HKFE Announces Revised Margins for Futures Contracts

Market Operations

30 May 2013

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 June 2013, 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	84,500	/lot	67,600	/lot
Hang Seng Index	Spread Rate	16,900	/spread	13,550	/spread

Mini-Hang Seng Index	Full Rate	16,900	/lot	13,520	/lot
Mini-Hang Seng Index	Spread Rate	3,380	/spread	2,710	/spread

H-shares Index	Full Rate	40,400	/lot	32,350	/lot
H-shares Index	Spread Rate	12,150	/spread	9,750	/spread

Mini H-shares Index	Full Rate	8,080	/lot	6,470	/lot
Mini H-shares Index	Spread Rate	2,430	/spread	1,950	/spread

HSCEI Dividend Point Index	Full Rate	2,080	/lot	1,660	/lot
HSCEI Dividend Point Index	Spread Rate	2,500	/spread	2,000	/spread

HSI Dividend Point Index	Full Rate	3,920	/lot	3,140	/lot
HSI Dividend Point Index	Spread Rate	4,710	/spread	3,770	/spread

HSI Volatility Index	Full Rate	25,590	/lot	20,470	/lot
HSI Volatility Index	Spread Rate	7,680	/spread	6,150	/spread

IBOVESPA Futures	Full Rate	17,890	/lot	14,320	/lot
IBOVESPA Futures	Spread Rate	5,370	/spread	4,300	/spread

Sensex Index Futures	Full Rate	12,330	/lot	9,870	/lot
Sensex Index Futures	Spread Rate	3,700	/spread	2,970	/spread

FTSE/JSE Top40 Index Futures	Full Rate	22,960	/lot	18,370	/lot
FTSE/JSE Top40 Index Futures	Spread Rate	6,890	/spread	5,520	/spread

MICEX Index Futures	Full Rate	15,970	/lot	12,780	/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	309	/lot	247	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	297	/lot	238	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

Aluminum Corporation of China Ltd	Full Rate	624	/lot	499	/lot
Aluminum Corporation of China Ltd	Spread Rate	188	/spread	150	/spread

Bank of China Ltd	Full Rate	230	/lot	184	/lot
Bank of China Ltd	Spread Rate	69	/spread	56	/spread

Bank of Communications Co Ltd	Full Rate	377	/lot	302	/lot
Bank of Communications Co Ltd	Spread Rate	114	/spread	91	/spread

The Bank of East Asia Ltd	Full Rate	383	/lot	307	/lot
The Bank of East Asia Ltd	Spread Rate	115	/spread	93	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	831	/lot	665	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	250	/spread	200	/spread

China Construction Bank Corporation	Full Rate	391	/lot	313	/lot
China Construction Bank Corporation	Spread Rate	118	/spread	94	/spread

China Communications Construction Co Ltd	Full Rate	650	/lot	520	/lot
China Communications Construction Co Ltd	Spread Rate	195	/spread	156	/spread

China Mobile Ltd	Full Rate	2,630	/lot	2,110	/lot
China Mobile Ltd	Spread Rate	789	/spread	633	/spread

China Unicom (Hong Kong) Ltd	Full Rate	1,860	/lot	1,490	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	558	/spread	447	/spread

CITIC Pacific Ltd	Full Rate	857	/lot	686	/lot
CITIC Pacific Ltd	Spread Rate	258	/spread	206	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,140	/lot	5,710	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,150	/spread	1,720	/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	2,150	/lot	1,720	/lot
CLP Holdings Ltd	Spread Rate	645	/spread	516	/spread

China Merchants Bank Co Ltd	Full Rate	615	/lot	492	/lot
China Merchants Bank Co Ltd	Spread Rate	185	/spread	148	/spread

CNOOC Ltd	Full Rate	940	/lot	752	/lot
CNOOC Ltd	Spread Rate	282	/spread	226	/spread

Cathay Pacific Airways Ltd	Full Rate	983	/lot	786	/lot
Cathay Pacific Airways Ltd	Spread Rate	295	/spread	236	/spread

China Petroleum & Chemical Corporation	Full Rate	1,080	/lot	859	/lot
China Petroleum & Chemical Corporation	Spread Rate	324	/spread	258	/spread

China Telecom Corporation Ltd	Full Rate	539	/lot	432	/lot
China Telecom Corporation Ltd	Spread Rate	162	/spread	130	/spread

