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HKFE Announces Revised Margins for Futures Contracts

Market Operations
29 Mar 2012

 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 April 2012, 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 65,250 /lot 52,200 /lot
Spread Rate 7,500 /spread 6,000 /spread
Mini-Hang Seng Index Full Rate 13,050 /lot 10,440 /lot
Spread Rate 1,500 /spread 1,200 /spread
H-shares Index Full Rate 36,650 /lot 29,350 /lot
Spread Rate 11,000 /spread 8,850 /spread
Mini H-shares Index Full Rate 7,330 /lot 5,870 /lot
Spread Rate 2,200 /spread 1,770 /spread
HSCEI Dividend Point Index Full Rate 1,720 /lot 1,380 /lot
Spread Rate 2,070 /spread 1,660 /spread
HSI Dividend Point Index Full Rate 3,550 /lot 2,840 /lot
Spread Rate 4,260 /spread 3,410 /spread
HSI Volatility Index Full Rate 29,040 /lot 23,230 /lot
Spread Rate 8,720 /spread 6,970 /spread
IBOVESPA Futures Full Rate 20,570 /lot 16,460 /lot
Spread Rate 6,170 /spread 4,940 /spread
MICEX Index Futures Full Rate 17,340 /lot 13,870 /lot
Spread Rate 5,210 /spread 4,170 /spread
Sensex Index Futures Full Rate 10,860 /lot 8,690 /lot
Spread Rate 3,260 /spread 2,610 /spread
FTSE/JSE Top40 Futures Full Rate 18,580 /lot 14,860 /lot
Spread Rate 5,580 /spread 4,460 /spread
Three-Year EFN Full Rate 10,890 /lot 8,710 /lot
Spread Rate 3,270 /spread 2,620 /spread
One-Month HIBOR Full Rate 533 /lot 427 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 998 /lot 799 /lot
Spread Rate Please refer to attached table
Aluminum Corporation of China Ltd Full Rate 890 /lot 712 /lot
Spread Rate 267 /spread 214 /spread
Bank of China Ltd Full Rate 206 /lot 165 /lot
Spread Rate 62 /spread 50 /spread
Bank of Communications Co Ltd Full Rate 543 /lot 435 /lot
Spread Rate 163 /spread 131 /spread
The Bank of East Asia Ltd Full Rate 366 /lot 293 /lot
Spread Rate 110 /spread 88 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 659 /lot 527 /lot
Spread Rate 198 /spread 159 /spread
China Construction Bank Corporation Full Rate 378 /lot 302 /lot
Spread Rate 113 /spread 91 /spread
China Communications Construction Co Ltd Full Rate 816 /lot 653 /lot
Spread Rate 245 /spread 196 /spread
China Mobile Ltd Full Rate 2,950 /lot 2,360 /lot
Spread Rate 885 /spread 708 /spread
China Unicom (Hong Kong) Ltd Full Rate 2,660 /lot 2,130 /lot
Spread Rate 798 /spread 639 /spread
CITIC Pacific Ltd Full Rate 994 /lot 795 /lot
Spread Rate 299 /spread 239 /spread
Cheung Kong (Holdings) Ltd Full Rate 8,030 /lot 6,730 /lot
Spread Rate 2,410 /spread 2,020 /spread
China Life Insurance Company Ltd Full Rate 2,320 /lot 1,860 /lot
Spread Rate 696 /spread 558 /spread
CLP Holdings Ltd Full Rate 2,080 /lot 1,670 /lot
Spread Rate 624 /spread 501 /spread
China Merchants Bank Co Ltd Full Rate 744 /lot 595 /lot
Spread Rate 224 /spread 179 /spread
CNOOC Ltd Full Rate 1,190 /lot 949 /lot
Spread Rate 357 /spread 285 /spread
Cathay Pacific Airways Ltd Full Rate 1,160 /lot 925 /lot
Spread Rate 348 /spread 278 /spread
China Petroleum & Chemical Corporation Full Rate 1,370 /lot 1,100 /lot
Spread Rate 411 /spread 330 /spread
China Telecom Corporation Ltd Full Rate 734 /lot 587 /lot
Spread Rate 221 /spread 177 /spread
Esprit Holdings Ltd Full Rate 321 /lot 257 /lot
