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HKFE Announces Revised Margins for Futures Contracts

Market Operations
30 Dec 2010

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, 3 January 2011, 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 72,250 /lot 57,800 /lot
Spread Rate 7,500 /spread 6,000 /spread
Mini-Hang Seng Index Full Rate 14,450 /lot 11,560 /lot
Spread Rate 1,500 /spread 1,200 /spread
H-shares Index Full Rate 39,500 /lot 31,600 /lot
Spread Rate 11,850 /spread 9,500 /spread
Mini H-shares Index Full Rate 7,900 /lot 6,320 /lot
Spread Rate 2,370 /spread 1,900 /spread
HSI Dividend Point Index Full Rate 3,520 /lot 2,820 /lot
Spread Rate 4,230 /spread 3,390 /spread
HSCEI Dividend Point Index Full Rate 1,450 /lot 1,160 /lot
Spread Rate 1,740 /spread 1,400 /spread
Three-Year EFN Full Rate 10,590 /lot 8,470 /lot
Spread Rate 3,180 /spread 2,550 /spread
One-Month HIBOR Full Rate 819 /lot 655 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 1,290 /lot 1,030 /lot
Spread Rate Please refer to attached table
Aluminum Corporation of China Ltd Full Rate 1,110 /lot 887 /lot
Spread Rate 333 /spread 267 /spread
Bank of China Limited
(BCL: Multiplier = 1,000)
Full Rate 313 /lot 250 /lot
Spread Rate 94 /spread 75 /spread
Bank of China Limited
(BCB: Multiplier = 1,043)
Full Rate 326 /lot 261 /lot
Spread Rate 98 /spread 78 /spread
Bank of Communications Co Ltd Full Rate 556 /lot 445 /lot
Spread Rate 167 /spread 134 /spread
The Bank of East Asia Ltd Full Rate 431 /lot 345 /lot
Spread Rate 130 /spread 104 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 986 /lot 789 /lot
Spread Rate 296 /spread 237 /spread
China Construction Bank Corporation
(CCB: Multiplier = 1,000)
Full Rate 500 /lot 400 /lot
Spread Rate 150 /spread 120 /spread
China Construction Bank Corporation
(CCA: Multiplier = 1,031)
Full Rate 515 /lot 412 /lot
Spread Rate 155 /spread 124 /spread
China Communications Construction Co Ltd Full Rate 428 /lot 342 /lot
Spread Rate 129 /spread 103 /spread
China Mobile Ltd Full Rate 2,420 /lot 1,930 /lot
Spread Rate 726 /spread 579 /spread
China Unicom (Hong Kong) Ltd Full Rate 1,640 /lot 1,310 /lot
Spread Rate 492 /spread 393 /spread
CITIC Pacific Ltd Full Rate 1,720 /lot 1,380 /lot
Spread Rate 516 /spread 414 /spread
Cheung Kong (Holdings) Ltd Full Rate 9,120 /lot 7,300 /lot
Spread Rate 2,740 /spread 2,190 /spread
China Life Insurance Company Ltd Full Rate 2,510 /lot 2,010 /lot
Spread Rate 753 /spread 603 /spread
CLP Holdings Ltd Full Rate 2,030 /lot 1,620 /lot
Spread Rate 609 /spread 486 /spread
China Merchants Bank Co Ltd Full Rate 793 /lot 634 /lot
Spread Rate 238 /spread 191 /spread
CNOOC Ltd Full Rate 1,520 /lot 1,220 /lot
Spread Rate 456 /spread 366 /spread
Cathay Pacific Airways Ltd Full Rate 2,100 /lot 1,680 /lot
Spread Rate 630 /spread 504 /spread
China Petroleum & Chemical Corporation Full Rate 1,110 /lot 885 /lot
Spread Rate 333 /spread 266 /spread
China Telecom Corporation Ltd Full Rate 504 /lot 403 /lot
Spread Rate 152 /spread 121 /spread
Esprit Holdings Ltd Full Rate 259 /lot 208 /lot
Spread Rate 78 /spread 63 /spread
Foxconn International Holdings Ltd Full Rate 448 /lot 359 /lot
Spread Rate 135 /spread 108 /spread
Hongkong Electric Holdings Ltd Full Rate 1,550 /lot 1,240 /lot
Spread Rate 465 /spread 372 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 1,410 /lot 1,130 /lot
Spread Rate 423 /spread 339 /spread
HSBC Holdings Plc Full Rate 2,010 /lot 1,610 /lot
Spread Rate 603 /spread 483 /spread
Hong Kong and China Gas Co Ltd Full Rate 1,170 /lot 935 /lot
Spread Rate 351 /spread 281 /spread
Henderson Land Development Co Ltd Full Rate 3,340 /lot 2,670 /lot
Spread Rate 1,010 /spread 801 /spread
Huaneng Power International Inc Full Rate 565 /lot 452 /lot
Spread Rate 170 /spread 136 /spread
Hang Seng Bank Ltd Full Rate 822 /lot 658 /lot
Spread Rate 247 /spread 198 /spread
Hutchison Whampoa Ltd Full Rate 6,780 /lot 5,420 /lot
Spread Rate 2,040 /spread 1,630 /spread
Industrial and Commercial Bank of China Ltd
(ICB: Multiplier = 1,000)
Full Rate 400 /lot 320 /lot
Spread Rate 120 /spread 96 /spread
Industrial and Commercial Bank of China Ltd
(ICA: Multiplier = 1,019)
Full Rate 408 /lot 326 /lot
Spread Rate 122 /spread 98 /spread
Li & Fung Ltd Full Rate 7,510 /lot 6,010 /lot
Spread Rate 2,260 /spread 1,810 /spread
MTR Corporation Ltd Full Rate 893 /lot 714 /lot
Spread Rate 268 /spread 215 /spread
New World Development Co Ltd Full Rate 1,270 /lot 1,020 /lot
Spread Rate 381 /spread 306 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 4,190 /lot 3,350 /lot
Spread Rate 1,260 /spread 1,010 /spread
PetroChina Company Ltd Full Rate 1,460 /lot 1,170 /lot
Spread Rate 438 /spread 351 /spread
PICC Property and Casualty Co Ltd Full Rate 2,340 /lot 1,880 /lot
Spread Rate 702 /spread 564 /spread
Sun Hung Kai Properties Ltd Full Rate 8,810 /lot 7,050 /lot
Spread Rate 2,650 /spread 2,120 /spread
Swire Pacific Ltd “A” Full Rate 5,330 /lot 4,260 /lot
Spread Rate 1,600 /spread 1,280 /spread
Wharf (Holdings) Ltd Full Rate 5,380 /lot 4,310 /lot
Spread Rate 1,620 /spread 1,300 /spread

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 5,590 /lot 4,470 /lot
Spread Rate 1,680 /spread 1,350 /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 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
2,250
per spread
1,800
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
2,120
per spread
1,700
per spread
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
1,690
per spread
1,350
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
1,370
per spread
1,100
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
1,060
per spread
846
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
387
per spread
310
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
519
per spread
415
per spread
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
508
per spread
407
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
495
per spread
396
per spread
2nd month vs 3rd month 336
per spread
269
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
246
per spread
197
per spread


Ends

Updated 30 Dec 2010