HKFE Announces Revised Margins for Futures Contracts

Market Operations

27 Feb 2012

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 Thursday, 1 March 2012, 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	67,650	/lot	54,100	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	13,530	/lot	10,820	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	39,950	/lot	32,000	/lot
H-shares Index	Spread Rate	12,000	/spread	9,600	/spread

Mini H-shares Index	Full Rate	7,990	/lot	6,400	/lot
Mini H-shares Index	Spread Rate	2,400	/spread	1,920	/spread

HSCEI Dividend Point Index	Full Rate	1,720	/lot	1,380	/lot
HSCEI Dividend Point Index	Spread Rate	2,070	/spread	1,660	/spread

HSI Dividend Point Index	Full Rate	3,490	/lot	2,800	/lot
HSI Dividend Point Index	Spread Rate	4,190	/spread	3,360	/spread

HSI Volatility Index	Full Rate	34,580	/lot	27,660	/lot
	Spread Rate	10,380	/spread	8,300	/spread

Three-Year EFN	Full Rate	10,890	/lot	8,710	/lot
Three-Year EFN	Spread Rate	3,270	/spread	2,620	/spread

One-Month HIBOR	Full Rate	708	/lot	566	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	947	/lot	757	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	1,090	/lot	871	/lot
Aluminum Corporation of China Ltd	Spread Rate	327	/spread	262	/spread

Bank of China Ltd	Full Rate	253	/lot	202	/lot
Bank of China Ltd	Spread Rate	76	/spread	61	/spread

Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Full Rate	605	/lot	484	/lot
Bank of Communications Co Ltd (BCM - Multiplier =1,000)	Spread Rate	182	/spread	146	/spread

Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Full Rate	666	/lot	532	/lot
Bank of Communications Co Ltd (BCA - Multiplier =1,100)	Spread Rate	200	/spread	161	/spread

The Bank of East Asia Ltd	Full Rate	498	/lot	398	/lot
The Bank of East Asia Ltd	Spread Rate	150	/spread	120	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	687	/lot	550	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	207	/spread	165	/spread

China Construction Bank Corporation	Full Rate	429	/lot	343	/lot
China Construction Bank Corporation	Spread Rate	129	/spread	103	/spread

China Communications Construction Co Ltd	Full Rate	791	/lot	633	/lot
China Communications Construction Co Ltd	Spread Rate	238	/spread	190	/spread

China Mobile Ltd	Full Rate	2,550	/lot	2,040	/lot
China Mobile Ltd	Spread Rate	765	/spread	612	/spread

China Unicom (Hong Kong) Ltd	Full Rate	3,070	/lot	2,460	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	921	/spread	738	/spread

CITIC Pacific Ltd	Full Rate	1,270	/lot	1,020	/lot
CITIC Pacific Ltd	Spread Rate	381	/spread	306	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,910	/lot	6,330	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,380	/spread	1,900	/spread

China Life Insurance Company Ltd	Full Rate	2,400	/lot	1,920	/lot
China Life Insurance Company Ltd	Spread Rate	720	/spread	576	/spread

CLP Holdings Ltd	Full Rate	2,080	/lot	1,670	/lot
CLP Holdings Ltd	Spread Rate	624	/spread	501	/spread

China Merchants Bank Co Ltd	Full Rate	874	/lot	699	/lot
China Merchants Bank Co Ltd	Spread Rate	263	/spread	210	/spread

CNOOC Ltd	Full Rate	1,440	/lot	1,150	/lot
CNOOC Ltd	Spread Rate	432	/spread	345	/spread

Cathay Pacific Airways Ltd	Full Rate	1,090	/lot	870	/lot
Cathay Pacific Airways Ltd	Spread Rate	327	/spread	261	/spread

China Petroleum & Chemical Corporation	Full Rate	1,600	/lot	1,280	/lot
China Petroleum & Chemical Corporation	Spread Rate	480	/spread	384	/spread

China Telecom Corporation Ltd	Full Rate	861	/lot	689	/lot
China Telecom Corporation Ltd	Spread Rate	259	/spread	207	/spread

Esprit Holdings Ltd	Full Rate	366	/lot	293	/lot
Esprit Holdings Ltd	Spread Rate	110	/spread	88	/spread

