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30-year CGB Futures

发布日期：2024/9/12 13:35:23 点击次数：117

The listing of 30-year Treasury bond futures can fill the gap in ultra-long duration interest rate risk management tools. It helps with the pricing of long-term Treasury bonds by leveraging the price discovery mechanism of the futures market and enriches the trading strategy options for institutions.

Underlying Bond	Nominal ultra long-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 30 years and a residual maturity of no less than 25 years upon the first day of the contract’s expiry month
Price Quotation	RMB 100 net price
Tick Size	RMB 0.01
Contract Months	The 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	±3.5% of the settlement price on the preceding trading day
Minimum Trading Margin	3.5% 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	TL
Exchange	China Financial Futures Exchange