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 formula for calculating conversion factors is as follows:
- where:
- r: is 3%, the nominal coupon rate of the 2-year CGB Futures contracts;
- x: is the number of months from the delivery month to the next interest payment month;
- n: is the remaining times of interest payment;
- C: is the coupon rate of the deliverable CGBs; and
- f: is the times of interest payment of the deliverable CGB each year.
The results should be rounded to 4 decimal places.
2. Accrued Interest
The day count convention for accrued interest is actual / actual. The formula for
calculating the accrued interest for every RMB 100 deliverable CGBs is as follows:
The results should be rounded to 7 decimal places.
Contract Information
12 OCT 2020
| Contract Code |
Listing Date |
Last Trading Day |
Listing Benchmark Price |
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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 /% |
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Note: Any changes in the table will be updated after daily settlement.
