HKFE Announces Revised Margins for Futures Contracts

Market Operations

29 May 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 Friday, 1 June 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	58,100	/lot	46,500	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	11,620	/lot	9,300	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	33,750	/lot	27,000	/lot
H-shares Index	Spread Rate	10,150	/spread	8,100	/spread

Mini H-shares Index	Full Rate	6,750	/lot	5,400	/lot
Mini H-shares Index	Spread Rate	2,030	/spread	1,620	/spread

HSCEI Dividend Point Index	Full Rate	1,880	/lot	1,510	/lot
HSCEI Dividend Point Index	Spread Rate	2,260	/spread	1,820	/spread

HSI Dividend Point Index	Full Rate	3,610	/lot	2,890	/lot
HSI Dividend Point Index	Spread Rate	4,340	/spread	3,470	/spread

HSI Volatility Index	Full Rate	40,180	/lot	32,150	/lot
	Spread Rate	12,060	/spread	9,650	/spread

IBOVESPA Futures	Full Rate	24,160	/lot	19,330	/lot
IBOVESPA Futures	Spread Rate	7,250	/spread	5,800	/spread

Sensex Index Futures	Full Rate	9,880	/lot	7,900	/lot
Sensex Index Futures	Spread Rate	2,970	/spread	2,370	/spread

MICEX Index Futures	Full Rate	14,380	/lot	11,500	/lot
MICEX Index Futures	Spread Rate	4,320	/spread	3,450	/spread

FTSE/JSE Top40 Futures	Full Rate	18,390	/lot	14,710	/lot
FTSE/JSE Top40 Futures	Spread Rate	5,520	/spread	4,420	/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	256	/lot	205	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	507	/lot	406	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	714	/lot	572	/lot
Aluminum Corporation of China Ltd	Spread Rate	215	/spread	172	/spread

Bank of China Ltd	Full Rate	202	/lot	161	/lot
Bank of China Ltd	Spread Rate	61	/spread	49	/spread

Bank of Communications Co Ltd	Full Rate	449	/lot	360	/lot
Bank of Communications Co Ltd	Spread Rate	135	/spread	108	/spread

The Bank of East Asia Ltd	Full Rate	391	/lot	313	/lot
The Bank of East Asia Ltd	Spread Rate	118	/spread	94	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	663	/lot	531	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	199	/spread	160	/spread

China Construction Bank Corporation	Full Rate	413	/lot	331	/lot
China Construction Bank Corporation	Spread Rate	124	/spread	100	/spread

China Communications Construction Co Ltd	Full Rate	890	/lot	712	/lot
China Communications Construction Co Ltd	Spread Rate	267	/spread	214	/spread

China Mobile Ltd	Full Rate	2,610	/lot	2,090	/lot
China Mobile Ltd	Spread Rate	783	/spread	627	/spread

China Unicom (Hong Kong) Ltd	Full Rate	2,500	/lot	2,000	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	750	/spread	600	/spread

CITIC Pacific Ltd	Full Rate	710	/lot	568	/lot
CITIC Pacific Ltd	Spread Rate	213	/spread	171	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,300	/lot	5,840	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,190	/spread	1,760	/spread

China Life Insurance Company Ltd	Full Rate	1,710	/lot	1,370	/lot
China Life Insurance Company Ltd	Spread Rate	513	/spread	411	/spread

CLP Holdings Ltd	Full Rate	1,980	/lot	1,590	/lot
CLP Holdings Ltd	Spread Rate	594	/spread	477	/spread

China Merchants Bank Co Ltd	Full Rate	628	/lot	503	/lot
China Merchants Bank Co Ltd	Spread Rate	189	/spread	151	/spread

CNOOC Ltd	Full Rate	1,200	/lot	959	/lot
CNOOC Ltd	Spread Rate	360	/spread	288	/spread

Cathay Pacific Airways Ltd	Full Rate	1,120	/lot	894	/lot
Cathay Pacific Airways Ltd	Spread Rate	336	/spread	269	/spread

China Petroleum & Chemical Corporation	Full Rate	964	/lot	771	/lot
China Petroleum & Chemical Corporation	Spread Rate	290	/spread	232	/spread

