HKFE Announces Revised Margins for Futures Contracts

Market Operations

29 Apr 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 Friday, 2 May 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	71,100	/lot	56,850	/lot
Hang Seng Index	Spread Rate	14,250	/spread	11,400	/spread

Mini-Hang Seng Index	Full Rate	14,220	/lot	11,370	/lot
Mini-Hang Seng Index	Spread Rate	2,850	/spread	2,280	/spread

H-shares Index	Full Rate	31,400	/lot	25,150	/lot
H-shares Index	Spread Rate	9,450	/spread	7,550	/spread

Mini H-shares Index	Full Rate	6,280	/lot	5,030	/lot
Mini H-shares Index	Spread Rate	1,890	/spread	1,510	/spread

CES China 120 Index	Full Rate	11,820	/lot	9,460	/lot
CES China 120 Index	Spread Rate	3,550	/spread	2,840	/spread

HSCEI Dividend Point Index	Full Rate	2,230	/lot	1,780	/lot
HSCEI Dividend Point Index	Spread Rate	2,680	/spread	2,140	/spread

HSI Dividend Point Index	Full Rate	4,500	/lot	3,600	/lot
HSI Dividend Point Index	Spread Rate	5,400	/spread	4,320	/spread

HSI Volatility Index	Full Rate	21,930	/lot	17,540	/lot
HSI Volatility Index	Spread Rate	6,580	/spread	5,270	/spread

IBOVESPA	Full Rate	16,830	/lot	13,470	/lot
IBOVESPA	Spread Rate	5,050	/spread	4,050	/spread

S&P BSE Sensex Index	Full Rate	14,300	/lot	11,440	/lot
S&P BSE Sensex Index	Spread Rate	4,290	/spread	3,440	/spread

FTSE/JSE Top40 Index	Full Rate	27,440	/lot	21,950	/lot
FTSE/JSE Top40 Index	Spread Rate	8,240	/spread	6,590	/spread

MICEX Index	Full Rate	14,810	/lot	11,850	/lot
MICEX Index	Spread Rate	4,450	/spread	3,560	/spread

Three-Year EFN	Full Rate	10,940	/lot	8,750	/lot
Three-Year EFN	Spread Rate	3,290	/spread	2,630	/spread

One-Month HIBOR	Full Rate	590	/lot	472	/lot
One-Month HIBOR	Spread Rate	Please refer to attached table

Three-Month HIBOR	Full Rate	532	/lot	426	/lot
Three-Month HIBOR	Spread Rate	Please refer to attached table

iShares FTSE A50 China Index ETF	Full Rate	2,870	/lot	2,300	/lot
iShares FTSE A50 China Index ETF	Spread Rate	861	/spread	690	/spread

Aluminum Corporation of China Ltd	Full Rate	635	/lot	508	/lot
Aluminum Corporation of China Ltd	Spread Rate	191	/spread	153	/spread

China AMC CSI 300 index ETF	Full Rate	3,450	/lot	2,760	/lot
China AMC CSI 300 index ETF	Spread Rate	1,040	/spread	828	/spread

Bank of China Ltd	Full Rate	202	/lot	162	/lot
Bank of China Ltd	Spread Rate	61	/spread	49	/spread

Bank of Communications Co Ltd	Full Rate	305	/lot	244	/lot
Bank of Communications Co Ltd	Spread Rate	92	/spread	74	/spread

The Bank of East Asia Ltd	Full Rate	399	/lot	319	/lot
The Bank of East Asia Ltd	Spread Rate	120	/spread	96	/spread

BOC Hong Kong (Holdings) Ltd	Full Rate	696	/lot	557	/lot
BOC Hong Kong (Holdings) Ltd	Spread Rate	209	/spread	168	/spread

China Construction Bank Corporation	Full Rate	325	/lot	260	/lot
China Construction Bank Corporation	Spread Rate	98	/spread	78	/spread

China Communications Construction Co Ltd	Full Rate	459	/lot	367	/lot
China Communications Construction Co Ltd	Spread Rate	138	/spread	111	/spread

China Mobile Ltd	Full Rate	2,210	/lot	1,770	/lot
China Mobile Ltd	Spread Rate	663	/spread	531	/spread

China Unicom (Hong Kong) Ltd	Full Rate	1,410	/lot	1,130	/lot
China Unicom (Hong Kong) Ltd	Spread Rate	423	/spread	339	/spread

CITIC Pacific Ltd	Full Rate	1,540	/lot	1,230	/lot
CITIC Pacific Ltd	Spread Rate	462	/spread	369	/spread

Cheung Kong (Holdings) Ltd	Full Rate	8,400	/lot	6,720	/lot
Cheung Kong (Holdings) Ltd	Spread Rate	2,520	/spread	2,020	/spread

China Life Insurance Company Ltd	Full Rate	1,770	/lot	1,420	/lot
China Life Insurance Company Ltd	Spread Rate	531	/spread	426	/spread

CLP Holdings Ltd	Full Rate	1,940	/lot	1,550	/lot
CLP Holdings Ltd	Spread Rate	582	/spread	465	/spread

China Merchants Bank Co Ltd	Full Rate	623	/lot	499	/lot
China Merchants Bank Co Ltd	Spread Rate	187	/spread	150	/spread

CNOOC Ltd	Full Rate	1,020	/lot	809	/lot
CNOOC Ltd	Spread Rate	306	/spread	243	/spread

Cathay Pacific Airways Ltd	Full Rate	1,160	/lot	922	/lot
Cathay Pacific Airways Ltd	Spread Rate	348	/spread	277	/spread

