Mondo Visione Worldwide Financial Markets Intelligence

FTSE Mondo Visione Exchanges Index:

HKFE Announces Revised Margins For Futures Contracts

Date 29/06/2011

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, 4 July 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

68,250

/lot

54,600

/lot

Spread Rate

7,500

/spread

6,000

/spread

 

 

 

 

 

 

Mini-Hang Seng Index

Full Rate

13,650

/lot

10,920

/lot

Spread Rate

1,500

/spread

1,200

/spread

 

 

 

 

 

 

H-shares Index 

Full Rate

37,950

/lot

30,350

/lot

Spread Rate

11,400

/spread

9,150

/spread

 

 

 

 

 

 

Mini H-shares Index 

Full Rate

7,590

/lot

6,070

/lot

Spread Rate

2,280

/spread

1,830

/spread

 

 

 

 

 

 

HSCEI Dividend Point Index 

Full Rate

1,640

/lot

1,310

/lot

Spread Rate

1,970

/spread

1,580

/spread

 

 

 

 

 

 

HSI Dividend Point Index 

Full Rate 

3,690

/lot 

2,950

/lot 

Spread Rate 

4,430

/spread 

3,540

/spread 

 

 

 

 

 

 

Three-Year EFN

Full Rate

10,740

/lot

8,600

/lot

Spread Rate

3,230

/spread

2,580

/spread

 

 

 

 

 

 

One-Month HIBOR

Full Rate

1,050 

/lot

838

/lot

Spread Rate

Please refer to attached table

 

 

 

 

 

 

Three-Month HIBOR

Full Rate

822

/lot

658

/lot

Spread Rate

Please refer to attached table

 

 

 

 

 

 

Aluminum Corporation of China Ltd

Full Rate

1,140

/lot

905

/lot

Spread Rate

342

/spread

272

/spread

 

 

 

 

 

 

Bank of China Limited

Full Rate

235

/lot

188

/lot

Spread Rate

71

/spread

57

/spread

 

 

 

 

 

 

Bank of Communications Co Ltd

Full Rate

446

/lot

357

/lot

Spread Rate

134

/spread

108

/spread

 

 

 

 

 

 

The Bank of East Asia Ltd

Full Rate

400

/lot

320

/lot

Spread Rate

120

/spread

96

/spread

 

 

 

 

 

 

BOC Hong Kong (Holdings) Ltd

Full Rate

705

/lot

564

/lot

Spread Rate

212

/spread

170

/spread

 

 

 

 

 

 

China Construction Bank Corporation

Full Rate

400

/lot

320

/lot

Spread Rate

120

/spread

96

/spread

 

 

 

 

 

 

China Communications Construction Co Ltd

Full Rate

499

/lot

399

/lot

Spread Rate

150

/spread

120

/spread

 

 

 

 

 

 

China Mobile Ltd

Full Rate

2,190

/lot

1,750

/lot

Spread Rate

657

/spread

525

/spread

 

 

 

 

 

 

China Unicom (Hong Kong) Ltd

Full Rate

3,520

/lot

2,820

/lot

Spread Rate

1,060

/spread

846

/spread

 

 

 

 

 

 

CITIC Pacific Ltd 

Full Rate

2,080

/lot

1,660

/lot

Spread Rate

624

/spread

498

/spread

 

 

 

 

 

 

Cheung Kong (Holdings) Ltd

Full Rate

7,610

/lot

6,090

/lot

Spread Rate

2,290

/spread

1,830

/spread

 

 

 

 

 

 

China Life Insurance Company Ltd

Full Rate

1,910

/lot

1,530

/lot

Spread Rate

573

/spread

459

/spread

 

 

 

 

 

 

CLP Holdings Ltd

Full Rate

2,070

/lot

1,660

/lot

Spread Rate

621

/spread

498

/spread

 

 

 

 

 

 

China Merchants Bank Co Ltd

Full Rate

673

/lot

538

/lot

Spread Rate

202

/spread

162

/spread

 

 

 

 

 

 

CNOOC Ltd

Full Rate

1,220

/lot

975

/lot

Spread Rate

366

/spread

293

/spread

 

 

 

 

 

 

Cathay Pacific Airways Ltd

Full Rate

1,110

/lot

882

/lot

Spread Rate

333

/spread

265

/spread

 

 

 

 

 

 

China Petroleum & Chemical Corporation

Full Rate

916

/lot

733

/lot

Spread Rate

275

/spread

220

/spread

 

 

 

 

 

 

China Telecom Corporation Ltd

Full Rate

628

/lot

503

/lot

Spread Rate

189

/spread

151

/spread

 

 

 

 

 

 

Esprit Holdings Ltd

Full Rate

277

/lot

222

/lot

Spread Rate

84

/spread

67

/spread

 

 

 

 

 

 

Foxconn International Holdings Ltd

Full Rate

479

/lot

383

/lot

Spread Rate

144

/spread

115

/spread

 

 

 

 

 

 

Power Assets Holdings Ltd

Full Rate

1,790

/lot

1,430

/lot

Spread Rate

537

/spread

429

/spread

 

 

 

 

 

 

Hong Kong Exchanges and Clearing Ltd

Full Rate

1,010

/lot

807

/lot

Spread Rate

303

/spread

243

/spread

 

 

 

 

 

 

HSBC Holdings Plc

Full Rate

1,920

/lot

1,540

/lot

Spread Rate

576

/spread

462

/spread

 

