HKFE Announces Revised Margins for Futures Contracts

Market Operations

29 Mar 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 Monday, 2 April 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	65,250	/lot	52,200	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	13,050	/lot	10,440	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	36,650	/lot	29,350	/lot
H-shares Index	Spread Rate	11,000	/spread	8,850	/spread

Mini H-shares Index	Full Rate	7,330	/lot	5,870	/lot
Mini H-shares Index	Spread Rate	2,200	/spread	1,770	/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	3,550	/lot	2,840	/lot
HSI Dividend Point Index	Spread Rate	4,260	/spread	3,410	/spread

HSI Volatility Index	Full Rate	29,040	/lot	23,230	/lot
	Spread Rate	8,720	/spread	6,970	/spread

IBOVESPA Futures	Full Rate	20,570	/lot	16,460	/lot
IBOVESPA Futures	Spread Rate	6,170	/spread	4,940	/spread

MICEX Index Futures	Full Rate	17,340	/lot	13,870	/lot
MICEX Index Futures	Spread Rate	5,210	/spread	4,170	/spread

Sensex Index Futures	Full Rate	10,860	/lot	8,690	/lot
Sensex Index Futures	Spread Rate	3,260	/spread	2,610	/spread

FTSE/JSE Top40 Futures	Full Rate	18,580	/lot	14,860	/lot
FTSE/JSE Top40 Futures	Spread Rate	5,580	/spread	4,460	/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	533	/lot	427	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	998	/lot	799	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	890	/lot	712	/lot
Aluminum Corporation of China Ltd	Spread Rate	267	/spread	214	/spread

Bank of China Ltd	Full Rate	206	/lot	165	/lot
Bank of China Ltd	Spread Rate	62	/spread	50	/spread

Bank of Communications Co Ltd	Full Rate	543	/lot	435	/lot
Bank of Communications Co Ltd	Spread Rate	163	/spread	131	/spread

The Bank of East Asia Ltd	Full Rate	366	/lot	293	/lot
The Bank of East Asia Ltd	Spread Rate	110	/spread	88	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	659	/lot	527	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	198	/spread	159	/spread

China Construction Bank Corporation	Full Rate	378	/lot	302	/lot
China Construction Bank Corporation	Spread Rate	113	/spread	91	/spread

China Communications Construction Co Ltd	Full Rate	816	/lot	653	/lot
China Communications Construction Co Ltd	Spread Rate	245	/spread	196	/spread

China Mobile Ltd	Full Rate	2,950	/lot	2,360	/lot
China Mobile Ltd	Spread Rate	885	/spread	708	/spread

China Unicom (Hong Kong) Ltd	Full Rate	2,660	/lot	2,130	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	798	/spread	639	/spread

CITIC Pacific Ltd	Full Rate	994	/lot	795	/lot
CITIC Pacific Ltd	Spread Rate	299	/spread	239	/spread

Cheung Kong (Holdings) Ltd	Full Rate	8,030	/lot	6,730	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,410	/spread	2,020	/spread

China Life Insurance Company Ltd	Full Rate	2,320	/lot	1,860	/lot
China Life Insurance Company Ltd	Spread Rate	696	/spread	558	/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	744	/lot	595	/lot
China Merchants Bank Co Ltd	Spread Rate	224	/spread	179	/spread

CNOOC Ltd	Full Rate	1,190	/lot	949	/lot
CNOOC Ltd	Spread Rate	357	/spread	285	/spread

Cathay Pacific Airways Ltd	Full Rate	1,160	/lot	925	/lot
Cathay Pacific Airways Ltd	Spread Rate	348	/spread	278	/spread

China Petroleum & Chemical Corporation	Full Rate	1,370	/lot	1,100	/lot
China Petroleum & Chemical Corporation	Spread Rate	411	/spread	330	/spread

China Telecom Corporation Ltd	Full Rate	734	/lot	587	/lot
China Telecom Corporation Ltd	Spread Rate	221	/spread	177	/spread

