HKFE Announces Revised Margins for Futures Contracts

Market Operations

27 Nov 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, 2 December 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	73,750	/lot	59,000	/lot
Hang Seng Index	Spread Rate	14,750	/spread	11,800	/spread

Mini-Hang Seng Index	Full Rate	14,750	/lot	11,800	/lot
Mini-Hang Seng Index	Spread Rate	2,950	/spread	2,360	/spread

H-shares Index	Full Rate	39,750	/lot	31,800	/lot
H-shares Index	Spread Rate	11,950	/spread	9,550	/spread

Mini H-shares Index	Full Rate	7,950	/lot	6,360	/lot
Mini H-shares Index	Spread Rate	2,390	/spread	1,910	/spread

CES China 120 Index	Full Rate	12,710	/lot	10,170	/lot
CES China 120 Index	Spread Rate	3,820	/spread	3,060	/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	3,970	/lot	3,180	/lot
HSI Dividend Point Index	Spread Rate	4,770	/spread	3,820	/spread

HSI Volatility Index	Full Rate	23,580	/lot	18,860	/lot
HSI Volatility Index	Spread Rate	7,080	/spread	5,660	/spread

IBOVESPA	Full Rate	18,760	/lot	15,010	/lot
IBOVESPA	Spread Rate	5,630	/spread	4,510	/spread

S&P BSE Sensex Index	Full Rate	12,720	/lot	10,180	/lot
S&P BSE Sensex Index	Spread Rate	3,820	/spread	3,060	/spread

FTSE/JSE Top40 Index	Full Rate	25,330	/lot	20,260	/lot
FTSE/JSE Top40 Index	Spread Rate	7,600	/spread	6,080	/spread

MICEX Index	Full Rate	16,930	/lot	13,550	/lot
MICEX Index	Spread Rate	5,080	/spread	4,070	/spread

Three-Year EFN	Full Rate	11,060	/lot	8,850	/lot
Three-Year EFN	Spread Rate	3,320	/spread	2,660	/spread

One-Month HIBOR	Full Rate	486	/lot	389	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	492	/lot	394	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

iShares FTSE A50 China Index ETF	Full Rate	3,160	/lot	2,530	/lot
iShares FTSE A50 China Index ETF	Spread Rate	948	/spread	759	/spread

Aluminum Corporation of China Ltd	Full Rate	455	/lot	364	/lot
Aluminum Corporation of China Ltd	Spread Rate	137	/spread	110	/spread

China AMC CSI 300 index ETF	Full Rate	3,830	/lot	3,070	/lot
China AMC CSI 300 index ETF	Spread Rate	1,150	/spread	921	/spread

Bank of China Ltd	Full Rate	242	/lot	194	/lot
Bank of China Ltd	Spread Rate	73	/spread	59	/spread

Bank of Communications Co Ltd	Full Rate	455	/lot	364	/lot
Bank of Communications Co Ltd	Spread Rate	137	/spread	110	/spread

The Bank of East Asia Ltd	Full Rate	426	/lot	341	/lot
The Bank of East Asia Ltd	Spread Rate	128	/spread	103	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	816	/lot	653	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	245	/spread	196	/spread

China Construction Bank Corporation	Full Rate	413	/lot	331	/lot
China Construction Bank Corporation	Spread Rate	124	/spread	100	/spread

China Communications Construction Co Ltd	Full Rate	433	/lot	347	/lot
China Communications Construction Co Ltd	Spread Rate	130	/spread	105	/spread

China Mobile Ltd	Full Rate	2,570	/lot	2,050	/lot
China Mobile Ltd	Spread Rate	771	/spread	615	/spread

China Unicom (Hong Kong) Ltd	Full Rate	1,940	/lot	1,560	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	582	/spread	468	/spread

CITIC Pacific Ltd	Full Rate	896	/lot	717	/lot
CITIC Pacific Ltd	Spread Rate	269	/spread	216	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,680	/lot	6,140	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,310	/spread	1,850	/spread

China Life Insurance Company Ltd	Full Rate	2,260	/lot	1,810	/lot
China Life Insurance Company Ltd	Spread Rate	678	/spread	543	/spread

CLP Holdings Ltd	Full Rate	1,970	/lot	1,580	/lot
CLP Holdings Ltd	Spread Rate	591	/spread	474	/spread

China Merchants Bank Co Ltd (CMB: Multiplier = 500)	Full Rate	900	/lot	720	/lot
China Merchants Bank Co Ltd (CMB: Multiplier = 500)	Spread Rate	270	/spread	216	/spread

China Merchants Bank Co Ltd (CMA: Multiplier = 512)	Full Rate	921	/lot	737	/lot
China Merchants Bank Co Ltd (CMA: Multiplier = 512)	Spread Rate	276	/spread	221	/spread

CNOOC Ltd	Full Rate	981	/lot	785	/lot
CNOOC Ltd	Spread Rate	295	/spread	236	/spread

Cathay Pacific Airways Ltd	Full Rate	1,010	/lot	808	/lot
Cathay Pacific Airways Ltd	Spread Rate	303	/spread	243	/spread

China Petroleum & Chemical Corporation (CPC: Multiplier = 2,000)	Full Rate	1,060	/lot	843	/lot
	Spread Rate	318	/spread	253	/spread