Spread Rate 97 /spread 78 /spread
Foxconn International Holdings Ltd Full Rate 647 /lot 518 /lot
Spread Rate 195 /spread 156 /spread
Power Assets Holdings Ltd Full Rate 1,780 /lot 1,430 /lot
Spread Rate 534 /spread 429 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 888 /lot 710 /lot
Spread Rate 267 /spread 213 /spread
HSBC Holdings Plc Full Rate 1,750 /lot 1,400 /lot
Spread Rate 525 /spread 420 /spread
Hong Kong and China Gas Co Ltd Full Rate 1,280 /lot 1,030 /lot
Spread Rate 384 /spread 309 /spread
Henderson Land Development Co Ltd Full Rate 3,470 /lot 2,780 /lot
Spread Rate 1,050 /spread 834 /spread
Huaneng Power International Inc Full Rate 1,120 /lot 895 /lot
Spread Rate 336 /spread 269 /spread
Hang Seng Bank Ltd Full Rate 640 /lot 512 /lot
Spread Rate 192 /spread 154 /spread
Hutchison Whampoa Ltd Full Rate 5,140 /lot 4,110 /lot
Spread Rate 1,550 /spread 1,240 /spread
Industrial and Commercial Bank of China Ltd Full Rate 430 /lot 344 /lot
Spread Rate 129 /spread 104 /spread
Li & Fung Ltd Full Rate 3,290 /lot 2,640 /lot
Spread Rate 987 /spread 792 /spread
MTR Corporation Ltd Full Rate 853 /lot 683 /lot
Spread Rate 256 /spread 205 /spread
New World Development Co Ltd
(NWD - Multiplier = 1,000)
Full Rate 924 /lot 739 /lot
Spread Rate 278 /spread 222 /spread
New World Development Co Ltd
(NWA - Multiplier = 1,089)
Full Rate 1,006 /lot 805 /lot
Spread Rate 303 /spread 242 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 3,210 /lot 2,570 /lot
Spread Rate 963 /spread 771 /spread
PetroChina Company Ltd Full Rate 1,390 /lot 1,110 /lot
Spread Rate 417 /spread 333 /spread
PICC Property and Casualty Company Limited
(PIC - Multiplier = 2,000)
Full Rate 2,280 /lot 1,830 /lot
Spread Rate 684 /spread 549 /spread
PICC Property and Casualty Company Limited
(PIA - Multiplier = 2,098)
Full Rate 2,391 /lot 1,919 /lot
Spread Rate 717 /spread 576 /spread
Sun Hung Kai Properties Ltd Full Rate 7,370 /lot 5,900 /lot
Spread Rate 2,220 /spread 1,770 /spread
Swire Pacific Ltd “A”
(SWA - Multiplier = 500)
Full Rate 2,800 /lot 2,240 /lot
Spread Rate 840 /spread 672 /spread
Swire Pacific Ltd. 'A'
(SWE - Multiplier = 575)
Full Rate 3,223 /lot 2,578 /lot
Spread Rate 967 /spread 773 /spread
Wharf (Holdings) Ltd Full Rate 3,530 /lot 2,830 /lot
Spread Rate 1,060 /spread 849 /spread

 

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 8,440 /lot 6,750 /lot
Spread Rate 2,540 /spread 2,030 /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
1,400
per spread
1,120
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
1,340
per spread
1,070
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
1,140
per spread
911
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
 
945
per spread
756
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
940
per spread
752
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
300
per spread
240
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
667
per spread
534
per spread
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
662
per spread
529
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
601
per spread
481
per spread
2nd month vs 3rd month 582
per spread
466
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
160
per spread
128
per spread

Ends

Updated 29 Mar 2012