HKFE Announces Revised Margins for Futures Contracts

Market Operations

29 Jul 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 Thursday, 1 August 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	82,150	/lot	65,700	/lot
Hang Seng Index	Spread Rate	16,450	/spread	13,150	/spread

Mini-Hang Seng Index	Full Rate	16,430	/lot	13,140	/lot
Mini-Hang Seng Index	Spread Rate	3,290	/spread	2,630	/spread

H-shares Index	Full Rate	36,600	/lot	29,300	/lot
H-shares Index	Spread Rate	11,000	/spread	8,800	/spread

Mini H-shares Index	Full Rate	7,320	/lot	5,860	/lot
Mini H-shares Index	Spread Rate	2,200	/spread	1,760	/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	3,910	/lot	3,130	/lot
HSI Dividend Point Index	Spread Rate	4,700	/spread	3,760	/spread

HSI Volatility Index	Full Rate	30,700	/lot	24,560	/lot
HSI Volatility Index	Spread Rate	9,210	/spread	7,370	/spread

IBOVESPA Futures	Full Rate	21,420	/lot	17,130	/lot
IBOVESPA Futures	Spread Rate	6,430	/spread	5,140	/spread

BSE S&P Sensex Index Futures	Full Rate	12,710	/lot	10,170	/lot
BSE S&P Sensex Index Futures	Spread Rate	3,820	/spread	3,060	/spread

FTSE/JSE Top40 Index Futures	Full Rate	22,740	/lot	18,190	/lot
FTSE/JSE Top40 Index Futures	Spread Rate	6,830	/spread	5,460	/spread

MICEX Index Futures	Full Rate	16,140	/lot	12,910	/lot
MICEX Index Futures	Spread Rate	4,850	/spread	3,880	/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	626	/lot	501	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	446	/lot	357	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

iShares FTSE A50 China Index ETF	Full Rate	3,840	/lot	3,070	/lot
iShares FTSE A50 China Index ETF	Spread Rate	1,160	/spread	921	/spread

Aluminum Corporation of China Ltd	Full Rate	620	/lot	496	/lot
Aluminum Corporation of China Ltd	Spread Rate	186	/spread	149	/spread

China AMC CSI 300 index ETF	Full Rate	4,890	/lot	3,910	/lot
China AMC CSI 300 index ETF	Spread Rate	1,470	/spread	1,180	/spread

Bank of China Ltd	Full Rate	249	/lot	199	/lot
Bank of China Ltd	Spread Rate	75	/spread	60	/spread

Bank of Communications Co Ltd	Full Rate	409	/lot	327	/lot
Bank of Communications Co Ltd	Spread Rate	123	/spread	99	/spread

The Bank of East Asia Ltd	Full Rate	357	/lot	285	/lot
The Bank of East Asia Ltd	Spread Rate	108	/spread	86	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	741	/lot	593	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	223	/spread	178	/spread

China Construction Bank Corporation	Full Rate	501	/lot	401	/lot
China Construction Bank Corporation	Spread Rate	151	/spread	121	/spread

China Communications Construction Co Ltd	Full Rate	680	/lot	544	/lot
China Communications Construction Co Ltd	Spread Rate	204	/spread	164	/spread

China Mobile Ltd	Full Rate	2,580	/lot	2,070	/lot
China Mobile Ltd	Spread Rate	774	/spread	621	/spread

China Unicom (Hong Kong) Ltd	Full Rate	1,600	/lot	1,280	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	480	/spread	384	/spread

CITIC Pacific Ltd	Full Rate	755	/lot	604	/lot
CITIC Pacific Ltd	Spread Rate	227	/spread	182	/spread

Cheung Kong (Holdings) Ltd	Full Rate	6,910	/lot	5,530	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,080	/spread	1,660	/spread

China Life Insurance Company Ltd	Full Rate	1,560	/lot	1,250	/lot
China Life Insurance Company Ltd	Spread Rate	468	/spread	375	/spread

CLP Holdings Ltd	Full Rate	2,010	/lot	1,610	/lot
CLP Holdings Ltd	Spread Rate	603	/spread	483	/spread

China Merchants Bank Co Ltd	Full Rate	585	/lot	468	/lot
China Merchants Bank Co Ltd	Spread Rate	176	/spread	141	/spread

CNOOC Ltd	Full Rate	1,060	/lot	846	/lot
CNOOC Ltd	Spread Rate	318	/spread	254	/spread

Cathay Pacific Airways Ltd	Full Rate	1,020	/lot	814	/lot
Cathay Pacific Airways Ltd	Spread Rate	306	/spread	245	/spread

