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HKFE Announces Revised Margins For Futures Contracts

Date 31/12/2010

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 month5th month vs 6th month



246
per spread



197
per spread