HKFE Announces Revised Margins for Futures Contracts

Market Operations

26 Sep 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, 3 October 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	64,500	/lot	51,600	/lot
Hang Seng Index	Spread Rate	7,500	/spread	6,000	/spread

Mini-Hang Seng Index	Full Rate	12,900	/lot	10,320	/lot
Mini-Hang Seng Index	Spread Rate	1,500	/spread	1,200	/spread

H-shares Index	Full Rate	32,200	/lot	25,800	/lot
H-shares Index	Spread Rate	9,700	/spread	7,750	/spread

Mini H-shares Index	Full Rate	6,440	/lot	5,160	/lot
Mini H-shares Index	Spread Rate	1,940	/spread	1,550	/spread

HSCEI Dividend Point Index	Full Rate	1,840	/lot	1,480	/lot
HSCEI Dividend Point Index	Spread Rate	2,210	/spread	1,780	/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	27,100	/lot	21,680	/lot
	Spread Rate	8,130	/spread	6,510	/spread

IBOVESPA Futures	Full Rate	21,740	/lot	17,390	/lot
IBOVESPA Futures	Spread Rate	6,530	/spread	5,220	/spread

Sensex Index Futures	Full Rate	11,520	/lot	9,210	/lot
Sensex Index Futures	Spread Rate	3,460	/spread	2,770	/spread

FTSE/JSE Top40 Futures	Full Rate	20,110	/lot	16,090	/lot
FTSE/JSE Top40 Futures	Spread Rate	6,040	/spread	4,830	/spread

MICEX Index Futures	Full Rate	16,950	/lot	13,560	/lot
MICEX Index Futures	Spread Rate	5,090	/spread	4,070	/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	271	/lot	217	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	424	/lot	339	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	774	/lot	619	/lot
Aluminum Corporation of China Ltd	Spread Rate	233	/spread	186	/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	461	/lot	369	/lot
Bank of Communications Co Ltd	Spread Rate	139	/spread	111	/spread

The Bank of East Asia Ltd	Full Rate	370	/lot	296	/lot
The Bank of East Asia Ltd	Spread Rate	111	/spread	89	/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	358	/lot	287	/lot
China Construction Bank Corporation	Spread Rate	108	/spread	87	/spread

China Communications Construction Co Ltd	Full Rate	709	/lot	567	/lot
China Communications Construction Co Ltd	Spread Rate	213	/spread	171	/spread

China Mobile Ltd	Full Rate	2,640	/lot	2,120	/lot
China Mobile Ltd	Spread Rate	792	/spread	636	/spread

China Unicom (Hong Kong) Ltd	Full Rate	2,670	/lot	2,130	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	801	/spread	639	/spread

CITIC Pacific Ltd	Full Rate	1,030	/lot	823	/lot
CITIC Pacific Ltd	Spread Rate	309	/spread	247	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,280	/lot	5,830	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,190	/spread	1,750	/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	484	/lot	387	/lot
China Merchants Bank Co Ltd	Spread Rate	146	/spread	117	/spread

CNOOC Ltd	Full Rate	1,360	/lot	1,090	/lot
CNOOC Ltd	Spread Rate	408	/spread	327	/spread

Cathay Pacific Airways Ltd	Full Rate	816	/lot	653	/lot
Cathay Pacific Airways Ltd	Spread Rate	245	/spread	196	/spread

China Petroleum & Chemical Corporation	Full Rate	921	/lot	737	/lot
China Petroleum & Chemical Corporation	Spread Rate	277	/spread	222	/spread

China Telecom Corporation Ltd	Full Rate	920	/lot	736	/lot
China Telecom Corporation Ltd	Spread Rate	276	/spread	221	/spread

Esprit Holdings Ltd	Full Rate	208	/lot	167	/lot
Esprit Holdings Ltd	Spread Rate	63	/spread	51	/spread

Foxconn International Holdings Ltd	Full Rate	370	/lot	296	/lot
Foxconn International Holdings Ltd	Spread Rate	111	/spread	89	/spread

