HKFE Announces Revised Margins for Futures Contracts

Market Operations

27 Dec 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, 2 January 2014, 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	71,400	/lot	57,100	/lot
Hang Seng Index	Spread Rate	14,300	/spread	11,450	/spread

Mini-Hang Seng Index	Full Rate	14,280	/lot	11,420	/lot
Mini-Hang Seng Index	Spread Rate	2,860	/spread	2,290	/spread

H-shares Index	Full Rate	33,600	/lot	26,850	/lot
H-shares Index	Spread Rate	10,100	/spread	8,100	/spread

Mini H-shares Index	Full Rate	6,720	/lot	5,370	/lot
Mini H-shares Index	Spread Rate	2,020	/spread	1,620	/spread

CES China 120 Index	Full Rate	12,160	/lot	9,730	/lot
CES China 120 Index	Spread Rate	3,650	/spread	2,920	/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	3,900	/lot	3,120	/lot
HSI Dividend Point Index	Spread Rate	4,680	/spread	3,750	/spread

HSI Volatility Index	Full Rate	24,510	/lot	19,610	/lot
HSI Volatility Index	Spread Rate	7,360	/spread	5,890	/spread

IBOVESPA	Full Rate	15,830	/lot	12,670	/lot
IBOVESPA	Spread Rate	4,750	/spread	3,810	/spread

S&P BSE Sensex Index	Full Rate	12,990	/lot	10,390	/lot
S&P BSE Sensex Index	Spread Rate	3,900	/spread	3,120	/spread

FTSE/JSE Top40 Index	Full Rate	24,750	/lot	19,800	/lot
FTSE/JSE Top40 Index	Spread Rate	7,430	/spread	5,940	/spread

MICEX Index	Full Rate	17,190	/lot	13,760	/lot
MICEX Index	Spread Rate	5,160	/spread	4,130	/spread

Three-Year EFN	Full Rate	10,770	/lot	8,620	/lot
Three-Year EFN	Spread Rate	3,240	/spread	2,590	/spread

One-Month HIBOR	Full Rate	457	/lot	366	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	408	/lot	326	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

iShares FTSE A50 China Index ETF	Full Rate	2,950	/lot	2,360	/lot
iShares FTSE A50 China Index ETF	Spread Rate	885	/spread	708	/spread

Aluminum Corporation of China Ltd	Full Rate	381	/lot	305	/lot
Aluminum Corporation of China Ltd	Spread Rate	115	/spread	92	/spread

China AMC CSI 300 index ETF	Full Rate	3,660	/lot	2,930	/lot
China AMC CSI 300 index ETF	Spread Rate	1,100	/spread	879	/spread

Bank of China Ltd	Full Rate	220	/lot	176	/lot
Bank of China Ltd	Spread Rate	66	/spread	53	/spread

Bank of Communications Co Ltd	Full Rate	360	/lot	288	/lot
Bank of Communications Co Ltd	Spread Rate	108	/spread	87	/spread

The Bank of East Asia Ltd	Full Rate	404	/lot	324	/lot
The Bank of East Asia Ltd	Spread Rate	122	/spread	98	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	768	/lot	614	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	231	/spread	185	/spread

China Construction Bank Corporation	Full Rate	367	/lot	293	/lot
China Construction Bank Corporation	Spread Rate	111	/spread	88	/spread

China Communications Construction Co Ltd	Full Rate	394	/lot	315	/lot
China Communications Construction Co Ltd	Spread Rate	119	/spread	95	/spread

China Mobile Ltd	Full Rate	2,490	/lot	1,990	/lot
China Mobile Ltd	Spread Rate	747	/spread	597	/spread

China Unicom (Hong Kong) Ltd	Full Rate	1,500	/lot	1,200	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	450	/spread	360	/spread

CITIC Pacific Ltd	Full Rate	950	/lot	760	/lot
CITIC Pacific Ltd	Spread Rate	285	/spread	228	/spread

Cheung Kong (Holdings) Ltd	Full Rate	7,440	/lot	5,950	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,240	/spread	1,790	/spread

China Life Insurance Company Ltd	Full Rate	1,940	/lot	1,550	/lot
China Life Insurance Company Ltd	Spread Rate	582	/spread	465	/spread

CLP Holdings Ltd	Full Rate	1,830	/lot	1,460	/lot
CLP Holdings Ltd	Spread Rate	549	/spread	438	/spread

China Merchants Bank Co Ltd (CMB: Multiplier = 500)	Full Rate	759	/lot	607	/lot
China Merchants Bank Co Ltd (CMB: Multiplier = 500)	Spread Rate	228	/spread	183	/spread

