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 Tuesday, 2 April 2013, 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
|
69,550
|
/lot
|
55,650
|
/lot
|
|
Spread Rate
|
13,950
|
/spread
|
11,150
|
/spread
|
|
|
Mini-Hang Seng Index
|
Full Rate
|
13,910
|
/lot
|
11,130
|
/lot
|
|
Spread Rate
|
2,790
|
/spread
|
2,230
|
/spread
|
|
|
H-shares Index
|
Full Rate
|
34,500
|
/lot
|
27,600
|
/lot
|
|
Spread Rate
|
10,350
|
/spread
|
8,300
|
/spread
|
|
|
Mini H-shares Index
|
Full Rate
|
6,900
|
/lot
|
5,520
|
/lot
|
|
Spread Rate
|
2,070
|
/spread
|
1,660
|
/spread
|
|
|
HSCEI Dividend Point Index
|
Full Rate
|
1,940
|
/lot
|
1,560
|
/lot
|
|
Spread Rate
|
2,330
|
/spread
|
1,880
|
/spread
|
|
|
HSI Dividend Point Index
|
Full Rate
|
3,670
|
/lot
|
2,940
|
/lot
|
|
Spread Rate
|
4,410
|
/spread
|
3,530
|
/spread
|
|
|
HSI Volatility Index
|
Full Rate
|
22,630
|
/lot
|
18,110
|
/lot
|
|
Spread Rate
|
6,790
|
/spread
|
5,440
|
/spread
|
|
|
IBOVESPA Futures
|
Full Rate
|
17,620
|
/lot
|
14,100
|
/lot
|
|
Spread Rate
|
5,290
|
/spread
|
4,230
|
/spread
|
|
|
Sensex Index Futures
|
Full Rate
|
11,880
|
/lot
|
9,510
|
/lot
|
|
Spread Rate
|
3,570
|
/spread
|
2,860
|
/spread
|
|
|
FTSE/JSE Top40 Index Futures
|
Full Rate
|
22,650
|
/lot
|
18,120
|
/lot
|
|
Spread Rate
|
6,800
|
/spread
|
5,440
|
/spread
|
|
|
MICEX Index Futures
|
Full Rate
|
16,030
|
/lot
|
12,820
|
/lot
|
|
Spread Rate
|
4,810
|
/spread
|
3,850
|
/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
|
492
|
/lot
|
394
|
/lot
|
|
Spread Rate
|
Please refer to attached table
|
||||
|
Three-Month HIBOR
|
Full Rate
|
358
|
/lot
|
287
|
/lot
|
|
Spread Rate
|
Please refer to attached table
|
||||
|
Aluminum Corporation of China Ltd
|
Full Rate
|
553
|
/lot
|
442
|
/lot
|
|
Spread Rate
|
166
|
/spread
|
133
|
/spread
|
|
|
Bank of China Ltd
|
Full Rate
|
260
|
/lot
|
208
|
/lot
|
|
Spread Rate
|
78
|
/spread
|
63
|
/spread
|
|
|
Bank of Communications Co Ltd
|
Full Rate
|
459
|
/lot
|
368
|
/lot
|
|
Spread Rate
|
138
|
/spread
|
111
|
/spread
|
|
|
The Bank of East Asia Ltd
|
Full Rate
|
383
|
/lot
|
307
|
/lot
|
|
Spread Rate
|
115
|
/spread
|
93
|
/spread
|
|
|
BOC Hong Kong (Holdings) Ltd
|
Full Rate
|
819
|
/lot
|
655
|
/lot
|
|
Spread Rate
|
246
|
/spread
|
197
|
/spread
|
|
|
China Construction Bank Corporation
|
Full Rate
|
414
|
/lot
|
331
|
/lot
|
|
Spread Rate
|
125
|
/spread
|
100
|
/spread
|
|
|
China Communications Construction Co Ltd
|
Full Rate
|
534
|
/lot
|
427
|
/lot
|
|
Spread Rate
|
161
|
/spread
|
129
|
/spread
|
|
|
China Mobile Ltd
|
Full Rate
|
2,510
|
/lot
|
2,010
|
/lot
|
|
Spread Rate
|
753
|
/spread
|
603
|
/spread
|
|
|
China Unicom (Hong Kong) Ltd
|
Full Rate
|
1,610
|
/lot
|
1,290
|
/lot
|
|
Spread Rate
|
483
|
/spread
|
387
|
