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HKFE Announces Revised Margins for Futures Contracts

Market Operations
28 Oct 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, 1 November 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 74,000 /lot 59,200 /lot
Spread Rate 7,500 /spread 6,000 /spread
Mini-Hang Seng Index Full Rate 14,800 /lot 11,840 /lot
Spread Rate 1,500 /spread 1,200 /spread
H-shares Index Full Rate 42,650 /lot 34,100 /lot
Spread Rate 12,800 /spread 10,250 /spread
Mini H-shares Index Full Rate 8,530 /lot 6,820 /lot
Spread Rate 2,560 /spread 2,050 /spread
Three-Year EFN Full Rate 10,810 /lot 8,650 /lot
Spread Rate 3,250 /spread 2,600 /spread
One-Month HIBOR Full Rate 918 /lot 734 /lot
Spread Rate Please refer to attached table 
Three-Month HIBOR Full Rate 697 /lot 558 /lot
Spread Rate

Please refer to attached table 

Aluminum Corporation of China Ltd Full Rate 1,500 /lot 1,200 /lot
Spread Rate 450 /spread 360 /spread
Bank of China Ltd Full Rate 301 /lot 241 /lot
Spread Rate 91 /spread 73 /spread
Bank of Communications Co Ltd
(BCM-Multiplier = 1,000)
Full Rate 589 /lot 471 /lot
Spread Rate 177 /spread 142 /spread
Bank of Communications Co Ltd
(BCA-Multiplier = 1,054)
Full Rate 621 /lot 497 /lot
Spread Rate 187 /spread 150 /spread
The Bank of East Asia Ltd Full Rate 431 /lot 345 /lot
Spread Rate 130 /spread 104 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 844 /lot 675 /lot
Spread Rate 254 /spread 203 /spread
China Construction Bank Corporation Full Rate 472 /lot 378 /lot
Spread Rate 142 /spread 114 /spread
China Communications Construction Co Ltd Full Rate 514 /lot 411 /lot
Spread Rate 155 /spread 124 /spread
China Mobile Ltd Full Rate 2,530 /lot 2,030 /lot
Spread Rate 759 /spread 609 /spread
China Unicom (Hong Kong) Ltd Full Rate 1,760 /lot 1,410 /lot
Spread Rate 528 /spread 423 /spread
CITIC Pacific Ltd Full Rate 1,900 /lot 1,520 /lot
Spread Rate 570 /spread 456 /spread
Cheung Kong (Holdings) Ltd Full Rate 8,230 /lot 6,590 /lot
Spread Rate 2,470 /spread 1,980 /spread
China Life Insurance Company Ltd Full Rate 2,970 /lot 2,380 /lot
Spread Rate 891 /spread 714 /spread
CLP Holdings Ltd Full Rate 2,030 /lot 1,620 /lot
Spread Rate 609 /spread 486 /spread
China Merchants Bank Co Ltd Full Rate 841 /lot 673 /lot
Spread Rate 253 /spread 202 /spread
CNOOC Ltd Full Rate 1,350 /lot 1,080 /lot
Spread Rate 405 /spread 324 /spread
Cathay Pacific Airways Ltd Full Rate 1,850 /lot 1,480 /lot
Spread Rate 555 /spread 444 /spread
China Petroleum & Chemical Corporation Full Rate 923 /lot 738 /lot
Spread Rate 277 /spread 222 /spread
China Telecom Corporation Ltd Full Rate 606 /lot 485 /lot
Spread Rate 182 /spread 146 /spread
Esprit Holdings Ltd Full Rate 338 /lot 271 /lot
Spread Rate 102 /spread 82 /spread
Foxconn International Holdings Ltd Full Rate 647 /lot 518 /lot
Spread Rate 195 /spread 156 /spread
Hongkong Electric Holdings Ltd Full Rate 1,560 /lot 1,250 /lot
Spread Rate 468 /spread 375 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 1,310 /lot 1,050 /lot
Spread Rate 393 /spread 315 /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 1,200 /lot 953 /lot
Spread Rate 360 /spread 286 /spread
Hong Kong and China Gas Co Ltd
(HKA-Multiplier =1,100)
Full Rate 1,320 /lot 1,049 /lot
Spread Rate 396 /spread 315 /spread
Henderson Land Development Co Ltd
(HLD-Multiplier=1,000)
Full Rate 3,590 /lot 2,870 /lot
Spread Rate 1,080 /spread 861 /spread
Henderson Land Development Co Ltd
(HLA-Multiplier= 1,021)
Full Rate 3,666 /lot 2,930 /lot
Spread Rate 1,103 /spread 879 /spread
Huaneng Power International Inc Full Rate 632 /lot 506 /lot
Spread Rate 190 /spread 152 /spread
Hang Seng Bank Ltd Full Rate 722 /lot 578 /lot
Spread Rate 217 /spread 174 /spread
Hutchison Whampoa Ltd Full Rate 6,530 /lot 5,230 /lot
Spread Rate 1,960 /spread 1,570 /spread
Industrial and Commercial Bank of China Ltd Full Rate 398 /lot 318 /lot
Spread Rate 120 /spread 96 /spread
Li & Fung Ltd Full Rate 5,870 /lot 4,700 /lot
Spread Rate 1,770 /spread 1,410 /spread
MTR Corporation Ltd Full Rate 948 /lot 759 /lot
Spread Rate 285 /spread 228 /spread
New World Development Co Ltd Full Rate 1,230 /lot 983 /lot
Spread Rate 369 /spread 295 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 4,180 /lot 3,340 /lot
Spread Rate 1,260 /spread 1,010 /spread
PetroChina Company Ltd Full Rate 1,320 /lot 1,060 /lot
Spread Rate 396 /spread 318 /spread
PICC Property and Casualty Co Ltd Full Rate 2,370 /lot 1,900 /lot
Spread Rate 711 /spread 570 /spread
Sun Hung Kai Properties Ltd Full Rate 8,500 /lot 6,800 /lot
Spread Rate 2,550 /spread 2,040 /spread
Swire Pacific Ltd “A”
(Trading Symbol: SWA & SWB)
Full Rate 3,480 /lot 2,780 /lot
Spread Rate 1,050 /spread 834 /spread
Wharf (Holdings) Ltd Full Rate 3,230 /lot 2,580 /lot
Spread Rate 969 /spread 774 /spread


Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 5,910 /lot 4,730 /lot
Spread Rate 1,780 /spread 1,420 /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
1,390
per spread
1,110
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
1,390
per spread
1,110
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
1,390
per spread
1,110
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
1,090
per spread
867
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
972
per spread
778
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
210
per spread
168
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
536
per spread
429
per spread
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
512
per spread
410
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
398
per spread
318
per spread
2nd month vs 3rd month 331
per spread
265
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
276
per spread
221
per spread

Ends

Updated 28 Oct 2010