China Merchants Bank Co Ltd (CMA: Multiplier = 512)	Full Rate	777	/lot	621	/lot
China Merchants Bank Co Ltd (CMA: Multiplier = 512)	Spread Rate	233	/spread	187	/spread

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

Cathay Pacific Airways Ltd	Full Rate	984	/lot	787	/lot
Cathay Pacific Airways Ltd	Spread Rate	296	/spread	237	/spread

China Petroleum & Chemical Corporation	Full Rate	918	/lot	735	/lot
China Petroleum & Chemical Corporation	Spread Rate	276	/spread	221	/spread

CSOP FTSE China A50 ETF	Full Rate	2,870	/lot	2,290	/lot
CSOP FTSE China A50 ETF	Spread Rate	861	/spread	687	/spread

China Telecom Corporation Ltd	Full Rate	483	/lot	386	/lot
China Telecom Corporation Ltd	Spread Rate	145	/spread	116	/spread

Esprit Holdings Ltd	Full Rate	126	/lot	101	/lot
Esprit Holdings Ltd	Spread Rate	38	/spread	31	/spread

FIH Mobile Limited	Full Rate	490	/lot	392	/lot
FIH Mobile Limited	Spread Rate	147	/spread	118	/spread

Power Assets Holdings Ltd	Full Rate	1,880	/lot	1,510	/lot
Power Assets Holdings Ltd	Spread Rate	564	/spread	453	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	808	/lot	646	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	243	/spread	194	/spread

HSBC Holdings Plc	Full Rate	2,060	/lot	1,650	/lot
HSBC Holdings Plc	Spread Rate	618	/spread	495	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,100	/lot	874	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	330	/spread	263	/spread

Henderson Land Development Co Ltd	Full Rate	2,720	/lot	2,180	/lot
Henderson Land Development Co Ltd	Spread Rate	816	/spread	654	/spread

Huaneng Power International Inc	Full Rate	1,140	/lot	912	/lot
Huaneng Power International Inc	Spread Rate	342	/spread	274	/spread

Hang Seng Bank Ltd	Full Rate	749	/lot	600	/lot
Hang Seng Bank Ltd	Spread Rate	225	/spread	180	/spread

Hutchison Whampoa Ltd	Full Rate	6,350	/lot	5,080	/lot
Hutchison Whampoa Ltd	Spread Rate	1,910	/spread	1,530	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	326	/lot	261	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	98	/spread	79	/spread

Li & Fung Ltd	Full Rate	1,540	/lot	1,240	/lot
Li & Fung Ltd	Spread Rate	462	/spread	372	/spread

MTR Corporation Ltd	Full Rate	901	/lot	721	/lot
MTR Corporation Ltd	Spread Rate	271	/spread	217	/spread

New World Development Co Ltd	Full Rate	606	/lot	485	/lot
New World Development Co Ltd	Spread Rate	182	/spread	146	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	3,270	/lot	2,620	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	981	/spread	786	/spread

PetroChina Company Ltd	Full Rate	1,110	/lot	882	/lot
PetroChina Company Ltd	Spread Rate	333	/spread	265	/spread

PICC Property and Casualty Company Limited	Full Rate	2,300	/lot	1,840	/lot
PICC Property and Casualty Company Limited	Spread Rate	690	/spread	552	/spread

Sun Hung Kai Properties Ltd	Full Rate	5,990	/lot	4,800	/lot
Sun Hung Kai Properties Ltd	Spread Rate	1,800	/spread	1,440	/spread

Swire Pacific Ltd 'A'	Full Rate	2,800	/lot	2,240	/lot
Swire Pacific Ltd 'A'	Spread Rate	840	/spread	672	/spread

The Wharf (Holdings) Ltd	Full Rate	3,730	/lot	2,990	/lot
The Wharf (Holdings) Ltd	Spread Rate	1,120	/spread	897	/spread

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

Gold Futures	Full Rate	6,470	/lot	5,180	/lot
Gold Futures	Spread Rate	1,950	/spread	1,560	/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 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	816 per spread	652 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	816 per spread	652 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	816 per spread	652 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	692 per spread	554 per spread
1st month vs 2nd month	502 per spread	401 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	123 per spread	98 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	502 per spread	401 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	502 per spread	401 per spread
2nd month vs 3rd month	196 per spread	157 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	196 per spread	157 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	138 per spread	110 per spread

Ends

Updated 27 Dec 2013