 /spread 921 /spread
Bank of China Ltd Full Rate 219 /lot 175 /lot
Spread Rate 66 /spread 53 /spread
Bank of Communications Co Ltd Full Rate 377 /lot 302 /lot
Spread Rate 114 /spread 91 /spread
The Bank of East Asia Ltd Full Rate 380 /lot 304 /lot
Spread Rate 114 /spread 92 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 753 /lot 603 /lot
Spread Rate 226 /spread 181 /spread
China Construction Bank Corporation Full Rate 446 /lot 357 /lot
Spread Rate 134 /spread 108 /spread
China Communications Construction Co Ltd Full Rate 599 /lot 479 /lot
Spread Rate 180 /spread 144 /spread
China Mobile Ltd Full Rate 2,580 /lot 2,070 /lot
Spread Rate 774 /spread 621 /spread
China Unicom (Hong Kong) Ltd Full Rate 1,650 /lot 1,320 /lot
Spread Rate 495 /spread 396 /spread
CITIC Pacific Ltd Full Rate 850 /lot 680 /lot
Spread Rate 255 /spread 204 /spread
Cheung Kong (Holdings) Ltd Full Rate 6,800 /lot 5,440 /lot
Spread Rate 2,040 /spread 1,640 /spread
China Life Insurance Company Ltd Full Rate 1,460 /lot 1,170 /lot
Spread Rate 438 /spread 351 /spread
CLP Holdings Ltd Full Rate 1,920 /lot 1,540 /lot
Spread Rate 576 /spread 462 /spread
China Merchants Bank Co Ltd Full Rate 613 /lot 491 /lot
Spread Rate 184 /spread 148 /spread
CNOOC Ltd Full Rate 1,100 /lot 874 /lot
Spread Rate 330 /spread 263 /spread
Cathay Pacific Airways Ltd Full Rate 869 /lot 695 /lot
Spread Rate 261 /spread 209 /spread
China Petroleum & Chemical Corporation
(CPC: Multiplier = 2,000)
Full Rate 803 /lot 643 /lot
Spread Rate 241 /spread 193 /spread
China Petroleum & Chemical Corporation
(CPD: Multiplier = 2,600)
Full Rate 1,044 /lot 836 /lot
Spread Rate 313 /spread 251 /spread
CSOP FTSE China A50 ETF Full Rate 2,940 /lot 2,350 /lot
Spread Rate 882 /spread 705 /spread
China Telecom Corporation Ltd Full Rate 499 /lot 399 /lot
Spread Rate 150 /spread 120 /spread
Esprit Holdings Ltd  Full Rate 104 /lot 83 /lot
Spread Rate 32 /spread 25 /spread
FIH Mobile Limited Full Rate 495 /lot 396 /lot
Spread Rate 149 /spread 119 /spread
Power Assets Holdings Ltd Full Rate 2,130 /lot 1,700 /lot
Spread Rate 639 /spread 510 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 769 /lot 616 /lot
Spread Rate 231 /spread 185 /spread
HSBC Holdings Plc Full Rate 2,100 /lot 1,680 /lot
Spread Rate 630 /spread 504 /spread
Hong Kong and China Gas Co Ltd
(HKG: Multiplier = 1,000)
Full Rate 1,340 /lot 1,070 /lot
Spread Rate 402 /spread 321 /spread
Hong Kong and China Gas Co Ltd
(HKA: Multiplier = 1,100)
Full Rate 1,474 /lot 1,177 /lot
Spread Rate 442 /spread 353 /spread
Henderson Land Development Co Ltd
(HLD: Multiplier = 1,000)
Full Rate 3,050 /lot 2,440 /lot
Spread Rate 915 /spread 732 /spread
Henderson Land Development Co Ltd
(HLA: Multiplier = 1,100)
Full Rate 3,355 /lot 2,684 /lot
Spread Rate 1,006 /spread 805 /spread
Huaneng Power International Inc Full Rate 2,120 /lot 1,700 /lot
Spread Rate 636 /spread 510 /spread
Hang Seng Bank Ltd Full Rate 757 /lot 605 /lot
Spread Rate 228 /spread 182 /spread
Hutchison Whampoa Ltd Full Rate 5,630 /lot 4,500 /lot
Spread Rate 1,690 /spread 1,350 /spread
Industrial and Commercial Bank of China Ltd Full Rate 391 /lot 313 /lot
Spread Rate 118 /spread 94 /spread
Li & Fung Ltd Full Rate 2,450 /lot 1,960 /lot
Spread Rate 735 /spread 588 /spread
MTR Corporation Ltd Full Rate 886 /lot 709 /lot
Spread Rate 266 /spread 213 /spread
New World Development Co Ltd Full Rate 869 /lot 695 /lot
Spread Rate 261 /spread 209 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 2,210 /lot 1,770 /lot
Spread Rate 663 /spread 531 /spread
PetroChina Company Ltd Full Rate 1,420 /lot 1,140 /lot
Spread Rate 426 /spread 342 /spread
PICC Property and Casualty Company Limited
(PIC: Multiplier = 2,000)
Full Rate 1,370 /lot 1,090 /lot
Spread Rate 411 /spread 327 /spread
PICC Property and Casualty Company Limited
(PIA: Multiplier = 2,093)
Full Rate 1,434 /lot 1,141 /lot
Spread Rate 430 /spread 342 /spread
Sun Hung Kai Properties Ltd Full Rate 6,270 /lot 5,020 /lot
Spread Rate 1,890 /spread 1,510 /spread
Swire Pacific Ltd ‘A’ Full Rate 2,770 /lot 2,220 /lot
Spread Rate 831 /spread 666 /spread
The Wharf (Holdings) Ltd Full Rate 5,250 /lot 4,200 /lot
Spread Rate 1,580 /spread 1,260 /spread

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 8,380 /lot 6,710 /lot
Spread Rate 2,520 /spread 2,020 /spread

 

Futures Contract Margin Rate Initial Margin
(RMB)
Maintenance Margin
(RMB)
RMB Currency Futures
(USD/CNH Futures#)
Full Rate 7,750 /lot 6,200 /lot
Spread Rate 4,650 /spread 3,720 /spread
Spot Month Charge* 1,550 /lot 1,240 /lot

 

* 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 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
    738
per spread
    590
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
      738
per spread
      590
per spread

4th month vs 5th month
4th month vs 6th month
5th month vs 6th month

 

 

 

  738
per spread
  590
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

      738
per spread
      590
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
  368
per spread
  295
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
    111
per spread
    89
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

  347
per spread
  278
per spread
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
  347
per spread
  278
per spread
2nd month vs 3rd month   178
per spread
  142
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
    178
per spread
    142
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
  139
per spread
  111
per spread

Ends

Updated 28 Aug 2013