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HKFE Announces Revised Margins for Futures Contracts

Market Operations
27 Jan 2011

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, 31 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 74,600 /lot 59,700 /lot
Spread Rate 7,500 /spread 6,000 /spread
Mini-Hang Seng Index Full Rate 14,920 /lot 11,940 /lot
Spread Rate 1,500 /spread 1,200 /spread
H-shares Index Full Rate 40,100 /lot 32,100 /lot
Spread Rate 12,050 /spread 9,650 /spread
Mini H-shares Index Full Rate 8,020 /lot 6,420 /lot
Spread Rate 2,410 /spread 1,930 /spread
HSI Dividend Point Index Full Rate 3,390 /lot 2,710 /lot
Spread Rate 4,070 /spread 3,260 /spread
HSCEI Dividend Point Index Full Rate 1,660 /lot 1,330 /lot
Spread Rate 2,000 /spread 1,600 /spread
Three-Year EFN Full Rate 10,750 /lot 8,600 /lot
Spread Rate 3,230 /spread 2,580 /spread
One-Month HIBOR Full Rate 819 /lot 655 /lot
Spread Rate Please refer to attached table
Three-Month HIBOR Full Rate 1,010 /lot 803 /lot
Spread Rate Please refer to attached table
Aluminum Corporation of China Ltd Full Rate 1,340 /lot 1,070 /lot
Spread Rate 402 /spread 321 /spread
Bank of China Limited
(BCL: Multiplier = 1,000)
Full Rate 264 /lot 211 /lot
Spread Rate 80 /spread 64 /spread
Bank of China Limited
(BCB: Multiplier = 1,043)
Full Rate 275 /lot 220 /lot
Spread Rate 83 /spread 67 /spread
Bank of Communications Co Ltd Full Rate 486 /lot 389 /lot
Spread Rate 146 /spread 117 /spread
The Bank of East Asia Ltd Full Rate 440 /lot 352 /lot
Spread Rate 132 /spread 106 /spread
BOC Hong Kong (Holdings) Ltd Full Rate 951 /lot 761 /lot
Spread Rate 286 /spread 229 /spread
China Construction Bank Corporation
(CCB: Multiplier = 1,000)
Full Rate 454 /lot 363 /lot
Spread Rate 137 /spread 109 /spread
China Construction Bank Corporation
(CCA: Multiplier = 1,031)
Full Rate 468 /lot 374 /lot
Spread Rate 141 /spread 112 /spread
China Communications Construction Co Ltd Full Rate 409 /lot 327 /lot
Spread Rate 123 /spread 99 /spread
China Mobile Ltd Full Rate 2,460 /lot 1,970 /lot
Spread Rate 738 /spread 591 /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 1,490 /lot 1,190 /lot
Spread Rate 447 /spread 357 /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 3,560 /lot 2,850 /lot
Spread Rate 1,070 /spread 855 /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 644 /lot 516 /lot
Spread Rate 194 /spread 155 /spread
CNOOC Ltd Full Rate 1,470 /lot 1,170 /lot
Spread Rate 441 /spread 351 /spread
Cathay Pacific Airways Ltd Full Rate 2,140 /lot 1,720 /lot
Spread Rate 642 /spread 516 /spread
China Petroleum & Chemical Corporation Full Rate 1,160 /lot 927 /lot
Spread Rate 348 /spread 279 /spread
China Telecom Corporation Ltd Full Rate 852 /lot 681 /lot
Spread Rate 256 /spread 205 /spread
Esprit Holdings Ltd Full Rate 234 /lot 187 /lot
Spread Rate 71 /spread 57 /spread
Foxconn International Holdings Ltd Full Rate 389 /lot 312 /lot
Spread Rate 117 /spread 94 /spread
Hongkong Electric Holdings Ltd Full Rate 1,500 /lot 1,200 /lot
Spread Rate 450 /spread 360 /spread
Hong Kong Exchanges and Clearing Ltd Full Rate 1,220 /lot 972 /lot
Spread Rate 366 /spread 292 /spread
HSBC Holdings Plc Full Rate 2,160 /lot 1,730 /lot
Spread Rate 648 /spread 519 /spread
Hong Kong and China Gas Co Ltd Full Rate 1,130 /lot 904 /lot
Spread Rate 339 /spread 272 /spread
Henderson Land Development Co Ltd Full Rate 3,430 /lot 2,740 /lot
Spread Rate 1,030 /spread 822 /spread
Huaneng Power International Inc Full Rate 533 /lot 426 /lot
Spread Rate 160 /spread 128 /spread
Hang Seng Bank Ltd Full Rate 806 /lot 645 /lot
Spread Rate 242 /spread 194 /spread
Hutchison Whampoa Ltd Full Rate 7,670 /lot 6,130 /lot
Spread Rate 2,310 /spread 1,840 /spread
Industrial and Commercial Bank of China Ltd
(
ICB: Multiplier = 1,000)
Full Rate 369 /lot 295 /lot
Spread Rate 111 /spread 89 /spread
Industrial and Commercial Bank of China Ltd
ICA: Multiplier = 1,019)
Full Rate 376 /lot 301 /lot
Spread Rate 113 /spread 91 /spread
Li & Fung Ltd Full Rate 7,780 /lot 6,220 /lot
Spread Rate 2,340 /spread 1,870 /spread
MTR Corporation Ltd Full Rate 909 /lot 727 /lot
Spread Rate 273 /spread 219 /spread
New World Development Co Ltd Full Rate 1,140 /lot 909 /lot
Spread Rate 342 /spread 273 /spread
Ping An Insurance (Group) Co of China Ltd Full Rate 3,430 /lot 2,750 /lot
Spread Rate 1,030 /spread 825 /spread
PetroChina Company Ltd Full Rate 1,420 /lot 1,140 /lot
Spread Rate 426 /spread 342 /spread
PICC Property and Casualty Co Ltd Full Rate 2,020 /lot 1,620 /lot
Spread Rate 606 /spread 486 /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 4,510 /lot 3,610 /lot
Spread Rate 1,360 /spread 1,090 /spread
Wharf (Holdings) Ltd Full Rate 4,540 /lot 3,630 /lot
Spread Rate 1,370 /spread 1,090 /spread
  

Futures Contract Margin Rate Initial Margin
(US$)
Maintenance Margin
(US$)
Gold Futures Full Rate 5,200 /lot 4,160 /lot
Spread Rate 1,560 /spread 1,250 /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
2,020
per spread
1,600
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
2,020
per spread
1,600
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
2,020
per spread
1,600
per spread
4th month vs 5th month
4th month vs 6th month
5th month vs 6th month
1,780
per spread
1,420 
per spread
1st month vs 2nd month
1st month vs 3rd month
2nd month vs 3rd month
1,100
per spread
874
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
303
per spread
242
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
542
per spread
434
per spread
1st month vs 4th month
1st month vs 5th month
1st month vs 6th month
541
per spread
433
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
476
per spread
381
per spread
2nd month vs 3rd month 318
per spread
254
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 27 Jan 2011