HONG KONG EXCHANGES AND CLEARING LIMITED HKEX to Introduce 5-year China Ministry of Finance Treasury Bond Futures
| Offshore markets' first futures on domestic Chinese government bonds | |
| HKEX's first Mainland-related interest rate derivatives | |
| Important addition to risk management tools offered by HKEX |
Hong Kong Exchanges and Clearing Limited (HKEX) will introduce 5-year China Ministry of Finance Treasury Bond (MOF T-Bond) Futures on Monday, 10 April 2017.
HKEX's MOF T-Bond Futures will be the offshore markets' first futures on domestic Chinese government bonds.
HKEX is introducing the new futures to meet international investors' growing demand for tools to manage RMB interest rate risk in anticipation of the further development and opening of the Mainland's bond market.
MOF T-Bond Futures will be traded in Renminbi (RMB), with prices determined by the Mainland's China Central Depository and Clearing Co Ltd, or ChinaBond, according to methodology and procedures from HKEX. Price determination details are in the Appendix along with the contract specifications. The table below has key features of MOF T-Bond Futures.
HKEX has invited Futures Exchange Participants (FEPs) to apply to serve as liquidity providers for MOF T-Bond Futures, and it is planning a joint promotion programme with FEPs, which will include sponsorship of marketing activities and support for product promotion.
Key Features ofMOF T-Bond Futuresto be Introduced on 10 April 2017
HKATS Code | HTF |
Underlying Bond |
Onshore 5-year China Ministry of Finance Treasury Bondswith 3% coupon rate and annual coupon payment |
Contract Size |
RMB500,000 |
Contract Months |
The two nearest quarter months (quarter months are Mar, Jun, Sep and Dec) |
Price Quotation |
As a percentage of the Contract Size, quoted to 3 decimal places |
Minimum Fluctuation |
0.002 percent of the Contract Size, which is equivalent to RMB10 |
Trading Hours |
9:00 am - 12:00 noon (morning trading session) and 1:00 pm - 4:30 pm (afternoon trading session) |
Settlement Method |
Cash settled contract for difference |
Settlement Currency |
RMB |
Last Trading Day |
The Second Friday of the Contract Month |
Final Settlement Price | Onshore 5-year China MOF T-Bond basket reference price provided by China Central Depository & Clearing Co Ltd at approximately 6:00 pm on the Last Trading Day |
Appendix
Bond Basket and Pricing Determination
China Central Depository & Clearing Co, Ltd (ChinaBond) shall, in accordance with the procedures and methodologies provided by the Futures Exchange*, determine the bond universe, bond basket and calculate the Daily Reference Price of each bond basket for each futures contract.
The date of basket determination is defined as five working days before the listing date of the futures contract. Bonds in the bond universe shall fulfil the following conditions:
| Issued by the China Ministry of Finance; | |
| RMB denominated; | |
| Tradable in China interbank bond market; | |
| With fixed coupon rates annually; and | |
| With the remaining term to maturity of no less than four years (including the 4th year) and no more than seven years (excluding the 7th year) as of the Last Trading Day of the futures contract. |
ChinaBond selects bonds from the bond universe to construct the bond basket. The bonds selected as the bond basket constituents must be in the three most liquid issues based on ChinaBond's Relative Liquidity Measure (as defined in the methodology) as of the date of basket construction. ChinaBond will calculate and send the Daily Reference Price of the bond basket and MOF T-Bond Futures to the Futures Exchange on each working day from the listing day till the Last Trading Day. Please refer to HKEX's websitefor further details of the bond basket and reference price calculation methodology.
* Hong Kong Futures Exchange Limited, a wholly-owned subsidiary of HKEX.
Details of the contract specifications are in a circular on the HKEX website.
Ends
HKEx - Hong Kong Exchanges and Clearing Ltd. published this content on 24 March 2017 and is solely responsible for the information contained herein.
Distributed by Public, unedited and unaltered, on 24 March 2017 10:56:11 UTC.
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