Overview
The yield of 2-year CGB is a key node on the medium-short end of the CGB yield curve. A comprehensive CGB futures product suite is conducive to meeting diverse hedging demands and refining the yield curve. The launch of 2-year CGB futures facilitates the coordinated development of 5-year and 10-year CGB futures, thus better serving the CGB cash market.
Contract Specifications
| 2-year China Government Bond Futures合约表 |
| 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 0.005 |
| Contract Months |
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 |
| Delivery 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 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
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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.
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