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HKFE Announces Revised Margins for Futures Contracts

Market Operations
27 Aug 2008

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, 1 September 2008, 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 at the following link (http://www.hkex.com.hk/eng/market/rm/rm_dcrm/riskdata/margin_hkcc/fomargin.htm).

Futures Contract Margin Rate Initial Margin
(HK$)
Maintenance Margin
(HK$)
Hang Seng Index Full Rate 86,850 /lot 69,480 /lot
Spread Rate 7,500 /spread 6,000 /spread
           
Mini-Hang Seng Index Full Rate 17,370 /lot 13,896 /lot
Spread Rate 1,500 /spread 1,200 /spread
           
FTSE/Xinhua China 25 Index Full Rate 90,200 /lot 72,160 /lot
Spread Rate 27,060 /spread 21,648 /spread
           
H-Financials Index Full Rate 74,400 /lot 59,520 /lot
Spread Rate 22,320 /spread 17,856 /spread
           
H-shares Index Full Rate 66,200 /lot 52,960 /lot
Spread Rate 19,900 /spread 15,920 /spread
           
Mini H-shares Index Full Rate 13,240 /lot 10,592 /lot
Spread Rate 3,980 /spread 3,184 /spread
           
Three-Year EFN Full Rate 10,220 /lot 8,176 /lot
Spread Rate 3,066 /spread 2,453 /spread
           
One-Month HIBOR Full Rate 2,713 /lot 2,171 /lot
Spread Rate Please refer to attached table
           
Three-Month HIBOR Full Rate 3,310 /lot 2,648 /lot
Spread Rate Please refer to attached table
Aluminum Corporation of China Ltd Full Rate 2,824 /lot 2,260 /lot
Spread Rate 847 /spread 678 /spread
           
Bank of China Ltd Full Rate 260 /lot 208 /lot
Spread Rate 78 /spread 62 /spread
           
Bank of Communications Co Ltd Full Rate 939 /lot 751 /lot
Spread Rate 282 /spread 225 /spread
           
The Bank of East Asia Ltd Full Rate 825 /lot 660 /lot
Spread Rate 248 /spread 198 /spread
           
BOC Hong Kong (Holdings) Ltd Full Rate 624 /lot 499 /lot
Spread Rate 187 /spread 150 /spread
           
China Construction Bank Corporation Full Rate 690 /lot 552 /lot
Spread Rate 207 /spread 166 /spread
           
China Communications Construction Co Ltd Full Rate 1,768 /lot 1,415 /lot
Spread Rate 530 /spread 425 /spread
           
China Mobile Ltd Full Rate 4,793 /lot 3,834 /lot
Spread Rate 1,438 /spread 1,150 /spread
           
China Unicom Ltd Full Rate 3,763 /lot 3,010 /lot
Spread Rate 1,129 /spread 903 /spread
           
CITIC Pacific Ltd Full Rate 3,143 /lot 2,515 /lot
Spread Rate 943 /spread 755 /spread
           
Cheung Kong (Holdings) Ltd Full Rate 8,974 /lot 7,179 /lot
Spread Rate 2,692 /spread 2,154 /spread
           
Cheung Kong Infrastructure Holdings Ltd Full Rate 2,233 /lot 1,786 /lot
Spread Rate 670 /spread 536 /spread
           
China Life Insurance Company Ltd Full Rate 3,048 /lot 2,439 /lot
Spread Rate 914 /spread 732 /spread
           
CLP Holdings Ltd Full Rate 2,117 /lot 1,693 /lot
Spread Rate 635 /spread 508 /spread
           
China Merchants Bank Co Ltd Full Rate 1,704 /lot 1,363 /lot
Spread Rate 511 /spread 409 /spread
           
CNOOC Ltd Full Rate 1,689 /lot 1,351 /lot
Spread Rate 507 /spread 405 /spread
           
China Netcom Group Corporation (Hong Kong) Ltd Full Rate 1,431 /lot 1,144 /lot
Spread Rate 429 /spread 343 /spread
           
Cathay Pacific Airways Ltd Full Rate 1,784 /lot 1,427 /lot
Spread Rate 535 /spread 428 /spread
           
China Petroleum & Chemical Corporation Full Rate 1,869 /lot 1,495 /lot
Spread Rate 561 /spread 449 /spread
           
China Telecom Corporation Ltd Full Rate 1,003 /lot 803 /lot
Spread Rate 301 /spread 241 /spread
           
Denway Motors Ltd Full Rate 693 /lot 554 /lot
Spread Rate 208 /spread 166 /spread
           