China Petroleum & Chemical Corporation	Full Rate	1,290	/lot	1,030	/lot
China Petroleum & Chemical Corporation	Spread Rate	387	/spread	309	/spread

CSOP FTSE China A50 ETF	Full Rate	2,900	/lot	2,320	/lot
CSOP FTSE China A50 ETF	Spread Rate	870	/spread	696	/spread

China Telecom Corporation Ltd	Full Rate	565	/lot	452	/lot
China Telecom Corporation Ltd	Spread Rate	170	/spread	136	/spread

Esprit Holdings Ltd	Full Rate	109	/lot	87	/lot
Esprit Holdings Ltd	Spread Rate	33	/spread	27	/spread

FIH Mobile Limited	Full Rate	580	/lot	464	/lot
FIH Mobile Limited	Spread Rate	174	/spread	140	/spread

Power Assets Holdings Ltd	Full Rate	2,190	/lot	1,750	/lot
Power Assets Holdings Ltd	Spread Rate	657	/spread	525	/spread

Hong Kong Exchanges and Clearing Ltd	Full Rate	1,650	/lot	1,320	/lot
Hong Kong Exchanges and Clearing Ltd	Spread Rate	495	/spread	396	/spread

HSBC Holdings Plc	Full Rate	2,020	/lot	1,620	/lot
HSBC Holdings Plc	Spread Rate	606	/spread	486	/spread

Hong Kong and China Gas Co Ltd	Full Rate	1,100	/lot	873	/lot
Hong Kong and China Gas Co Ltd	Spread Rate	330	/spread	262	/spread

Henderson Land Development Co Ltd	Full Rate	2,930	/lot	2,350	/lot
Henderson Land Development Co Ltd	Spread Rate	879	/spread	705	/spread

Huaneng Power International Inc	Full Rate	1,160	/lot	927	/lot
Huaneng Power International Inc	Spread Rate	348	/spread	279	/spread

Hang Seng Bank Ltd	Full Rate	781	/lot	625	/lot
Hang Seng Bank Ltd	Spread Rate	235	/spread	188	/spread

Hutchison Whampoa Ltd	Full Rate	7,330	/lot	5,860	/lot
Hutchison Whampoa Ltd	Spread Rate	2,200	/spread	1,760	/spread

Industrial and Commercial Bank of China Ltd	Full Rate	286	/lot	229	/lot
Industrial and Commercial Bank of China Ltd	Spread Rate	86	/spread	69	/spread

Li & Fung Ltd	Full Rate	3,050	/lot	2,440	/lot
Li & Fung Ltd	Spread Rate	915	/spread	732	/spread

MTR Corporation Ltd	Full Rate	924	/lot	739	/lot
MTR Corporation Ltd	Spread Rate	278	/spread	222	/spread

New World Development Co Ltd (NWD: Multiplier = 1,000)	Full Rate	936	/lot	749	/lot
New World Development Co Ltd (NWD: Multiplier = 1,000)	Spread Rate	281	/spread	225	/spread

New World Development Co Ltd (NWA: Multiplier = 1,062)	Full Rate	994	/lot	796	/lot
New World Development Co Ltd (NWA: Multiplier = 1,062)	Spread Rate	298	/spread	239	/spread

Ping An Insurance (Group) Co of China Ltd	Full Rate	2,380	/lot	1,900	/lot
Ping An Insurance (Group) Co of China Ltd	Spread Rate	714	/spread	570	/spread

PetroChina Company Ltd	Full Rate	1,080	/lot	860	/lot
PetroChina Company Ltd	Spread Rate	324	/spread	258	/spread

PICC Property and Casualty Company Limited	Full Rate	1,630	/lot	1,300	/lot
PICC Property and Casualty Company Limited	Spread Rate	489	/spread	390	/spread

Sun Hung Kai Properties Ltd (SHK: Multiplier = 1,000)	Full Rate	6,220	/lot	4,970	/lot
Sun Hung Kai Properties Ltd (SHK: Multiplier = 1,000)	Spread Rate	1,870	/spread	1,500	/spread

Sun Hung Kai Properties Ltd (SKA: Multiplier = 1,007)	Full Rate	6,261	/lot	5,003	/lot
Sun Hung Kai Properties Ltd (SKA: Multiplier = 1,007)	Spread Rate	1,882	/spread	1,510	/spread

Swire Pacific Ltd ‘A’	Full Rate	2,840	/lot	2,270	/lot
Swire Pacific Ltd ‘A’	Spread Rate	852	/spread	681	/spread

The Wharf (Holdings) Ltd	Full Rate	4,610	/lot	3,690	/lot
The Wharf (Holdings) Ltd	Spread Rate	1,390	/spread	1,110	/spread

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

Gold Futures	Full Rate	4,840	/lot	3,880	/lot
Gold Futures	Spread Rate	1,460	/spread	1,170	/spread

Futures Contract	Margin Rate	Initial Margin (RMB)		Maintenance Margin (RMB)

RMB Currency Futures (USD/CNH Futures#)	Full Rate	15,870	/lot	12,690	/lot
	Spread Rate	9,530	/spread	7,620	/spread
	Spot Month Charge*	3,180	/lot	2,540	/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 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	988 per spread	790 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	817 per spread	654 per spread
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	808 per spread	647 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	743 per spread	595 per spread
1st month vs 2nd month	472 per spread	378 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	160 per spread	128 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	517 per spread	413 per spread
1st month vs 4th month 1st month vs 5th month 1st month vs 6th month	517 per spread	413 per spread
2nd month vs 3rd month	177 per spread	142 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	177 per spread	142 per spread
4th month vs 5th month 4th month vs 6th month 5th month vs 6th month	177 per spread	142 per spread

Ends

Updated 29 Apr 2014