China Telecom Corporation Ltd	Full Rate	612	/lot	489	/lot
China Telecom Corporation Ltd	Spread Rate	184	/spread	147	/spread

Esprit Holdings Ltd	Full Rate	234	/lot	187	/lot
Esprit Holdings Ltd	Spread Rate	71	/spread	57	/spread

Foxconn International Holdings Ltd	Full Rate	758	/lot	607	/lot
Foxconn International Holdings Ltd	Spread Rate	228	/spread	183	/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	811	/lot	649	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	244	/spread	195	/spread

HSBC Holdings Plc	Full Rate	1,730	/lot	1,390	/lot
HSBC Holdings Plc	Spread Rate	519	/spread	417	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,120	/lot	896	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	336	/spread	269	/spread

Henderson Land Development Co Ltd	Full Rate	3,260	/lot	2,610	/lot
Henderson Land Development Co Ltd	Spread Rate	978	/spread	783	/spread

Huaneng Power International Inc	Full Rate	888	/lot	710	/lot
Huaneng Power International Inc	Spread Rate	267	/spread	213	/spread

Hang Seng Bank Ltd	Full Rate	625	/lot	500	/lot
Hang Seng Bank Ltd	Spread Rate	188	/spread	150	/spread

Hutchison Whampoa Ltd	Full Rate	4,680	/lot	3,750	/lot
Hutchison Whampoa Ltd	Spread Rate	1,410	/spread	1,130	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	315	/lot	252	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	95	/spread	76	/spread

Li & Fung Ltd	Full Rate	3,810	/lot	3,050	/lot
Li & Fung Ltd	Spread Rate	1,150	/spread	915	/spread

MTR Corporation Ltd	Full Rate	789	/lot	631	/lot
MTR Corporation Ltd	Spread Rate	237	/spread	190	/spread

New World Development Co Ltd (NWD - Multiplier = 1,000)	Full Rate	998	/lot	798	/lot
New World Development Co Ltd (NWD - Multiplier = 1,000)	Spread Rate	300	/spread	240	/spread

New World Development Co Ltd (NWA - Multiplier = 1,089)	Full Rate	1,087	/lot	869	/lot
New World Development Co Ltd (NWA - Multiplier = 1,089)	Spread Rate	327	/spread	261	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,770	/lot	2,220	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	831	/spread	666	/spread

PetroChina Company Ltd	Full Rate	1,620	/lot	1,300	/lot
PetroChina Company Ltd	Spread Rate	486	/spread	390	/spread

PICC Property and Casualty Company Limited (PIC - Multiplier = 2,000)	Full Rate	2,140	/lot	1,710	/lot
	Spread Rate	642	/spread	513	/spread

PICC Property and Casualty Company Limited (PIA - Multiplier = 2,098)	Full Rate	2,245	/lot	1,794	/lot
	Spread Rate	673	/spread	538	/spread

Sun Hung Kai Properties Ltd	Full Rate	8,930	/lot	7,150	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,680	/spread	2,150	/spread

Swire Pacific Ltd ‘A’ (SWA - Multiplier = 500)	Full Rate	2,850	/lot	2,280	/lot
Swire Pacific Ltd ‘A’ (SWA - Multiplier = 500)	Spread Rate	855	/spread	684	/spread

Swire Pacific Ltd ‘A’ (SWE - Multiplier = 575)	Full Rate	3,280	/lot	2,624	/lot
Swire Pacific Ltd ‘A’ (SWE - Multiplier = 575)	Spread Rate	984	/spread	787	/spread

Wharf (Holdings) Ltd	Full Rate	3,480	/lot	2,790	/lot
Wharf (Holdings) Ltd	Spread Rate	1,050	/spread	837	/spread

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

Gold Futures	Full Rate	8,190	/lot	6,550	/lot
Gold Futures	Spread Rate	2,460	/spread	1,970	/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	1,010 per spread	808 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	1,010 per spread	808 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	935 per spread	748 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	876 per spread	701 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	594 per spread	475 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	153 per spread	123 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	468 per spread	374 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	423 per spread	339 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	399 per spread	319 per spread
2nd month vs 3rd month	328 per spread	263 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	77 per spread	62 per spread

Ends

Updated 29 May 2012