/spread
|
|
|
CITIC Pacific Ltd
|
Full Rate
|
1,180
|
/lot
|
937
|
/lot
|
|
Spread Rate
|
354
|
/spread
|
282
|
/spread
|
|
|
Cheung Kong (Holdings) Ltd
|
Full Rate
|
6,850
|
/lot
|
5,480
|
/lot
|
|
Spread Rate
|
2,060
|
/spread
|
1,650
|
/spread
|
|
|
China Life Insurance Company Ltd
|
Full Rate
|
1,940
|
/lot
|
1,550
|
/lot
|
|
Spread Rate
|
582
|
/spread
|
465
|
/spread
|
|
|
CLP Holdings Ltd
|
Full Rate
|
2,110
|
/lot
|
1,690
|
/lot
|
|
Spread Rate
|
633
|
/spread
|
507
|
/spread
|
|
|
China Merchants Bank Co Ltd
|
Full Rate
|
671
|
/lot
|
537
|
/lot
|
|
Spread Rate
|
202
|
/spread
|
162
|
/spread
|
|
|
CNOOC Ltd
|
Full Rate
|
894
|
/lot
|
715
|
/lot
|
|
Spread Rate
|
269
|
/spread
|
215
|
/spread
|
|
|
Cathay Pacific Airways Ltd
|
Full Rate
|
862
|
/lot
|
690
|
/lot
|
|
Spread Rate
|
259
|
/spread
|
207
|
/spread
|
|
|
China Petroleum & Chemical Corporation
|
Full Rate
|
1,110
|
/lot
|
882
|
/lot
|
|
Spread Rate
|
333
|
/spread
|
265
|
/spread
|
|
|
China Telecom Corporation Ltd
|
Full Rate
|
483
|
/lot
|
386
|
/lot
|
|
Spread Rate
|
145
|
/spread
|
116
|
/spread
|
|
|
Esprit Holdings Ltd (ESP - Multiplier = 100)
|
Full Rate
|
103
|
/lot
|
82
|
/lot
|
|
Spread Rate
|
31
|
/spread
|
25
|
/spread
|
|
|
Esprit Holdings Ltd (ESA - Multiplier = 109)
|
Full Rate
|
112
|
/lot
|
89
|
/lot
|
|
Spread Rate
|
34
|
/spread
|
27
|
/spread
|
|
|
Foxconn International Holdings Ltd
|
Full Rate
|
390
|
/lot
|
312
|
/lot
|
|
Spread Rate
|
117
|
/spread
|
94
|
/spread
|
|
|
Power Assets Holdings Ltd
|
Full Rate
|
2,270
|
/lot
|
1,820
|
/lot
|
|
Spread Rate
|
681
|
/spread
|
546
|
/spread
|
|
|
Hong Kong Exchanges and Clearing Ltd
|
Full Rate
|
835
|
/lot
|
668
|
/lot
|
|
Spread Rate
|
251
|
/spread
|
201
|
/spread
|
|
|
HSBC Holdings Plc
|
Full Rate
|
2,090
|
/lot
|
1,670
|
/lot
|
|
Spread Rate
|
627
|
/spread
|
501
|
/spread
|
|
|
Hong Kong and China Gas Co Ltd
|
Full Rate
|
1,380
|
/lot
|
1,110
|
/lot
|
|
Spread Rate
|
414
|
/spread
|
333
|
/spread
|
|
|
Henderson Land Development Co Ltd
|
Full Rate
|
3,290
|
/lot
|
2,630
|
/lot
|
|
Spread Rate
|
987
|
/spread
|
789
|
/spread
|
|
|
Huaneng Power International Inc
|
Full Rate
|
1,500
|
/lot
|
1,200
|
/lot
|
|
Spread Rate
|
450
|
/spread
|
360
|
/spread
|
|
|
Hang Seng Bank Ltd
|
Full Rate
|
757
|
/lot
|
606
|
/lot
|
|
Spread Rate
|
228
|
/spread
|
182
|
/spread
|
|
|
Hutchison Whampoa Ltd
|
Full Rate
|
4,990
|
/lot
|
4,000
|
/lot
|
|
Spread Rate
|
1,500
|
/spread
|
1,200
|
/spread
|
|
|
Industrial and Commercial Bank of China Ltd
|
Full Rate
|
368
|
/lot
|
295
|
/lot
|
|
Spread Rate
|
111
|
/spread
|
89
|
/spread
|
|
|
Li & Fung Ltd
|
Full Rate
|
2,370
|
/lot
|
1,900
|
/lot
|
|
Spread Rate
|
711
|
/spread
|
570
|
/spread
|
|
|
MTR Corporation Ltd
|
Full Rate
|
943
|
/lot
|
754
|
/lot
|
