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5-year Treasury Bond Futures

Relevant Issues on Deliverable Bonds of 5-year Treasury Bond Futures

In accordance with relevant provisions in the "CFFEX Detailed Rules on Delivery of 5-year Treasury Bond Futures Contracts", China Financial Futures Exchange (CFFEX) hereby makes the following explanations on issues concerning the scope of the deliverable bonds of the 5-year treasury bond futures.

1. If a treasury bond is issued after listing of the contract and meets the conditions of deliverable bonds, an announcement that it will be included in the scope of deliverable bonds will be made by CFFEX on or before its listing day.

2. If a 5-year treasury bond is issued in the delivery month of the contract and is listed for trading on or before the last trading day of the contract, it will be included in the scope of deliverable bonds of the contract. The 7-year treasury bond issued in the delivery month of the contract will be excluded in the scope of deliverable bonds of the contract, as the period from its maturity date to the first day of the delivery month exceeds 7 years.

3. In line with relevant regulations on transfer of custody of treasury bonds announced by the Ministry of Finance and the custodians, a treasury bond with custody transfer suspended in the delivery period of the contract due to interest payment will be excluded in the scope of deliverable bonds of the contract, in order to ensure smooth delivery of the treasury bond futures. 

 

Formulas for Calculating Conversion Factors, Accrued Interest of 5-year Treasury Bond Futures

The 5-year treasury bond futures will be listed for trading on September 6, 2013. CFFEX hereby announces the following formulas for calculating conversion factors and accrued interest of the deliverable bonds of the treasury bond futures.

1. Conversion Factor

The formula for calculating conversion factors is as follows:

In the formula,

“r” stands for the coupon rate of 3% of the 5-year treasury bond futures contracts;

“x” stands for the number of months from the delivery month to the next interest payment month;

"n" stands for the remaining times of interest payment;

"c" stands for the coupon rate of the deliverable treasury bonds;

"f" stands for the times of interest payment of the deliverable treasury bonds each year.

The results should be rounded to four decimal places.

2. Accrued Interest

The day count convention for accrued interest is actual / actual. The formula for calculating the accrued interest for every RMB100 deliverable treasury bonds is as follows:

The results should be rounded to seven decimal places.

Underlying Bond Nominal medium-term treasury bond with face value of RMB1milion and coupon rate of 3%
Deliverable Bond Treasury coupon bond with the remaining term of 4.5-5.25 years after the first day of the expiry month
Quotation RMB100 net price
Tick Size RMB0.005
Contract Months Three recent quaterly months(a cycle of three recent quarterly months among March, June, September and December)
Trading Hours 09:15 am - 11:30 am, 01:00 pm - 03:15 pm
Trading Hours on Last Trading Day 09:15 am - 11:30 am
Limit Up/Down +/-1.2% of the settlement price on the previous trading day
Minimum Margin Requirement 1% of the contract value
Last Trading Day The second Friday of the expiry month of contract
Last Delivery Day The third trading day after the last trading day
Delivery Method Physical delivery
Transaction Code TF
Exchange China Financial Futures Exchange

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