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HKFE Announces Revised Margins for Futures Contracts

Market Operations
28 Jan 2014

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 Tuesday, 4 February 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 72,500 /lot 58,000 /lot
Spread Rate 14,500 /spread 11,600 /spread
Mini-Hang Seng Index Full Rate 14,500 /lot 11,600 /lot
Spread Rate 2,900 /spread 2,320 /spread
H-shares Index Full Rate 32,250 /lot 25,800 /lot
Spread Rate 9,700 /spread 7,750 /spread
Mini H-shares Index Full Rate 6,450 /lot 5,160 /lot
Spread Rate 1,940 /spread 1,550 /spread
CES China 120 Index Full Rate 11,780 /lot 9,420 /lot
Spread Rate 3,540 /spread 2,830 /spread
HSCEI Dividend Point Index Full Rate 2,230 /lot 1,790 /lot
Spread Rate 2,680 /spread 2,150 /spread
HSI Dividend Point Index Full Rate 4,170 /lot 3,340 /lot
Spread Rate 5,010 /spread 4,010 /spread
HSI Volatility Index Full Rate 20,850 /lot 16,680 /lot
Spread Rate 6,260 /spread 5,010 /spread
IBOVESPA Full Rate 15,210 /lot 12,170 /lot
Spread Rate 4,570 /spread 3,660 /spread
S&P BSE Sensex Index Full Rate 13,330 /lot 10,660 /lot
Spread Rate 4,000 /spread 3,200 /spread
FTSE/JSE Top40 Index Full Rate 26,460 /lot 21,170 /lot
Spread Rate 7,940 /spread 6,360 /spread
MICEX Index Full Rate 17,190 /lot 13,760 /lot
Spread Rate 5,160 /spread 4,130 /spread
Three-Year EFN Full Rate 10,770 /lot 8,620 /lot
Spread Rate 3,240 /spread 2,590 /spread
One-Month HIBOR Full Rate 497 /lot 397 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 361 /lot 289 /lot
Spread Rate Please refer to attached table
iShares FTSE A50 China Index ETF Full Rate 2,820 /lot 2,260 /lot
Spread Rate 846 /spread 678 /spread
Aluminum Corporation of China Ltd Full Rate 491 /lot 393 /lot
Spread Rate 148 /spread 118 /spread
China AMC CSI 300 index ETF Full Rate 3,550 /lot 2,840 /lot
Spread Rate 1,070 /spread 852 /spread
Bank of China Ltd Full Rate 204 /lot 163 /lot
Spread Rate 62 /spread 49 /spread
Bank of Communications Co Ltd Full Rate 327 /lot 262 /lot
Spread Rate 99 /spread 79 /spread
The Bank of East Asia Ltd Full Rate 393 /lot 314 /lot
Spread Rate 118 /spread 95 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 780 /lot 624 /lot
Spread Rate 234 /spread 188 /spread
China Construction Bank Corporation Full Rate 352 /lot 282 /lot
Spread Rate 106 /spread 85 /spread
China Communications Construction Co Ltd Full Rate 374 /lot 299 /lot
Spread Rate 113 /spread 90 /spread
China Mobile Ltd Full Rate 2,430 /lot 1,950 /lot
Spread Rate 729 /spread 585 /spread
China Unicom (Hong Kong) Ltd Full Rate 1,500 /lot 1,200 /lot
Spread Rate 450 /spread 360 /spread
CITIC Pacific Ltd Full Rate 804 /lot 643 /lot
Spread Rate 242 /spread 193 /spread
Cheung Kong (Holdings) Ltd Full Rate 7,560 /lot 6,050 /lot
Spread Rate 2,270 /spread 1,820 /spread
China Life Insurance Company Ltd Full Rate 1,820 /lot 1,460 /lot
Spread Rate 546 /spread 438 /spread
CLP Holdings Ltd Full Rate 1,900 /lot 1,520 /lot
Spread Rate 570 /spread 456 /spread
China Merchants Bank Co Ltd
(CMB: Multiplier = 500)
Full Rate 632 /lot 506 /lot
Spread Rate 190 /spread 152 /spread
China Merchants Bank Co Ltd
(CMA: Multiplier = 512)
Full Rate 647 /lot 518 /lot
Spread Rate 194 /spread 156 /spread
CNOOC Ltd Full Rate 1,090 /lot 872 /lot
Spread Rate 327 /spread 262 /spread
Cathay Pacific Airways Ltd Full Rate 1,060 /lot 841 /lot
