HKFE Announces Revised Margins for Futures Contracts

Market Operations

29 Aug 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, 3 September 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	30,750	/lot	24,600	/lot
H-shares Index		Spread Rate	9,250	/spread	7,400	/spread

Mini H-shares Index		Full Rate	6,150	/lot	4,920	/lot
Mini H-shares Index		Spread Rate	1,850	/spread	1,480	/spread

HSCEI Dividend Point Index		Full Rate	1,910	/lot	1,530	/lot
HSCEI Dividend Point Index		Spread Rate	2,300	/spread	1,840	/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		28,680	/lot	22,950	/lot
HSI Volatility Index	Spread Rate		8,610	/spread	6,890	/spread

IBOVESPA Futures	Full Rate		24,070	/lot	19,250	/lot
IBOVESPA Futures	Spread Rate		7,230	/spread	5,780	/spread

Sensex Index Futures	Full Rate		11,220	/lot	8,980	/lot
Sensex Index Futures	Spread Rate		3,370	/spread	2,700	/spread

FTSE/JSE Top40 Futures	Full Rate		19,660	/lot	15,730	/lot
FTSE/JSE Top40 Futures	Spread Rate		5,900	/spread	4,720	/spread

MICEX Index Futures	Full Rate		16,540	/lot	13,240	/lot
MICEX Index Futures	Spread Rate		4,970	/spread	3,980	/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		344	/lot	275	/lot
One-Month HIBOR	Spread Rate		Please refer to attached table

Three-Month HIBOR	Full Rate		313	/lot	250	/lot
Three-Month HIBOR	Spread Rate		Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate		585	/lot	468	/lot
Aluminum Corporation of China Ltd	Spread Rate		176	/spread	141	/spread

Bank of China Ltd	Full Rate		187	/lot	149	/lot
Bank of China Ltd	Spread Rate		57	/spread	45	/spread

Bank of Communications Co Ltd	Full Rate		358	/lot	286	/lot
Bank of Communications Co Ltd	Spread Rate		108	/spread	86	/spread

The Bank of East Asia Ltd	Full Rate		432	/lot	346	/lot
The Bank of East Asia Ltd	Spread Rate		130	/spread	104	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate		765	/lot	612	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate		230	/spread	184	/spread

China Construction Bank Corporation	Full Rate		348	/lot	278	/lot
China Construction Bank Corporation	Spread Rate		105	/spread	84	/spread

China Communications Construction Co Ltd	Full Rate		578	/lot	463	/lot
China Communications Construction Co Ltd	Spread Rate		174	/spread	139	/spread

China Mobile Ltd	Full Rate		3,240	/lot	2,590	/lot
China Mobile Ltd	Spread Rate		972	/spread	777	/spread

China Unicom (Hong Kong) Ltd	Full Rate		2,780	/lot	2,220	/lot
China Unicom (Hong Kong) Ltd	Spread Rate		834	/spread	666	/spread

CITIC Pacific Ltd	Full Rate		724	/lot	579	/lot
CITIC Pacific Ltd	Spread Rate		218	/spread	174	/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		1,710	/lot	1,370	/lot
China Life Insurance Company Ltd	Spread Rate		513	/spread	411	/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		444	/lot	355	/lot
China Merchants Bank Co Ltd	Spread Rate		134	/spread	107	/spread

CNOOC Ltd	Full Rate		1,170	/lot	936	/lot
CNOOC Ltd	Spread Rate		351	/spread	281	/spread

Cathay Pacific Airways Ltd	Full Rate		881	/lot	705	/lot
Cathay Pacific Airways Ltd	Spread Rate		265	/spread	212	/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		872	/lot	698	/lot
China Telecom Corporation Ltd	Spread Rate		262	/spread	210	/spread

Esprit Holdings Ltd	Full Rate		285	/lot	228	/lot
Esprit Holdings Ltd	Spread Rate		86	/spread	69	/spread

Foxconn International Holdings Ltd	Full Rate		411	/lot	329	/lot
Foxconn International Holdings Ltd	Spread Rate		124	/spread	99	/spread

