CFFEX Notice〔2023〕 No.21
All member entities,
China Financial Futures Exchange (CFFEX) has officially completed the registration of 30-year China government bond (CGB) futures contracts (the “Contracts”) with the China Securities Regulatory Commission (CSRC) . This Notice is hereby given on relevant matters.
1. Listing Date
The Contracts will be listed for trading on April 21, 2023 (Friday).
2. Contracts to be Listed and Listing Benchmark Prices
The first batch of Contracts to be listed include TL2306, TL2309, and TL2312. CFFEX will publish the listing benchmark price of each contract on the trading day preceding its listing day.
3. Trading Margin and Limit Up/Limit Down
The trading margin for the Contracts shall be 3.5% of the contract value and will be raised to 5% starting from the time of settlement on the second trading day preceding the delivery month. For long and short positions held under the same client number through the same member, either in the same product or across different products of 2-year, 5-year, 10-year and 30-year CGB futures, margin is collected solely from the side for which a larger amount of trading margin is required. The limit up/limit down on the listing day shall be ±7% of the contract’s listing benchmark price.
4. Fees and Charges
Transaction fee shall be RMB 3 per lot, and is currently exempted for closing out intraday positions. Delivery fee shall be RMB 5 per lot, and a 50% reduction shall apply until December 31, 2023. CFFEX has the right to adjust the fees based on market conditions.
5. Maximum Order Size
The maximum size of limit orders in the Contracts shall be 50 lots, and the maximum size of market orders shall be 30 lots.
6. Deliverable CGBs, Conversion Factors and Accrued Interest
CFFEX will announce the deliverable CGBs and their conversion factors for the Contracts prior to their listing. 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.
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.
7. Market Maker Position Limits
A market maker shall be subject to a limit of 6,000 lots on either long or short positions in all 30-year CGB futures contracts. Starting from the last trading day preceding the delivery month of a particular contract, the position limit on either long or short positions held by a market maker in such contract shall be 1,200 lots.
Other matters regarding the listing and trading of the Contracts will be announced separately.
Members are requested to ensure business readiness and control market risks to facilitate the listing and trading of 30-year CGB futures contracts in a stable and safe manner.