HKFE Announces Revised Margins for Futures Contracts

Market Operations

27 Jul 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 Wednesday, 1 August 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	63,200	/lot		50,550	/lot
Hang Seng Index	Spread Rate	7,500	/spread		6,000	/spread

Mini-Hang Seng Index	Full Rate	12,640	/lot		10,110	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread		1,200	/spread

H-shares Index	Full Rate	33,900	/lot		27,150	/lot
H-shares Index	Spread Rate	10,200	/spread		8,150	/spread

Mini H-shares Index	Full Rate	6,780	/lot		5,430	/lot
Mini H-shares Index	Spread Rate	2,040	/spread		1,630	/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	33,860	/lot		27,090	/lot
	Spread Rate	10,160	/spread		8,130	/spread

IBOVESPA Futures	Full Rate	21,960		/lot	17,570	/lot
IBOVESPA Futures	Spread Rate	6,590		/spread	5,280	/spread

Sensex Index Futures	Full Rate	10,680		/lot	8,550	/lot
Sensex Index Futures	Spread Rate	3,210		/spread	2,570	/spread

FTSE/JSE Top40 Futures	Full Rate	18,520		/lot	14,820	/lot
FTSE/JSE Top40 Futures	Spread Rate	5,560		/spread	4,450	/spread

MICEX Index Futures	Full Rate	15,990		/lot	12,790	/lot
MICEX Index Futures	Spread Rate	4,800		/spread	3,840	/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	235		/lot	188	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	321		/lot	257	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	621		/lot	497	/lot
Aluminum Corporation of China Ltd	Spread Rate	187		/spread	150	/spread

Bank of China Ltd	Full Rate	176		/lot	141	/lot
Bank of China Ltd	Spread Rate	53		/spread	43	/spread

Bank of Communications Co Ltd	Full Rate	421		/lot	337	/lot
Bank of Communications Co Ltd	Spread Rate	127		/spread	102	/spread

The Bank of East Asia Ltd	Full Rate	468		/lot	374	/lot
The Bank of East Asia Ltd	Spread Rate	140		/spread	113	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	717		/lot	574	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	216		/spread	173	/spread

China Construction Bank Corporation	Full Rate	449		/lot	359	/lot
China Construction Bank Corporation	Spread Rate	135		/spread	108	/spread

China Communications Construction Co Ltd	Full Rate	674		/lot	539	/lot
China Communications Construction Co Ltd	Spread Rate	203		/spread	162	/spread

China Mobile Ltd	Full Rate	2,640		/lot	2,110	/lot
China Mobile Ltd	Spread Rate	792		/spread	633	/spread

China Unicom (Hong Kong) Ltd	Full Rate	2,690		/lot	2,160	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	807		/spread	648	/spread

CITIC Pacific Ltd	Full Rate	838		/lot	671	/lot
CITIC Pacific Ltd	Spread Rate	252		/spread	202	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,000		/lot	5,600	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,100		/spread	1,680	/spread

China Life Insurance Company Ltd	Full Rate	2,230		/lot	1,780	/lot
China Life Insurance Company Ltd	Spread Rate	669		/spread	534	/spread

CLP Holdings Ltd	Full Rate	2,070		/lot	1,660	/lot
CLP Holdings Ltd	Spread Rate	621		/spread	498	/spread

China Merchants Bank Co Ltd	Full Rate	599		/lot	479	/lot
China Merchants Bank Co Ltd	Spread Rate	180		/spread	144	/spread

CNOOC Ltd	Full Rate	1,420		/lot	1,130	/lot
CNOOC Ltd	Spread Rate	426		/spread	339	/spread

Cathay Pacific Airways Ltd	Full Rate	908		/lot	727	/lot
Cathay Pacific Airways Ltd	Spread Rate	273		/spread	219	/spread

China Petroleum & Chemical Corporation	Full Rate	950		/lot	760	/lot
China Petroleum & Chemical Corporation	Spread Rate	285		/spread	228	/spread

China Telecom Corporation Ltd	Full Rate	717		/lot	574	/lot
China Telecom Corporation Ltd	Spread Rate	216		/spread	173	/spread

Esprit Holdings Ltd	Full Rate	214		/lot	171	/lot
Esprit Holdings Ltd	Spread Rate	65		/spread	52	/spread

Foxconn International Holdings Ltd	Full Rate	389		/lot	311	/lot
Foxconn International Holdings Ltd	Spread Rate	117		/spread	94	/spread

Power Assets Holdings Ltd	Full Rate	1,870		/lot	1,490	/lot
Power Assets Holdings Ltd	Spread Rate	561		/spread	447	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	927		/lot	742	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	279		/spread	223	/spread

HSBC Holdings Plc	Full Rate	2,100		/lot	1,680	/lot
HSBC Holdings Plc	Spread Rate	630		/spread	504	/spread

Hong Kong and China Gas Co. Ltd. (HKG - Multiplier = 1,000)	Full Rate	1,090		/lot	871	/lot
Hong Kong and China Gas Co. Ltd. (HKG - Multiplier = 1,000)	Spread Rate	327		/spread	262	/spread

Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Full Rate	1,199		/lot	958	/lot
Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Spread Rate	360		/spread	288	/spread

Henderson Land Development Co Ltd	Full Rate	3,390		/lot	2,710	/lot
Henderson Land Development Co Ltd	Spread Rate	1,020		/spread	813	/spread

Huaneng Power International Inc	Full Rate	892		/lot	714	/lot
Huaneng Power International Inc	Spread Rate	268		/spread	215	/spread

Hang Seng Bank Ltd	Full Rate	658		/lot	526	/lot
Hang Seng Bank Ltd	Spread Rate	198		/spread	158	/spread

Hutchison Whampoa Ltd	Full Rate	5,420		/lot	4,330	/lot
Hutchison Whampoa Ltd	Spread Rate	1,630		/spread	1,300	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	340		/lot	272	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	102		/spread	82	/spread

Li & Fung Ltd	Full Rate	2,930		/lot	2,350	/lot
Li & Fung Ltd	Spread Rate	879		/spread	705	/spread

MTR Corporation Ltd	Full Rate	826		/lot	661	/lot
MTR Corporation Ltd	Spread Rate	248		/spread	199	/spread

New World Development Co Ltd	Full Rate	843		/lot	675	/lot
New World Development Co Ltd	Spread Rate	253		/spread	203	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,730		/lot	2,180	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	819		/spread	654	/spread

PetroChina Company Ltd	Full Rate	1,430		/lot	1,150	/lot
PetroChina Company Ltd	Spread Rate	429		/spread	345	/spread

PICC Property and Casualty Company Limited	Full Rate	2,090		/lot	1,680	/lot
PICC Property and Casualty Company Limited	Spread Rate	627		/spread	504	/spread

Sun Hung Kai Properties Ltd	Full Rate	5,950		/lot	4,760	/lot
Sun Hung Kai Properties Ltd	Spread Rate	1,790		/spread	1,430	/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	3,610		/lot	2,890	/lot
Wharf (Holdings) Ltd	Spread Rate	1,090		/spread	867	/spread

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

Gold Futures	Full Rate	7,510	/lot	6,010	/lot
Gold Futures	Spread Rate	2,260	/spread	1,810	/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	642 per spread	514 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	642 per spread	514 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	642 per spread	514 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	636 per spread	509 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	318 per spread	254 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	97 per spread	78 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	467 per spread	374 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	417 per spread	334 per spread
2nd month vs 3rd month	345 per spread	276 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	120 per spread	96 per spread

Ends

Updated 27 Jul 2012