 

 

 

 

 

Hong Kong and China Gas Co Ltd
(HKG: Multiplier = 1,000)

Full Rate

1,091

/lot

866

/lot

Spread Rate

327

/spread

260

/spread

 

 

 

 

 

 

Hong Kong and China Gas Co Ltd
(HKA: Multiplier = 1,100)

Full Rate

1,200

/lot

953

/lot

Spread Rate

360

/spread

286

/spread

 

 

 

 

 

 

Henderson Land Development Co Ltd

Full Rate

3,690

/lot

2,960

/lot

Spread Rate

1,110

/spread

888

/spread

 

 

 

 

 

 

Huaneng Power International Inc

Full Rate

509

/lot

407

/lot

Spread Rate

153

/spread

123

/spread

 

 

 

 

 

 

Hang Seng Bank Ltd

Full Rate

755

/lot

604

/lot

Spread Rate

227

/spread

182

/spread

 

 

 

 

 

 

Hutchison Whampoa Ltd

Full Rate

5,100

/lot

4,080

/lot

Spread Rate

1,530

/spread

1,230

/spread

 

 

 

 

 

 

Industrial and Commercial Bank of China Ltd

Full Rate

374

/lot

300

/lot

Spread Rate

113

/spread

90

/spread

 

 

 

 

 

 

Li & Fung Ltd
(LIF: Multiplier = 2,000)

Full Rate

4,280

/lot

3,430

/lot

Spread Rate

1,290

/spread

1,030

/spread

 

 

 

 

 

 

Li & Fung Ltd
(LIA: Multiplier = 4,000 )

Full Rate

8,560

/lot

6,860

/lot

Spread Rate

2,580

/spread

2,060

/spread

 

 

 

 

 

 

MTR Corporation Ltd

Full Rate

840

/lot

672

/lot

Spread Rate

252

/spread

202

/spread

 

 

 

 

 

 

New World Development Co Ltd

Full Rate

842

/lot

674

/lot

Spread Rate

253

/spread

203

/spread

 

 

 

 

 

 

Ping An Insurance (Group) Co of China Ltd

Full Rate

2,520

/lot

2,010

/lot

Spread Rate

756

/spread

603

/spread

 

 

 

 

 

 

PetroChina Company Ltd

Full Rate

1,500

/lot

1,200

/lot

Spread Rate

450

/spread

360

/spread

 

 

 

 

 

 

PICC Property and Casualty Co Ltd

Full Rate

2,300

/lot

1,840

/lot

Spread Rate

690

/spread

552

/spread

 

 

 

 

 

 

Sun Hung Kai Properties Ltd

Full Rate

6,770

/lot

5,410

/lot

Spread Rate

2,040

/spread

1,630

/spread

 

 

 

 

 

 

Swire Pacific Ltd “A”

Full Rate

3,400

/lot

2,720

/lot

Spread Rate

1,020

/spread

816

/spread

 

 

 

 

 

 

Wharf (Holdings) Ltd
(WHL: Multiplier = 1,000)

Full Rate

3,610

/lot

2,890

/lot

Spread Rate

1,090

/spread

867

/spread

 

 

 

 

 

 

Wharf (Holdings) Ltd
(WHA: Multiplier = 1,031)

Full Rate

3,723

/lot

2,980

/lot

Spread Rate

1,124

/spread

894

/spread

 

 

 

 

Futures Contract

Margin Rate

Initial Margin
(US$)

Maintenance Margin
(US$)

 

 

 

 

Gold Futures

Full Rate

5,810

/lot

4,650

/lot

Spread Rate

1,750

/spread

1,400

/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 6th month
1st month vs 7th month
1st month vs 8th month
1st month vs 9th month
1st month vs 10th month
2nd month vs 6th month
2nd month vs 7th month
2nd month vs 8th month
2nd month vs 9th month
2nd month vs 10th month
 

 

 

1,640 
per spread

 

 

1,310
per spread

 
3rd month vs 6th month 
3rd month vs 7th month
3rd month vs 8th month
3rd month vs 9th month
3rd month vs 10th month 
4th month vs 6th month
4th month vs 7th month
4th month vs 8th month
4th month vs 9th month
4th month vs 10th month
5th month vs 6th month 
5th month vs 7th month
5th month vs 8th month
5th month vs 9th month
5th month vs 10th month
 

 

 



1,640
per spread

 

 

 

1,310
p
er spread


6th month vs 7th month
6th month vs 8th month
6th month vs 9th month
6th month vs 10th month
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

 

 



1,280 
per spread

 



1,020
per spread


1st month vs 3rd month
1st month vs 4th month
1st month vs 5th month
2nd month vs 3rd month
2nd month vs 4th month
2nd month vs 5th month

 

1,190 
per spread

 

949
per spread

 
3rd month vs 4th month
3rd month vs 5th month
4th month vs 5th month


972
per spread


778
per spread


1st month vs 2nd month


543
per spread


434
per spread

 

 

 

 

Spread Margin Rates
for One-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


897
per spread


718
per spread


 1st month vs 2nd month
1st month vs 3rd month


849
per spread


679
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
 

 

552
per spread

 

442
per spread


2nd month vs 3rd month


482
per spread


386
per spread


4th month vs 5th month
4th month vs 6th month
5th month vs 6th month


315
per spread


252
per spread