Foxconn International Holdings Ltd	Full Rate	705	/lot	564	/lot
Foxconn International Holdings Ltd	Spread Rate	212	/spread	170	/spread

Power Assets Holdings Ltd	Full Rate	1,740	/lot	1,400	/lot
Power Assets Holdings Ltd	Spread Rate	522	/spread	420	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,140	/lot	910	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	342	/spread	273	/spread

HSBC Holdings Plc	Full Rate	1,820	/lot	1,460	/lot
HSBC Holdings Plc	Spread Rate	546	/spread	438	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,200	/lot	955	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	360	/spread	287	/spread

Henderson Land Development Co Ltd	Full Rate	4,380	/lot	3,510	/lot
Henderson Land Development Co Ltd	Spread Rate	1,320	/spread	1,060	/spread

Huaneng Power International Inc	Full Rate	761	/lot	609	/lot
Huaneng Power International Inc	Spread Rate	229	/spread	183	/spread

Hang Seng Bank Ltd	Full Rate	626	/lot	501	/lot
Hang Seng Bank Ltd	Spread Rate	188	/spread	151	/spread

Hutchison Whampoa Ltd	Full Rate	4,950	/lot	3,960	/lot
Hutchison Whampoa Ltd	Spread Rate	1,490	/spread	1,190	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	559	/lot	447	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	168	/spread	135	/spread

Li & Fung Ltd	Full Rate	3,430	/lot	2,740	/lot
Li & Fung Ltd	Spread Rate	1,030	/spread	822	/spread

MTR Corporation Ltd	Full Rate	840	/lot	672	/lot
MTR Corporation Ltd	Spread Rate	252	/spread	202	/spread

New World Development Co Ltd (NWD - Multiplier = 1,000)	Full Rate	910	/lot	728	/lot
New World Development Co Ltd (NWD - Multiplier = 1,000)	Spread Rate	273	/spread	219	/spread

New World Development Co Ltd (NWA - Multiplier = 1,089)	Full Rate	991	/lot	793	/lot
New World Development Co Ltd (NWA - Multiplier = 1,089)	Spread Rate	297	/spread	238	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	3,650	/lot	2,920	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	1,100	/spread	876	/spread

PetroChina Company Ltd	Full Rate	1,480	/lot	1,190	/lot
PetroChina Company Ltd	Spread Rate	444	/spread	357	/spread

PICC Property and Casualty Company Limited (PIC - Multiplier = 2,000)	Full Rate	2,610	/lot	2,090	/lot
	Spread Rate	783	/spread	627	/spread

PICC Property and Casualty Company Limited (PIA - Multiplier = 2,098)	Full Rate	2,738	/lot	2,192	/lot
	Spread Rate	821	/spread	658	/spread

Sun Hung Kai Properties Ltd	Full Rate	8,410	/lot	6,730	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,530	/spread	2,020	/spread

Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Full Rate	3,160	/lot	2,530	/lot
Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Spread Rate	948	/spread	759	/spread

Swire Pacific Ltd. 'A' (SWE - Multiplier = 575)	Full Rate	3,637	/lot	2,912	/lot
Swire Pacific Ltd. 'A' (SWE - Multiplier = 575)	Spread Rate	1,091	/spread	874	/spread

Swire Pacific Ltd. 'A' (SWF - Multiplier = 575)	Full Rate	3,637	/lot	2,912	/lot
Swire Pacific Ltd. 'A' (SWF - Multiplier = 575)	Spread Rate	1,091	/spread	874	/spread

Wharf (Holdings) Ltd	Full Rate	4,330	/lot	3,460	/lot
Wharf (Holdings) Ltd	Spread Rate	1,300	/spread	1,040	/spread

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

Gold Futures	Full Rate	8,440	/lot	6,750	/lot
Gold Futures	Spread Rate	2,540	/spread	2,030	/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 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	1,430 per spread	1,140 per spread
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	1,380 per spread	1,100 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	1,130 per spread	903 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	1,060 per spread	843 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	908 per spread	726 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	285 per spread	228 per spread

Spread Margin Rates
for One-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	853 per spread	682 per spread
1st month vs 2nd month 1st month vs 3rd month	850 per spread	680 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	582 per spread	466 per spread
2nd month vs 3rd month	573 per spread	459 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	213 per spread	170 per spread

Ends

Updated 27 Feb 2012