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HKFE Announces Revised Margins for Futures Contracts

Market Operations
29 Sep 2010

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, 4 October 2010, 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 68,950 /lot 55,150 /lot
Spread Rate 7,500 /spread 6,000 /spread
Mini-Hang Seng Index Full Rate 13,790 /lot 11,030 /lot
Spread Rate 1,500 /spread 1,200 /spread
H-shares Index Full Rate 38,250 /lot 30,600 /lot
Spread Rate 11,500 /spread 9,200 /spread
Mini H-shares Index Full Rate 7,650 /lot 6,120 /lot
Spread Rate 2,300 /spread 1,840 /spread
Three-Year EFN Full Rate 10,650 /lot 8,520 /lot
Spread Rate 3,200 /spread 2,560 /spread
One-Month HIBOR Full Rate 724 /lot 579 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 820 /lot 656 /lot
Spread Rate Please refer to attached table
Aluminum Corporation of China Ltd Full Rate 1,190 /lot 952 /lot
Spread Rate 357 /spread 286 /spread
Bank of China Ltd Full Rate 256 /lot 205 /lot
Spread Rate 77 /spread 62 /spread
Bank of Communications Co Ltd
(
BCM-Multiplier = 1,000)
Full Rate 527 /lot 421 /lot
Spread Rate 159 /spread 127 /spread
Bank of Communications Co Ltd
(BCA-Multiplier = 1,054)
Full Rate 556 /lot 444 /lot
Spread Rate 168 /spread 134 /spread
The Bank of East Asia Ltd Full Rate 405 /lot 324 /lot
Spread Rate 122 /spread 98 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 764 /lot 612 /lot
Spread Rate 230 /spread 184 /spread
China Construction Bank Corporation Full Rate 421 /lot 337 /lot
Spread Rate 127 /spread 102 /spread
China Communications Construction Co Ltd Full Rate 514 /lot 411 /lot
Spread Rate 155 /spread 124 /spread
China Mobile Ltd Full Rate 2,490 /lot 1,990 /lot
Spread Rate 747 /spread 597 /spread
China Unicom (Hong Kong) Ltd Full Rate 1,960 /lot 1,570 /lot
Spread Rate 588 /spread 471 /spread
CITIC Pacific Ltd Full Rate 1,220 /lot 971 /lot
Spread Rate 366 /spread 292 /spread
Cheung Kong (Holdings) Ltd Full Rate 6,810 /lot 5,450 /lot
Spread Rate 2,050 /spread 1,640 /spread
China Life Insurance Company Ltd Full Rate 2,160 /lot 1,730 /lot
Spread Rate 648 /spread 519 /spread
CLP Holdings Ltd Full Rate 1,910 /lot 1,530 /lot
Spread Rate 573 /spread 459 /spread
China Merchants Bank Co Ltd Full Rate 742 /lot 593 /lot
Spread Rate 223 /spread 178 /spread
CNOOC Ltd Full Rate 919 /lot 735 /lot
Spread Rate 276 /spread 221 /spread
Cathay Pacific Airways Ltd Full Rate 1,690 /lot 1,350 /lot
Spread Rate 507 /spread 405 /spread
China Petroleum & Chemical Corporation Full Rate 830 /lot 664 /lot
Spread Rate 249 /spread 200 /spread
China Telecom Corporation Ltd Full Rate 628 /lot 502 /lot
Spread Rate 189 /spread 151 /spread
Esprit Holdings Ltd Full Rate 412 /lot 330 /lot
Spread Rate 124 /spread 99 /spread
Foxconn International Holdings Ltd Full Rate 666 /lot 533 /lot
Spread Rate 200 /spread 160 /spread
Hongkong Electric Holdings Ltd Full Rate 1,500 /lot 1,200 /lot
Spread Rate 450 /spread 360 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 925 /lot 740 /lot
Spread Rate 278 /spread 222 /spread
HSBC Holdings Plc Full Rate 2,040 /lot 1,640 /lot
Spread Rate 612 /spread 492 /spread
Hong Kong and China Gas Co Ltd
(HKG-Multiplier =1,000)
Full Rate 1,220 /lot 971 /lot
Spread Rate 366 /spread 292 /spread
Hong Kong and China Gas Co Ltd
(HKA-Multiplier =1,100)
Full Rate 1,342 /lot 1,069 /lot
Spread Rate 403 /spread 322 /spread
Henderson Land Development Co Ltd
(HLD-Multiplier=1,000)
Full Rate 3,260 /lot 2,610 /lot
Spread Rate 978 /spread 783 /spread
Henderson Land Development Co Ltd
(HLA-Multiplier= 1,021)
Full Rate 3,329 /lot 2,665 /lot
Spread Rate 999 /spread 800 /spread
Huaneng Power International Inc Full Rate 719 /lot 575 /lot
Spread Rate 216 /spread 173 /spread
Hang Seng Bank Ltd Full Rate 711 /lot 569 /lot
Spread Rate 214 /spread 171 /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 366 /lot 293 /lot
Spread Rate 110 /spread 88 /spread
Li & Fung Ltd Full Rate 6,060 /lot 4,850 /lot
Spread Rate 1,820 /spread 1,460 /spread
MTR Corporation Ltd Full Rate 898 /lot 719 /lot
Spread Rate 270 /spread 216 /spread
New World Development Co Ltd Full Rate 1,130 /lot 902 /lot
Spread Rate 339 /spread 271 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 3,110 /lot 2,490 /lot
Spread Rate 933 /spread 747 /spread
PetroChina Company Ltd Full Rate 1,090 /lot 867 /lot
Spread Rate 327 /spread 261 /spread
PICC Property and Casualty Co Ltd Full Rate 1,760 /lot 1,410 /lot
Spread Rate 528 /spread 423 /spread
Sun Hung Kai Properties Ltd Full Rate 7,700 /lot 6,160 /lot
Spread Rate 2,310 /spread 1,850 /spread
Swire Pacific Ltd “A”
(Trading Symbol: SWA & SWB)
Full Rate 3,280 /lot 2,630 /lot
Spread Rate 984 /spread 789 /spread
Wharf (Holdings) Ltd Full Rate 3,150 /lot 2,520 /lot
Spread Rate 945 /spread 756 /spread

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 4,800 /lot 3,840 /lot
Spread Rate 1,440 /spread 1,160 /spread

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
1,640
per spread
1,310
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
1,640
per spread
1,310
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
1,640
per spread
1,310
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
1,490
per spread
1,190
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
1,190
per spread
946
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
246
per spread
197
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
452
per spread
362
per spread
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
411
per spread
329
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
388
per spread
310
per spread
2nd month vs 3rd month 260
per spread
208
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
218
per spread
174
per spread

Ends

Updated 29 Sep 2010