HKFE Announces Revised Margins for Futures Contracts

Market Operations

29 Oct 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 November 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	71,850	/lot	57,500	/lot
Hang Seng Index	Spread Rate	14,400	/spread	11,500	/spread

Mini-Hang Seng Index	Full Rate	14,370	/lot	11,500	/lot
Mini-Hang Seng Index	Spread Rate	2,880	/spread	2,300	/spread

H-shares Index	Full Rate	32,750	/lot	26,200	/lot
H-shares Index	Spread Rate	9,850	/spread	7,900	/spread

Mini H-shares Index	Full Rate	6,550	/lot	5,240	/lot
Mini H-shares Index	Spread Rate	1,970	/spread	1,580	/spread

CES China 120 Index	Full Rate	12,340	/lot	9,880	/lot
CES China 120 Index	Spread Rate	3,710	/spread	2,970	/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
HSI Dividend Point Index	Spread Rate	4,770	/spread	3,820	/spread

HSI Volatility Index	Full Rate	23,000	/lot	18,400	/lot
HSI Volatility Index	Spread Rate	6,900	/spread	5,520	/spread

IBOVESPA	Full Rate	18,760	/lot	15,010	/lot
IBOVESPA	Spread Rate	5,630	/spread	4,510	/spread

S&P BSE Sensex Index	Full Rate	12,930	/lot	10,350	/lot
S&P BSE Sensex Index	Spread Rate	3,880	/spread	3,110	/spread

FTSE/JSE Top40 Index	Full Rate	25,330	/lot	20,260	/lot
FTSE/JSE Top40 Index	Spread Rate	7,600	/spread	6,080	/spread

MICEX Index	Full Rate	17,350	/lot	13,880	/lot
MICEX Index	Spread Rate	5,210	/spread	4,170	/spread

Three-Year EFN	Full Rate	11,060	/lot	8,850	/lot
Three-Year EFN	Spread Rate	3,320	/spread	2,660	/spread

One-Month HIBOR	Full Rate	366	/lot	293	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	655	/lot	524	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

iShares FTSE A50 China Index ETF	Full Rate	3,050	/lot	2,440	/lot
iShares FTSE A50 China Index ETF	Spread Rate	915	/spread	732	/spread

Aluminum Corporation of China Ltd	Full Rate	465	/lot	372	/lot
Aluminum Corporation of China Ltd	Spread Rate	140	/spread	112	/spread

China AMC CSI 300 index ETF	Full Rate	3,770	/lot	3,020	/lot
China AMC CSI 300 index ETF	Spread Rate	1,140	/spread	906	/spread

Bank of China Ltd	Full Rate	221	/lot	177	/lot
Bank of China Ltd	Spread Rate	67	/spread	54	/spread

Bank of Communications Co Ltd	Full Rate	352	/lot	281	/lot
Bank of Communications Co Ltd	Spread Rate	106	/spread	85	/spread

The Bank of East Asia Ltd	Full Rate	410	/lot	328	/lot
The Bank of East Asia Ltd	Spread Rate	123	/spread	99	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	791	/lot	633	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	238	/spread	190	/spread

China Construction Bank Corporation	Full Rate	368	/lot	294	/lot
China Construction Bank Corporation	Spread Rate	111	/spread	89	/spread

China Communications Construction Co Ltd	Full Rate	450	/lot	360	/lot
China Communications Construction Co Ltd	Spread Rate	135	/spread	108	/spread

China Mobile Ltd	Full Rate	2,510	/lot	2,010	/lot
China Mobile Ltd	Spread Rate	753	/spread	603	/spread

China Unicom (Hong Kong) Ltd	Full Rate	2,330	/lot	1,870	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	699	/spread	561	/spread

CITIC Pacific Ltd	Full Rate	896	/lot	717	/lot
CITIC Pacific Ltd	Spread Rate	269	/spread	216	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,680	/lot	6,140	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,310	/spread	1,850	/spread

China Life Insurance Company Ltd	Full Rate	1,260	/lot	1,010	/lot
China Life Insurance Company Ltd	Spread Rate	378	/spread	303	/spread

CLP Holdings Ltd	Full Rate	1,930	/lot	1,540	/lot
CLP Holdings Ltd	Spread Rate	579	/spread	462	/spread

China Merchants Bank Co Ltd (CMB: Multiplier = 500)	Full Rate	500	/lot	400	/lot
China Merchants Bank Co Ltd (CMB: Multiplier = 500)	Spread Rate	150	/spread	120	/spread

China Merchants Bank Co Ltd (CMA: Multiplier = 512)	Full Rate	512	/lot	409	/lot
China Merchants Bank Co Ltd (CMA: Multiplier = 512)	Spread Rate	154	/spread	123	/spread

CNOOC Ltd	Full Rate	965	/lot	772	/lot
CNOOC Ltd	Spread Rate	290	/spread	232	/spread

Cathay Pacific Airways Ltd	Full Rate	974	/lot	780	/lot
Cathay Pacific Airways Ltd	Spread Rate	293	/spread	234	/spread

China Petroleum & Chemical Corporation (CPC: Multiplier = 2,000)	Full Rate	765	/lot	612	/lot
	Spread Rate	230	/spread	184	/spread