Esprit Holdings Ltd (ESP: Multiplier = 100)	Full Rate	107	/lot	86	/lot
Esprit Holdings Ltd (ESP: Multiplier = 100)	Spread Rate	33	/spread	26	/spread

Esprit Holdings Ltd (ESA: Multiplier = 109)	Full Rate	117	/lot	94	/lot
Esprit Holdings Ltd (ESA: Multiplier = 109)	Spread Rate	36	/spread	29	/spread

Foxconn International Holdings Ltd	Full Rate	347	/lot	278	/lot
Foxconn International Holdings Ltd	Spread Rate	105	/spread	84	/spread

Power Assets Holdings Ltd	Full Rate	2,310	/lot	1,850	/lot
Power Assets Holdings Ltd	Spread Rate	693	/spread	555	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	815	/lot	652	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	245	/spread	196	/spread

HSBC Holdings Plc	Full Rate	2,180	/lot	1,750	/lot
HSBC Holdings Plc	Spread Rate	654	/spread	525	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,440	/lot	1,150	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	432	/spread	345	/spread

Henderson Land Development Co Ltd	Full Rate	3,510	/lot	2,840	/lot
Henderson Land Development Co Ltd	Spread Rate	1,060	/spread	852	/spread

Huaneng Power International Inc	Full Rate	2,220	/lot	1,780	/lot
Huaneng Power International Inc	Spread Rate	666	/spread	534	/spread

Hang Seng Bank Ltd	Full Rate	782	/lot	626	/lot
Hang Seng Bank Ltd	Spread Rate	235	/spread	188	/spread

Hutchison Whampoa Ltd	Full Rate	5,270	/lot	4,220	/lot
Hutchison Whampoa Ltd	Spread Rate	1,590	/spread	1,270	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	346	/lot	277	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	104	/spread	84	/spread

Li & Fung Ltd	Full Rate	2,180	/lot	1,750	/lot
Li & Fung Ltd	Spread Rate	654	/spread	525	/spread

MTR Corporation Ltd	Full Rate	979	/lot	783	/lot
MTR Corporation Ltd	Spread Rate	294	/spread	235	/spread

New World Development Co Ltd	Full Rate	898	/lot	718	/lot
New World Development Co Ltd	Spread Rate	270	/spread	216	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,240	/lot	1,800	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	672	/spread	540	/spread

PetroChina Company Ltd	Full Rate	1,380	/lot	1,100	/lot
PetroChina Company Ltd	Spread Rate	414	/spread	330	/spread

PICC Property and Casualty Company Limited (PIC: Multiplier = 2,000)	Full Rate	1,550	/lot	1,240	/lot
	Spread Rate	465	/spread	372	/spread

PICC Property and Casualty Company Limited (PIA: Multiplier = 2,093)	Full Rate	1,620	/lot	1,290	/lot
	Spread Rate	486	/spread	387	/spread

Sun Hung Kai Properties Ltd	Full Rate	6,770	/lot	5,420	/lot
Sun Hung Kai Properties Ltd	Spread Rate	2,040	/spread	1,630	/spread

Swire Pacific Ltd ‘A’	Full Rate	3,160	/lot	2,530	/lot
Swire Pacific Ltd ‘A’	Spread Rate	948	/spread	759	/spread

The Wharf (Holdings) Ltd	Full Rate	5,760	/lot	4,610	/lot
The Wharf (Holdings) Ltd	Spread Rate	1,730	/spread	1,390	/spread

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

Gold Futures	Full Rate	10,650	/lot	8,520	/lot
Gold Futures	Spread Rate	3,200	/spread	2,560	/spread

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

RMB Currency Futures (USD/CNH Futures#)	Full Rate	7,750	/lot	6,200	/lot
	Spread Rate	4,650	/spread	3,720	/spread
	Spot Month Charge*	1,550	/lot	1,240	/lot

*	Spot Month Charge will be imposed on the spot month contract during the last four business days before the business day immediately preceding the final settlement day.
#	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 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	234 per spread	187 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	227 per spread	181 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	209 per spread	168 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	103 per spread	83 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	90 per spread	72 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	90 per spread	72 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	192 per spread	154 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	192 per spread	154 per spread
2nd month vs 3rd month	93 per spread	75 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	93 per spread	75 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	93 per spread	75 per spread

Ends

Updated 30 May 2013