Esprit Holdings Ltd	Full Rate	321	/lot	257	/lot
Esprit Holdings Ltd	Spread Rate	97	/spread	78	/spread

Foxconn International Holdings Ltd	Full Rate	647	/lot	518	/lot
Foxconn International Holdings Ltd	Spread Rate	195	/spread	156	/spread

Power Assets Holdings Ltd	Full Rate	1,780	/lot	1,430	/lot
Power Assets Holdings Ltd	Spread Rate	534	/spread	429	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	888	/lot	710	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	267	/spread	213	/spread

HSBC Holdings Plc	Full Rate	1,750	/lot	1,400	/lot
HSBC Holdings Plc	Spread Rate	525	/spread	420	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,280	/lot	1,030	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	384	/spread	309	/spread

Henderson Land Development Co Ltd	Full Rate	3,470	/lot	2,780	/lot
Henderson Land Development Co Ltd	Spread Rate	1,050	/spread	834	/spread

Huaneng Power International Inc	Full Rate	1,120	/lot	895	/lot
Huaneng Power International Inc	Spread Rate	336	/spread	269	/spread

Hang Seng Bank Ltd	Full Rate	640	/lot	512	/lot
Hang Seng Bank Ltd	Spread Rate	192	/spread	154	/spread

Hutchison Whampoa Ltd	Full Rate	5,140	/lot	4,110	/lot
Hutchison Whampoa Ltd	Spread Rate	1,550	/spread	1,240	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	430	/lot	344	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	129	/spread	104	/spread

Li & Fung Ltd	Full Rate	3,290	/lot	2,640	/lot
Li & Fung Ltd	Spread Rate	987	/spread	792	/spread

MTR Corporation Ltd	Full Rate	853	/lot	683	/lot
MTR Corporation Ltd	Spread Rate	256	/spread	205	/spread

New World Development Co Ltd (NWD - Multiplier = 1,000)	Full Rate	924	/lot	739	/lot
New World Development Co Ltd (NWD - Multiplier = 1,000)	Spread Rate	278	/spread	222	/spread

New World Development Co Ltd (NWA - Multiplier = 1,089)	Full Rate	1,006	/lot	805	/lot
New World Development Co Ltd (NWA - Multiplier = 1,089)	Spread Rate	303	/spread	242	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	3,210	/lot	2,570	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	963	/spread	771	/spread

PetroChina Company Ltd	Full Rate	1,390	/lot	1,110	/lot
PetroChina Company Ltd	Spread Rate	417	/spread	333	/spread

PICC Property and Casualty Company Limited (PIC - Multiplier = 2,000)	Full Rate	2,280	/lot	1,830	/lot
	Spread Rate	684	/spread	549	/spread

PICC Property and Casualty Company Limited (PIA - Multiplier = 2,098)	Full Rate	2,391	/lot	1,919	/lot
	Spread Rate	717	/spread	576	/spread

Sun Hung Kai Properties Ltd	Full Rate	7,370	/lot	5,900	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,220	/spread	1,770	/spread

Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Full Rate	2,800	/lot	2,240	/lot
Swire Pacific Ltd “A” (SWA - Multiplier = 500)	Spread Rate	840	/spread	672	/spread

Swire Pacific Ltd. 'A' (SWE - Multiplier = 575)	Full Rate	3,223	/lot	2,578	/lot
Swire Pacific Ltd. 'A' (SWE - Multiplier = 575)	Spread Rate	967	/spread	773	/spread

Wharf (Holdings) Ltd	Full Rate	3,530	/lot	2,830	/lot
Wharf (Holdings) Ltd	Spread Rate	1,060	/spread	849	/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	1,400 per spread	1,120 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	1,340 per spread	1,070 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	1,140 per spread	911 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	945 per spread	756 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	940 per spread	752 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	300 per spread	240 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	667 per spread	534 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	662 per spread	529 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	601 per spread	481 per spread
2nd month vs 3rd month	582 per spread	466 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	160 per spread	128 per spread

Ends

Updated 29 Mar 2012