|
Spread Rate
|
283
|
/spread
|
227
|
/spread
|
|
|
New World Development Co Ltd
|
Full Rate
|
1,080
|
/lot
|
857
|
/lot
|
|
Spread Rate
|
324
|
/spread
|
258
|
/spread
|
|
|
Ping An Insurance (Group) Co of China Ltd
|
Full Rate
|
2,170
|
/lot
|
1,740
|
/lot
|
|
Spread Rate
|
651
|
/spread
|
522
|
/spread
|
|
|
PetroChina Company Ltd
|
Full Rate
|
1,290
|
/lot
|
1,030
|
/lot
|
|
Spread Rate
|
387
|
/spread
|
309
|
/spread
|
|
|
PICC Property and Casualty Company Limited
|
Full Rate
|
1,580
|
/lot
|
1,270
|
/lot
|
|
Spread Rate
|
474
|
/spread
|
381
|
/spread
|
|
|
Sun Hung Kai Properties Ltd
|
Full Rate
|
6,620
|
/lot
|
5,290
|
/lot
|
|
Spread Rate
|
1,990
|
/spread
|
1,590
|
/spread
|
|
|
Swire Pacific Ltd ‘A’
|
Full Rate
|
3,030
|
/lot
|
2,430
|
/lot
|
|
Spread Rate
|
909
|
/spread
|
729
|
/spread
|
|
|
The Wharf (Holdings) Ltd
|
Full Rate
|
5,460
|
/lot
|
4,370
|
/lot
|
|
Spread Rate
|
1,640
|
/spread
|
1,320
|
/spread
|
|
|
Futures Contract
|
Margin Rate
|
Initial Margin
(US$) |
Maintenance Margin
(US$) |
||
|
|
|
|
|
||
|
Gold Futures
|
Full Rate
|
6,130
|
/lot
|
4,910
|
/lot
|
|
Spread Rate
|
1,840
|
/spread
|
1,480
|
/spread
|
|
|
Futures Contract
|
Margin Rate
|
Initial Margin
(RMB) |
Maintenance Margin
(RMB) |
||
|
|
|
|
|
||
|
RMB Currency Futures
(USD/CNH Futures#) |
Full Rate
|
7,880
|
/lot
|
6,300
|
/lot
|
|
Spread Rate
|
4,730
|
/spread
|
3,780
|
/spread
|
|
|
Spot Month Charge*
|
1,580
|
/lot
|
1,260
|
/lot
|
|
| * | As mentioned in the circular dated 22 October 2012, the 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
for Three-Month HIBOR Futures
|
Spread Combination
|
Initial Margin
(HK$) |
Maintenance Margin
(HK$) |
|
1st month vs 2nd month
1st month vs 3rd month 2nd month vs 3rd month |
358
per spread |
286
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 |
347
per spread |
278
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 |
331
per spread |
265
per spread |
|
4th month vs 5th month
4th month vs 6th month 5th month vs 6th month |
108
per spread |
87
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 |
108
per spread |
87
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 |
108
per spread |
87
per spread |
Spread Margin Rates
for One-Month HIBOR Futures
for One-Month HIBOR Futures
|
Spread Combination
|
Initial Margin
(HK$) |
Maintenance Margin
(HK$) |
|
1st month vs 2nd month
1st month vs 3rd month |
189
per spread |
151
per spread |
|
1st month vs 4th month
1st month vs 5th month 1st month vs 6th month |
189
per spread |
151
per spread |
|
2nd month vs 3rd month
|
148
per spread |
119
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 |
148
per spread |
119
per spread |
|
4th month vs 5th month
4th month vs 6th month 5th month vs 6th month |
148
per spread |
119
per spread |
