Contract Specifications
Underlying Nominal medium-short-term CGBs with face value of RMB 2 million and nominal coupon rate of 3%
Deliverable CGBs Book-entry, fixed-coupon CGBs with an original term to maturity of no more than 5 years and a residual maturity of 1.5-2.25 years upon the first day of the contract’s expiry month
Price Quotation RMB 100 net price
Tick Size RMB 0.002
Contract Months The three nearest quarterly months of the March, June, September, and December cycle
Trading Hours 09:30 a.m. - 11:30 a.m., 01:00 p.m. - 03:15 p.m.
Trading Hours on the Last Trading Day 09:30 a.m. - 11:30 a.m.
Limit Up/Limit Down ±0.5% of the settlement price on the preceding trading day
Minimum Trading Margin 0.5% of the contract value
Last Trading Day Second Friday of the contract’s expiry month
Last Delivery Day Third trading day after the last trading day
Settlement Method Physical delivery
Product Code TS
Exchange China Financial Futures Exchange
Calculation Formulae
The formulae for calculating conversion factors and accrued interest of the deliverable CGBs of CGB futures are as follows:
1. Conversion Factor
The conversion factors shall be calculated as follows:
  • where:
  • r = nominal coupon rate of 3%;
  • x = the number of months from contract delivery month to the month of next coupon payment of the deliverable CGBs;
  • n = the remaining number of coupon payments until maturity of the deliverable CGBs;
  • c = the actual coupon rate of the deliverable CGBs; and
  • f = the number of coupon payments per year of the deliverable CGBs.
The result shall be rounded to 4 decimal places.
2. Accrued Interest
The accrued interest is calculated on the actual/actual basis. Therefore, accrued interest for deliverable CGBs with RMB 100 face value is calculated as follows:
The result shall be rounded to 7 decimal places.
Contract Information
12 OCT 2020
Contract Code Listing Date Last Trading Day Listing Benchmark Price
Note: Any changes in the table will be updated after daily settlement.
Clearing Parameters
12 OCT 2020
Contract Margin (Long)/% Margin (Short) /% Transaction Fee/ RMB per lot Delivery Fee/ RMB per lot Closing Intraday Positions Rate /%
Note: Any changes in the table will be updated after daily settlement.
Delayed Quotes
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Product Contract Open High Low Last Price Change Bid Price Bid Qty Ask Price Ask Qty Volume OI Chart