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HKFE Announces Revised Margins for Futures Contracts

Market Operations
27 Sep 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 Wednesday, 2 October 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 73,650 /lot 58,900 /lot
Spread Rate 14,750 /spread 11,800 /spread
Mini-Hang Seng Index Full Rate 14,730 /lot 11,780 /lot
Spread Rate 2,950 /spread 2,360 /spread
H-shares Index Full Rate 34,050 /lot 27,250 /lot
Spread Rate 10,250 /spread 8,200 /spread
Mini H-shares Index Full Rate 6,810 /lot 5,450 /lot
Spread Rate 2,050 /spread 1,640 /spread
CES China 120 Index Full Rate 12,900 /lot 10,320 /lot
Spread Rate 3,870 /spread 3,100 /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 3,970 /lot 3,180 /lot
Spread Rate 4,770 /spread 3,820 /spread
HSI Volatility Index Full Rate 24,800 /lot 19,840 /lot
Spread Rate 7,440 /spread 5,960 /spread
IBOVESPA Full Rate 19,140 /lot 15,310 /lot
Spread Rate 5,750 /spread 4,600 /spread
BSE S&P Sensex Index Full Rate 14,400 /lot 11,520 /lot
Spread Rate 4,320 /spread 3,460 /spread
FTSE/JSE Top40 Index Full Rate 24,800 /lot 19,840 /lot
Spread Rate 7,440 /spread 5,960 /spread
MICEX Index Full Rate 17,080 /lot 13,670 /lot
Spread Rate 5,130 /spread 4,110 /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 325 /lot 260 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 313 /lot 250 /lot
Spread Rate Please refer to attached table
iShares FTSE A50 China Index ETF Full Rate 3,240 /lot 2,590 /lot
Spread Rate 972 /spread 777 /spread
Aluminum Corporation of China Ltd Full Rate 501 /lot 401 /lot
Spread Rate 151 /spread 121 /spread
China AMC CSI 300 index ETF Full Rate 3,890 /lot 3,120 /lot
Spread Rate 1,170 /spread 936 /spread
Bank of China Ltd Full Rate 229 /lot 183 /lot
Spread Rate 69 /spread 55 /spread
Bank of Communications Co Ltd Full Rate 395 /lot 316 /lot
Spread Rate 119 /spread 95 /spread
The Bank of East Asia Ltd Full Rate 535 /lot 428 /lot
Spread Rate 161 /spread 129 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 791 /lot 633 /lot
Spread Rate 238 /spread 190 /spread
China Construction Bank Corporation Full Rate 390 /lot 312 /lot
Spread Rate 117 /spread 94 /spread
China Communications Construction Co Ltd Full Rate 545 /lot 436 /lot
Spread Rate 164 /spread 131 /spread
China Mobile Ltd Full Rate 2,750 /lot 2,200 /lot
Spread Rate 825 /spread 660 /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 772 /lot 618 /lot
Spread Rate 232 /spread 186 /spread
Cheung Kong (Holdings) Ltd Full Rate 7,680 /lot 6,140 /lot
Spread Rate 2,310 /spread 1,850 /spread
China Life Insurance Company Ltd Full Rate 1,360 /lot 1,090 /lot
Spread Rate 408 /spread 327 /spread
CLP Holdings Ltd Full Rate 2,010 /lot 1,610 /lot
Spread Rate 603 /spread 483 /spread
China Merchants Bank Co Ltd
(CMB: Multiplier = 500)
Full Rate 569 /lot 455 /lot
Spread Rate 171 /spread 137 /spread
China Merchants Bank Co Ltd
(CMA: Multiplier = 512)
Full Rate 582 /lot 466 /lot
Spread Rate 175 /spread 140 /spread
CNOOC Ltd Full Rate 1,010 /lot 807 /lot
Spread Rate 303 /spread 243 /spread
Cathay Pacific Airways Ltd Full Rate 929 /lot 743 /lot
Spread Rate 279 /spread 223 /spread
China Petroleum & Chemical Corporation
(CPC: Multiplier = 2,000)
Full Rate 827 /lot 662 /lot
Spread Rate 249 /spread 199 /spread
China Petroleum & Chemical Corporation
(CPD: Multiplier = 2,600)
Full Rate 1,075 /lot 861 /lot
Spread Rate 324 /spread 259 /spread
CSOP FTSE China A50 ETF Full Rate 3,140 /lot 2,510 /lot