Power Assets Holdings Ltd	Full Rate	2,040	/lot	1,630	/lot
Power Assets Holdings Ltd	Spread Rate	612	/spread	489	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,110	/lot	886	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	333	/spread	266	/spread

HSBC Holdings Plc	Full Rate	1,800	/lot	1,440	/lot
HSBC Holdings Plc	Spread Rate	540	/spread	432	/spread

Hong Kong and China Gas Co. Ltd. (HKG - Multiplier = 1,000)	Full Rate	1,210	/lot	964	/lot
Hong Kong and China Gas Co. Ltd. (HKG - Multiplier = 1,000)	Spread Rate	363	/spread	290	/spread

Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Full Rate	1,331	/lot	1,060	/lot
Hong Kong and China Gas Co. Ltd. (HKA - Multiplier = 1,100)	Spread Rate	399	/spread	319	/spread

Henderson Land Development Co Ltd	Full Rate	4,460	/lot	3,570	/lot
Henderson Land Development Co Ltd	Spread Rate	1,340	/spread	1,080	/spread

Huaneng Power International Inc	Full Rate	993	/lot	795	/lot
Huaneng Power International Inc	Spread Rate	298	/spread	239	/spread

Hang Seng Bank Ltd	Full Rate	727	/lot	581	/lot
Hang Seng Bank Ltd	Spread Rate	219	/spread	175	/spread

Hutchison Whampoa Ltd	Full Rate	4,590	/lot	3,670	/lot
Hutchison Whampoa Ltd	Spread Rate	1,380	/spread	1,110	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	355	/lot	283	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	107	/spread	85	/spread

Li & Fung Ltd	Full Rate	3,870	/lot	3,100	/lot
Li & Fung Ltd	Spread Rate	1,170	/spread	930	/spread

MTR Corporation Ltd	Full Rate	919	/lot	735	/lot
MTR Corporation Ltd	Spread Rate	276	/spread	221	/spread

New World Development Co Ltd	Full Rate	892	/lot	713	/lot
New World Development Co Ltd	Spread Rate	268	/spread	214	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,040	/lot	1,630	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	612	/spread	489	/spread

PetroChina Company Ltd	Full Rate	1,300	/lot	1,040	/lot
PetroChina Company Ltd	Spread Rate	390	/spread	312	/spread

PICC Property and Casualty Company Limited	Full Rate	1,640	/lot	1,310	/lot
PICC Property and Casualty Company Limited	Spread Rate	492	/spread	393	/spread

Sun Hung Kai Properties Ltd	Full Rate	7,010	/lot	5,610	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,110	/spread	1,690	/spread

Swire Pacific Ltd ‘A’	Full Rate	2,950	/lot	2,360	/lot
Swire Pacific Ltd ‘A’	Spread Rate	885	/spread	708	/spread

Wharf (Holdings) Ltd	Full Rate	3,950	/lot	3,160	/lot
Wharf (Holdings) Ltd	Spread Rate	1,190	/spread	948	/spread

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

Gold Futures	Full Rate	7,320	/lot	5,850	/lot
Gold Futures	Spread Rate	2,200	/spread	1,760	/spread

Futures Contract	Margin Rate	Initial Margin (RMB)		Maintenance Margin (RMB)

RMB Currency Futures (USD/CNH Futures#)	Full Rate	8,050	/lot	6,450	/lot
RMB Currency Futures (USD/CNH Futures#)	Spread Rate	4,830	/spread	3,870	/spread

# USD = US dollar; CNH = RMB traded in Hong Kong

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	672 per spread	538 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	671 per spread	537 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	650 per spread	520 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	636 per spread	508 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	322 per spread	257 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	128 per spread	102 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	383 per spread	307 per spread
1st month vs 2nd month 1st month vs 3rd month	382 per spread	306 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	355 per spread	284 per spread
2nd month vs 3rd month	318 per spread	254 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 26 Sep 2012