China Petroleum & Chemical Corporation (CPD: Multiplier = 2,600)	Full Rate	995	/lot	796	/lot
	Spread Rate	299	/spread	239	/spread

CSOP FTSE China A50 ETF	Full Rate	2,900	/lot	2,320	/lot
CSOP FTSE China A50 ETF	Spread Rate	870	/spread	696	/spread

China Telecom Corporation Ltd	Full Rate	680	/lot	544	/lot
China Telecom Corporation Ltd	Spread Rate	204	/spread	164	/spread

Esprit Holdings Ltd	Full Rate	105	/lot	84	/lot
Esprit Holdings Ltd	Spread Rate	32	/spread	26	/spread

FIH Mobile Limited	Full Rate	599	/lot	479	/lot
FIH Mobile Limited	Spread Rate	180	/spread	144	/spread

Power Assets Holdings Ltd	Full Rate	2,080	/lot	1,660	/lot
Power Assets Holdings Ltd	Spread Rate	624	/spread	498	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	783	/lot	626	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	235	/spread	188	/spread

HSBC Holdings Plc	Full Rate	2,120	/lot	1,700	/lot
HSBC Holdings Plc	Spread Rate	636	/spread	510	/spread

Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Full Rate	1,140	/lot	910	/lot
Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Spread Rate	342	/spread	273	/spread

Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Full Rate	1,254	/lot	1,001	/lot
Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Spread Rate	376	/spread	300	/spread

Henderson Land Development Co Ltd (HLD: Multiplier = 1,000)	Full Rate	2,910	/lot	2,330	/lot
Henderson Land Development Co Ltd (HLD: Multiplier = 1,000)	Spread Rate	873	/spread	699	/spread

Henderson Land Development Co Ltd (HLA: Multiplier = 1,100)	Full Rate	3,201	/lot	2,563	/lot
Henderson Land Development Co Ltd (HLA: Multiplier = 1,100)	Spread Rate	960	/spread	769	/spread

Huaneng Power International Inc	Full Rate	1,790	/lot	1,430	/lot
Huaneng Power International Inc	Spread Rate	537	/spread	429	/spread

Hang Seng Bank Ltd	Full Rate	804	/lot	643	/lot
Hang Seng Bank Ltd	Spread Rate	242	/spread	193	/spread

Hutchison Whampoa Ltd	Full Rate	6,040	/lot	4,830	/lot
Hutchison Whampoa Ltd	Spread Rate	1,820	/spread	1,450	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	332	/lot	266	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	100	/spread	80	/spread

Li & Fung Ltd	Full Rate	1,510	/lot	1,210	/lot
Li & Fung Ltd	Spread Rate	453	/spread	363	/spread

MTR Corporation Ltd	Full Rate	936	/lot	749	/lot
MTR Corporation Ltd	Spread Rate	281	/spread	225	/spread

New World Development Co Ltd	Full Rate	700	/lot	560	/lot
New World Development Co Ltd	Spread Rate	210	/spread	168	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	1,820	/lot	1,450	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	546	/spread	435	/spread

PetroChina Company Ltd	Full Rate	1,120	/lot	894	/lot
PetroChina Company Ltd	Spread Rate	336	/spread	269	/spread

PICC Property and Casualty Company Limited (PIC: Multiplier = 2,000)	Full Rate	1,510	/lot	1,210	/lot
	Spread Rate	453	/spread	363	/spread

PICC Property and Casualty Company Limited (PIA: Multiplier = 2,093)	Full Rate	1,580	/lot	1,266	/lot
	Spread Rate	474	/spread	380	/spread

Sun Hung Kai Properties Ltd	Full Rate	6,340	/lot	5,070	/lot
Sun Hung Kai Properties Ltd	Spread Rate	1,910	/spread	1,530	/spread

Swire Pacific Ltd ‘A’	Full Rate	2,830	/lot	2,260	/lot
Swire Pacific Ltd ‘A’	Spread Rate	849	/spread	678	/spread

The Wharf (Holdings) Ltd	Full Rate	4,550	/lot	3,640	/lot
The Wharf (Holdings) Ltd	Spread Rate	1,370	/spread	1,100	/spread

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

Gold Futures	Full Rate	8,610	/lot	6,890	/lot
Gold Futures	Spread Rate	2,590	/spread	2,070	/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 3rd month 1st month vs 4th month 1st month vs 5th month 1st month vs 6th month 2nd month vs 3rd month 2nd month vs 4th month 2nd month vs 5th month 2nd month vs 6th month	1,310 per spread	1,048 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	1,310 per spread	1,048 per spread
3rd month vs 7th month 3rd month vs 8th month 3rd month vs 9th month 3rd month vs 10th month 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	1,270 per spread	1,020 per spread
3rd month vs 4th month 3rd month vs 5th month 3rd month vs 6th month 4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	1,190 per spread	950 per spread
1st month vs 2nd month	448 per spread	358 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	197 per spread	158 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	471 per spread	377 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	471 per spread	377 per spread
2nd month vs 3rd month	229 per spread	183 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	229 per spread	183 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	110 per spread	88 per spread

Ends

Updated 29 Oct 2013