China Petroleum & Chemical Corporation (CPD: Multiplier = 2,600)	Full Rate	1,378	/lot	1,096	/lot
	Spread Rate	413	/spread	329	/spread

CSOP FTSE China A50 ETF	Full Rate	3,000	/lot	2,400	/lot
CSOP FTSE China A50 ETF	Spread Rate	900	/spread	720	/spread

China Telecom Corporation Ltd	Full Rate	597	/lot	477	/lot
China Telecom Corporation Ltd	Spread Rate	180	/spread	144	/spread

Esprit Holdings Ltd	Full Rate	145	/lot	116	/lot
Esprit Holdings Ltd	Spread Rate	44	/spread	35	/spread

FIH Mobile Limited	Full Rate	510	/lot	408	/lot
FIH Mobile Limited	Spread Rate	153	/spread	123	/spread

Power Assets Holdings Ltd	Full Rate	1,970	/lot	1,580	/lot
Power Assets Holdings Ltd	Spread Rate	591	/spread	474	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	870	/lot	696	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	261	/spread	209	/spread

HSBC Holdings Plc	Full Rate	2,170	/lot	1,730	/lot
HSBC Holdings Plc	Spread Rate	651	/spread	519	/spread

Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Full Rate	1,160	/lot	928	/lot
Hong Kong and China Gas Co Ltd (HKG: Multiplier = 1,000)	Spread Rate	348	/spread	279	/spread

Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Full Rate	1,276	/lot	1,021	/lot
Hong Kong and China Gas Co Ltd (HKA: Multiplier = 1,100)	Spread Rate	383	/spread	307	/spread

Henderson Land Development Co Ltd (HLD: Multiplier = 1,000)	Full Rate	2,910	/lot	2,330	/lot
Henderson Land Development Co Ltd (HLD: Multiplier = 1,000)	Spread Rate	873	/spread	699	/spread

Henderson Land Development Co Ltd (HLA: Multiplier = 1,100)	Full Rate	3,201	/lot	2,563	/lot
Henderson Land Development Co Ltd (HLA: Multiplier = 1,100)	Spread Rate	960	/spread	769	/spread

Huaneng Power International Inc	Full Rate	1,520	/lot	1,210	/lot
Huaneng Power International Inc	Spread Rate	456	/spread	363	/spread

Hang Seng Bank Ltd	Full Rate	788	/lot	631	/lot
Hang Seng Bank Ltd	Spread Rate	237	/spread	190	/spread

Hutchison Whampoa Ltd	Full Rate	6,040	/lot	4,830	/lot
Hutchison Whampoa Ltd	Spread Rate	1,820	/spread	1,450	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	367	/lot	294	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	111	/spread	89	/spread

Li & Fung Ltd	Full Rate	1,510	/lot	1,210	/lot
Li & Fung Ltd	Spread Rate	453	/spread	363	/spread

MTR Corporation Ltd	Full Rate	936	/lot	749	/lot
MTR Corporation Ltd	Spread Rate	281	/spread	225	/spread

New World Development Co Ltd	Full Rate	659	/lot	527	/lot
New World Development Co Ltd	Spread Rate	198	/spread	159	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	3,220	/lot	2,580	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	966	/spread	774	/spread

PetroChina Company Ltd	Full Rate	1,330	/lot	1,070	/lot
PetroChina Company Ltd	Spread Rate	399	/spread	321	/spread

PICC Property and Casualty Company Limited (PIC: Multiplier = 2,000)	Full Rate	2,390	/lot	1,910	/lot
	Spread Rate	717	/spread	573	/spread

PICC Property and Casualty Company Limited (PIA: Multiplier = 2,093)	Full Rate	2,501	/lot	1,999	/lot
	Spread Rate	750	/spread	600	/spread

Sun Hung Kai Properties Ltd	Full Rate	6,240	/lot	4,990	/lot
Sun Hung Kai Properties Ltd	Spread Rate	1,880	/spread	1,500	/spread

Swire Pacific Ltd ‘A’	Full Rate	2,880	/lot	2,310	/lot
Swire Pacific Ltd ‘A’	Spread Rate	864	/spread	693	/spread

The Wharf (Holdings) Ltd	Full Rate	4,060	/lot	3,250	/lot
The Wharf (Holdings) Ltd	Spread Rate	1,220	/spread	975	/spread

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

Gold Futures	Full Rate	6,780	/lot	5,420	/lot
Gold Futures	Spread Rate	2,040	/spread	1,630	/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 3rd month 1st month vs 4th month 1st month vs 5th month 1st month vs 6th month 2nd month vs 3rd month 2nd month vs 4th month 2nd month vs 5th month 2nd month vs 6th month	984 per spread	788 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	984 per spread	788 per spread
3rd month vs 7th month 3rd month vs 8th month 3rd month vs 9th month 3rd month vs 10th month 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	892 per spread	714 per spread
3rd month vs 4th month 3rd month vs 5th month 3rd month vs 6th month 4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	844 per spread	675 per spread
1st month vs 2nd month	513 per spread	410 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	148 per spread	119 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	509 per spread	407 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	509 per spread	407 per spread
2nd month vs 3rd month	229 per spread	183 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	229 per spread	183 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	146 per spread	117 per spread

Ends

Updated 27 Nov 2013