Overview

The launch of the 5-year CGB futures fills the void of exchange-traded interest rate derivatives in China. It is both an important risk management tool and a pricing benchmark for medium-short-term interest rates, completing a bond market system comprising issuance, trading and risk management. By increasing the liquidity of the underlying bond market, 5-year CGB futures facilitates the development of the bond market and its function of supporting the real economy.



Contract Specifications
Underlying Nominal medium-term CGBs with face value of RMB 1 million and nominal coupon rate of 3%
Deliverable CGBs Book-entry, fixed-coupon CGBs with an original term to maturity of no more than 7 years and a residual maturity of 4-5.25 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 ±1.2% of the settlement price on the preceding trading day
Minimum Trading Margin 1% 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 TF
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 5-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
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
Product Contract Open High Low Last Price Change Bid Price Bid Qty Ask Price Ask Qty Volume OI
Product Contract Open High Low Last Price Change Bid Price Bid Qty Ask Price Ask Qty Volume OI Chart