China Petroleum & Chemical Corporation (CPC: Multiplier = 2,000)	Full Rate	948	/lot	758	/lot
	Spread Rate	285	/spread	228	/spread

China Petroleum & Chemical Corporation (CPD: Multiplier = 2,600)	Full Rate	1,232	/lot	985	/lot
	Spread Rate	371	/spread	296	/spread

CSOP FTSE China A50 ETF	Full Rate	3,700	/lot	2,960	/lot
CSOP FTSE China A50 ETF	Spread Rate	1,110	/spread	888	/spread

China Telecom Corporation Ltd	Full Rate	477	/lot	381	/lot
China Telecom Corporation Ltd	Spread Rate	144	/spread	115	/spread

Esprit Holdings Ltd	Full Rate	86	/lot	69	/lot
Esprit Holdings Ltd	Spread Rate	26	/spread	21	/spread

FIH Mobile Limited	Full Rate	669	/lot	535	/lot
FIH Mobile Limited	Spread Rate	201	/spread	161	/spread

Power Assets Holdings Ltd	Full Rate	2,250	/lot	1,800	/lot
Power Assets Holdings Ltd	Spread Rate	675	/spread	540	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	757	/lot	606	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	228	/spread	182	/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 (HKG: Multiplier = 1,000)	Full Rate	1,340	/lot	1,070	/lot
Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Spread Rate	402	/spread	321	/spread

Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Full Rate	1,474	/lot	1,177	/lot
Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Spread Rate	442	/spread	353	/spread

Henderson Land Development Co Ltd (HLD: Multiplier = 1,000)	Full Rate	3,410	/lot	2,730	/lot
Henderson Land Development Co Ltd (HLD: Multiplier = 1,000)	Spread Rate	1,030	/spread	819	/spread

Henderson Land Development Co Ltd (HLA: Multiplier = 1,100)	Full Rate	3,751	/lot	3,003	/lot
Henderson Land Development Co Ltd (HLA: Multiplier = 1,100)	Spread Rate	1,133	/spread	901	/spread

Huaneng Power International Inc	Full Rate	1,850	/lot	1,480	/lot
Huaneng Power International Inc	Spread Rate	555	/spread	444	/spread

Hang Seng Bank Ltd	Full Rate	729	/lot	583	/lot
Hang Seng Bank Ltd	Spread Rate	219	/spread	175	/spread

Hutchison Whampoa Ltd	Full Rate	5,380	/lot	4,310	/lot
Hutchison Whampoa Ltd	Spread Rate	1,620	/spread	1,300	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	455	/lot	364	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	137	/spread	110	/spread

Li & Fung Ltd	Full Rate	1,560	/lot	1,250	/lot
Li & Fung Ltd	Spread Rate	468	/spread	375	/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	958	/lot	767	/lot
New World Development Co Ltd	Spread Rate	288	/spread	231	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,210	/lot	1,770	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	663	/spread	531	/spread

PetroChina Company Ltd	Full Rate	1,340	/lot	1,070	/lot
PetroChina Company Ltd	Spread Rate	402	/spread	321	/spread

PICC Property and Casualty Company Limited (PIC: Multiplier = 2,000)	Full Rate	1,370	/lot	1,090	/lot
	Spread Rate	411	/spread	327	/spread

PICC Property and Casualty Company Limited (PIA: Multiplier = 2,093)	Full Rate	1,434	/lot	1,141	/lot
	Spread Rate	430	/spread	342	/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	3,030	/lot	2,430	/lot
Swire Pacific Ltd 'A'	Spread Rate	909	/spread	729	/spread

The Wharf (Holdings) Ltd	Full Rate	6,450	/lot	5,160	/lot
The Wharf (Holdings) Ltd	Spread Rate	1,940	/spread	1,550	/spread

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

Gold Futures	Full Rate	9,660	/lot	7,730	/lot
Gold Futures	Spread Rate	2,900	/spread	2,320	/spread

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

RMB Currency Futures (USD/CNH Futures#)	Full Rate	7,870	/lot	6,300	/lot
	Spread Rate	4,730	/spread	3,780	/spread
	Spot Month Charge*	1,580	/lot	1,260	/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	892 per spread	714 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	892 per spread	714 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	836 per spread	669 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	793 per spread	635 per spread
1st month vs 2nd month 1st month vs 3rd month 2nd month vs 3rd month	355 per spread	284 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	134 per spread	108 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	290 per spread	232 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	290 per spread	232 per spread
2nd month vs 3rd month	188 per spread	151 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	188 per spread	151 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	188 per spread	151 per spread

Ends

Updated 29 Jul 2013