Esprit Holdings Ltd Full Rate 914 /lot 731 /lot
Spread Rate 274 /spread 219 /spread
           
Foxconn International Holdings Ltd Full Rate 2,362 /lot 1,890 /lot
Spread Rate 709 /spread 567 /spread
           
Hongkong Electric Holdings Ltd Full Rate 1,584 /lot 1,268 /lot
Spread Rate 475 /spread 380 /spread
           
Hong Kong Exchanges and Clearing Ltd
(HEX: Multiplier = 100)
Full Rate 1,489 /lot 1,191 /lot
Spread Rate 447 /spread 357 /spread
           
Hong Kong Exchanges and Clearing Ltd
(HEA: Multiplier = 500)
Full Rate 7,445 /lot 5,955 /lot
Spread Rate 2,235 /spread 1,785 /spread
           
HSBC Holdings Plc Full Rate 3,156 /lot 2,525 /lot
Spread Rate 947 /spread 758 /spread
           
Hong Kong and China Gas Co Ltd
(HKG-Multiplier = 1,000)
Full Rate 1,125 /lot 900 /lot
Spread Rate 338 /spread 270 /spread
           
Hong Kong and China Gas Co Ltd
(HKA-Multiplier = 1,100)
Full Rate 1,238 /lot 990 /lot
Spread Rate 372 /spread 297 /spread
           
Henderson Land Development Co Ltd Full Rate 4,040 /lot 3,232 /lot
Spread Rate 1,212 /spread 970 /spread
           
Huaneng Power International Inc Full Rate 1,523 /lot 1,218 /lot
Spread Rate 457 /spread 365 /spread
           
Hang Seng Bank Ltd Full Rate 1,241 /lot 993 /lot
Spread Rate 372 /spread 298 /spread
           
Hutchison Whampoa Ltd Full Rate 5,498 /lot 4,398 /lot
Spread Rate 1,649 /spread 1,319 /spread
           
Industrial and Commercial Bank of China Ltd Full Rate 573 /lot 458 /lot
Spread Rate 172 /spread 137 /spread
           
Johnson Electric Holdings Ltd Full Rate 168 /lot 134 /lot
Spread Rate 50 /spread 40 /spread
           
Li & Fung Ltd Full Rate 7,630 /lot 6,104 /lot
Spread Rate 2,289 /spread 1,831 /spread
           
MTR Corporation Ltd Full Rate 784 /lot 627 /lot
Spread Rate 235 /spread 188 /spread
           
New World Development Co Ltd Full Rate 2,074 /lot 1,659 /lot
Spread Rate 622 /spread 498 /spread
           
Ping An Insurance (Group) Co of China Ltd Full Rate 3,859 /lot 3,087 /lot
Spread Rate 1,158 /spread 926 /spread
           
PCCW Ltd Full Rate 313 /lot 250 /lot
Spread Rate 94 /spread 75 /spread
           
PetroChina Company Ltd Full Rate 1,935 /lot 1,548 /lot
Spread Rate 581 /spread 464 /spread
           
PICC Property and Casualty Co Ltd Full Rate 1,461 /lot 1,169 /lot
Spread Rate 438 /spread 351 /spread
           
Sun Hung Kai Properties Ltd Full Rate 11,067 /lot 8,853 /lot
Spread Rate 3,320 /spread 2,656 /spread
           
Swire Pacific Ltd “A” Full Rate 3,430 /lot 2,744 /lot
Spread Rate 1,029 /spread 823 /spread
           
The Wharf (Holdings) Ltd Full Rate 3,997 /lot 3,197 /lot
Spread Rate 1,199 /spread 959 /spread

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

5,062
per spread
4,049
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

4,965
per spread
3,972
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

      3,802
per spread
      3,042
per spread

4th month vs 5th month
4th month vs 6th month
5th month vs 6th month

3,252
per spread
2,602
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  
2,653
per spread
2,123
per spread

1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
2,649
per spread
2,119
per spread

 

Spread Margin Rates
for One-Month HIBOR Futures

Spread Combination Initial Margin (HK$) Maintenance Margin (HK$)

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

3,115
per spread
2,492
per spread

1st month vs 4th month
1st month vs 5th month
1st month vs 6th month

2,809
per spread
2,248
per spread

1st month vs 2nd month
1st month vs 3rd month


2,554
per spread

2,044
per spread

4th month vs 5th month
4th month vs 6th month
5th month vs 6th month

2,193
per spread
1,755
per spread

2nd month vs 3rd month

1,853
per spread

1,482
per spread

Updated 27 Aug 2008