Power Assets Holdings Ltd	Full Rate		1,930	/lot	1,540	/lot
Power Assets Holdings Ltd	Spread Rate		579	/spread	462	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate		732	/lot	585	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate		220	/spread	176	/spread

HSBC Holdings Plc	Full Rate		1,700	/lot	1,360	/lot
HSBC Holdings Plc	Spread Rate		510	/spread	408	/spread

Hong Kong and China Gas Co. Ltd. (HKG - Multiplier = 1,000)	Full Rate		1,160	/lot	924	/lot
Hong Kong and China Gas Co. Ltd. (HKG - Multiplier = 1,000)	Spread Rate		348	/spread	278	/spread

Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Full Rate		1,276	/lot	1,016	/lot
Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Spread Rate		383	/spread	306	/spread

Henderson Land Development Co Ltd	Full Rate		3,690	/lot	2,950	/lot
Henderson Land Development Co Ltd	Spread Rate		1,110	/spread	885	/spread

Huaneng Power International Inc	Full Rate		1,020	/lot	811	/lot
Huaneng Power International Inc	Spread Rate		306	/spread	244	/spread

Hang Seng Bank Ltd	Full Rate		695	/lot	556	/lot
Hang Seng Bank Ltd	Spread Rate		209	/spread	167	/spread

Hutchison Whampoa Ltd	Full Rate		4,360	/lot	3,490	/lot
Hutchison Whampoa Ltd	Spread Rate		1,310	/spread	1,050	/spread

Industrial and Commercial Bank of China Ltd	Full Rate		282	/lot	226	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate		85	/spread	68	/spread

Li & Fung Ltd	Full Rate		5,230	/lot	4,180	/lot
Li & Fung Ltd	Spread Rate		1,570	/spread	1,260	/spread

MTR Corporation Ltd	Full Rate		878	/lot	702	/lot
MTR Corporation Ltd	Spread Rate		264	/spread	211	/spread

New World Development Co Ltd	Full Rate		738	/lot	590	/lot
New World Development Co Ltd	Spread Rate		222	/spread	177	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate		2,110	/lot	1,690	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate		633	/spread	507	/spread

PetroChina Company Ltd	Full Rate		1,200	/lot	955	/lot
PetroChina Company Ltd	Spread Rate		360	/spread	287	/spread

PICC Property and Casualty Company Limited	Full Rate		1,850	/lot	1,480	/lot
PICC Property and Casualty Company Limited	Spread Rate		555	/spread	444	/spread

Sun Hung Kai Properties Ltd	Full Rate		6,440	/lot	5,150	/lot
Sun Hung Kai Properties Ltd	Spread Rate		1,940	/spread	1,550	/spread

Swire Pacific Ltd ‘A’ (SWA - Multiplier = 500)	Full Rate		2,900	/lot	2,320	/lot
Swire Pacific Ltd ‘A’ (SWA - Multiplier = 500)	Spread Rate		870	/spread	696	/spread

Swire Pacific Ltd ‘A’ (SWE - Multiplier = 575)	Full Rate		3,338	/lot	2,670	/lot
Swire Pacific Ltd ‘A’ (SWE - Multiplier = 575)	Spread Rate		1,001	/spread	801	/spread

Wharf (Holdings) Ltd	Full Rate		3,800	/lot	3,040	/lot
Wharf (Holdings) Ltd	Spread Rate		1,140	/spread	912	/spread

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

Gold Futures	Full Rate	6,290	/lot	5,040	/lot
Gold Futures	Spread Rate	1,890	/spread	1,520	/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	636 per spread	509 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	626 per spread	500 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	626 per spread	500 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	626 per spread	500 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	283 per spread	227 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	94 per spread	75 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	499 per spread	399 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	482 per spread	386 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	468 per spread	374 per spread
2nd month vs 3rd month	421 per spread	337 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	166 per spread	133 per spread

Ends

Updated 29 Aug 2012