Spread Rate 942 /spread 753 /spread
China Telecom Corporation Ltd Full Rate 555 /lot 444 /lot
Spread Rate 167 /spread 134 /spread
Esprit Holdings Ltd  Full Rate 120 /lot 96 /lot
Spread Rate 36 /spread 29 /spread
FIH Mobile Limited Full Rate 662 /lot 530 /lot
Spread Rate 199 /spread 159 /spread
Power Assets Holdings Ltd Full Rate 2,170 /lot 1,740 /lot
Spread Rate 651 /spread 522 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 816 /lot 653 /lot
Spread Rate 245 /spread 196 /spread
HSBC Holdings Plc Full Rate 2,190 /lot 1,750 /lot
Spread Rate 657 /spread 525 /spread
Hong Kong and China Gas Co Ltd
(HKG: Multiplier = 1,000)
Full Rate 1,160 /lot 926 /lot
Spread Rate 348 /spread 278 /spread
Hong Kong and China Gas Co Ltd
(HKA: Multiplier = 1,100)
Full Rate 1,276 /lot 1,019 /lot
Spread Rate 383 /spread 306 /spread
Henderson Land Development Co Ltd
(HLD: Multiplier = 1,000)
Full Rate 3,370 /lot 2,700 /lot
Spread Rate 1,020 /spread 810 /spread
Henderson Land Development Co Ltd
(HLA: Multiplier = 1,100)
Full Rate 3,707 /lot 2,970 /lot
Spread Rate 1,122 /spread 891 /spread
Huaneng Power International Inc Full Rate 1,790 /lot 1,430 /lot
Spread Rate 537 /spread 429 /spread
Hang Seng Bank Ltd Full Rate 775 /lot 620 /lot
Spread Rate 233 /spread 186 /spread
Hutchison Whampoa Ltd Full Rate 5,910 /lot 4,730 /lot
Spread Rate 1,780 /spread 1,420 /spread
Industrial and Commercial Bank of China Ltd Full Rate 351 /lot 281 /lot
Spread Rate 106 /spread 85 /spread
Li & Fung Ltd Full Rate 1,930 /lot 1,540 /lot
Spread Rate 579 /spread 462 /spread
MTR Corporation Ltd Full Rate 965 /lot 772 /lot
Spread Rate 290 /spread 232 /spread
New World Development Co Ltd Full Rate 899 /lot 720 /lot
Spread Rate 270 /spread 216 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 1,990 /lot 1,600 /lot
Spread Rate 597 /spread 480 /spread
PetroChina Company Ltd Full Rate 1,320 /lot 1,050 /lot
Spread Rate 396 /spread 315 /spread
PICC Property and Casualty Company Limited
(PIC: Multiplier = 2,000)
Full Rate 1,440 /lot 1,150 /lot
Spread Rate 432 /spread 345 /spread
PICC Property and Casualty Company Limited
(PIA: Multiplier = 2,093)
Full Rate 1,507 /lot 1,203 /lot
Spread Rate 452 /spread 361 /spread
Sun Hung Kai Properties Ltd Full Rate 6,820 /lot 5,450 /lot
Spread Rate 2,050 /spread 1,640 /spread
Swire Pacific Ltd ‘A’ Full Rate 2,910 /lot 2,330 /lot
Spread Rate 873 /spread 699 /spread
The Wharf (Holdings) Ltd Full Rate 5,390 /lot 4,310 /lot
Spread Rate 1,620 /spread 1,300 /spread
   

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 9,260 /lot 7,410 /lot
Spread Rate 2,780 /spread 2,230 /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
    626
per spread
    500
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
      626
per spread
      500
per spread

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

 

  626
per spread
  500
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

      626
per spread
      500
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
  380
per spread
  304
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
    94
per spread
    75
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

  439
per spread
  351
per spread
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
  439
per spread
  351
per spread
2nd month vs 3rd month   213
per spread
 
  171
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
    213
per spread
    171
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
  98
per spread
  78
per spread

 

Ends

Updated 27 Sep 2013