5-year CGB Futures

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5-year CGB Futures (TF)

发布日期：2022/1/18 16:05:01 点击次数：4753

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.

Underlying Bond	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