Spread Rate 318 /spread 253 /spread
China Petroleum & Chemical Corporation Full Rate 918 /lot 735 /lot
Spread Rate 276 /spread 221 /spread
CSOP FTSE China A50 ETF Full Rate 2,790 /lot 2,230 /lot
Spread Rate 837 /spread 669 /spread
China Telecom Corporation Ltd Full Rate 464 /lot 371 /lot
Spread Rate 140 /spread 112 /spread
Esprit Holdings Ltd  Full Rate 117 /lot 94 /lot
Spread Rate 36 /spread 29 /spread
FIH Mobile Limited Full Rate 479 /lot 383 /lot
Spread Rate 144 /spread 115 /spread
Power Assets Holdings Ltd Full Rate 1,920 /lot 1,540 /lot
Spread Rate 576 /spread 462 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 795 /lot 636 /lot
Spread Rate 239 /spread 191 /spread
HSBC Holdings Plc Full Rate 2,150 /lot 1,720 /lot
Spread Rate 645 /spread 516 /spread
Hong Kong and China Gas Co Ltd Full Rate 1,070 /lot 851 /lot
Spread Rate 321 /spread 256 /spread
Henderson Land Development Co Ltd Full Rate 2,810 /lot 2,250 /lot
Spread Rate 843 /spread 675 /spread
Huaneng Power International Inc Full Rate 936 /lot 749 /lot
Spread Rate 281 /spread 225 /spread
Hang Seng Bank Ltd Full Rate 775 /lot 620 /lot
Spread Rate 233 /spread 186 /spread
Hutchison Whampoa Ltd Full Rate 6,520 /lot 5,220 /lot
Spread Rate 1,960 /spread 1,570 /spread
Industrial and Commercial Bank of China Ltd Full Rate 312 /lot 250 /lot
Spread Rate 94 /spread 75 /spread
Li & Fung Ltd Full Rate 1,860 /lot 1,490 /lot
Spread Rate 558 /spread 447 /spread
MTR Corporation Ltd Full Rate 885 /lot 708 /lot
Spread Rate 266 /spread 213 /spread
New World Development Co Ltd Full Rate 645 /lot 516 /lot
Spread Rate 194 /spread 155 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 2,780 /lot 2,230 /lot
Spread Rate 834 /spread 669 /spread
PetroChina Company Ltd Full Rate 1,010 /lot 803 /lot
Spread Rate 303 /spread 241 /spread
PICC Property and Casualty Company Limited Full Rate 2,140 /lot 1,710 /lot
Spread Rate 642 /spread 513 /spread
Sun Hung Kai Properties Ltd Full Rate 6,130 /lot 4,910 /lot
Spread Rate 1,840 /spread 1,480 /spread
Swire Pacific Ltd ‘A’ Full Rate 2,750 /lot 2,200 /lot
Spread Rate 825 /spread 660 /spread
The Wharf (Holdings) Ltd Full Rate 3,630 /lot 2,910 /lot
Spread Rate 1,090 /spread 873 /spread

 

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 5,210 /lot 4,170 /lot
Spread Rate 1,570 /spread 1,260 /spread

 

Futures Contract Margin Rate Initial Margin
(RMB)
Maintenance Margin
(RMB)
RMB Currency Futures
(USD/CNH Futures#)
Full Rate 7,580 /lot 6,060 /lot
Spread Rate 4,550 /spread 3,640 /spread
Spot Month Charge* 1,520 /lot 1,220 /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
   
722
per spread
   
578
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
   
722
per spread
   
578
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
    722
per spread
    578
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

      722
per spread
      578
per spread
1st month vs 2nd month
544
per spread
435
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
109
per spread
87
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
513
per spread
410
per spread
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
513
per spread
410
per spread
2nd month vs 3rd month 157
per spread
126
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
157
per spread
126
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
150
per spread
120
per spread

Ends

Updated 28 Jan 2014