Contract Summary 
24/03/2017 
 

 MOF T-bond Futures Contract

Item

Contract terms

HKATS Code

HTF
Underlying Onshore 5-year China Ministry of Finance Treasury Bonds with 3% coupon rate and annual coupon payment
Contract Size RMB 500,000
Contract Months The two nearest quarter months (where quarter months are March, June, September and December) 
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 RMB 10

Trading Hours

(Hong Kong time)

9:00 a.m. - 12:00 noon (morning trading session) and
1:00 p.m. - 4:30 p.m. (afternoon trading session)

There is no afternoon trading session on the eves of Christmas, New Year and Lunar New Year. The trading hours on those three days shall be 9:00
a.m. – 12:00 noon

Position Limits

20,000 net contracts in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and

20,000 net contracts in all Contract Months combined per Client

Large Open Positions

1,000 open contracts in any one Contract Month, per Exchange Participant for the Exchange Participant’s own behalf; and

1,000 open contracts in any one Contract Month per Client

Settlement Method Cash settled contract for difference
Settlement Currency RMB
Final Settlement Day The second Hong Kong Business Day after the Last Trading Day
Last Trading Day

The second Friday of the Contract Month

If it falls on a Hong Kong or Mainland China public holiday, the Last Trading Day will be the preceding Hong Kong Business Day which is also a business day in Mainland China

Final Settlement Price

The Final Settlement Price for 5-Year MOF T-Bond Futures contracts shall be a number, rounded up to the nearest 3 decimal places if the figure in the fourth decimal place is 5 or above and rounded down to the nearest 3 decimal places if it is below 5, determined by the Clearing House and shall be the onshore 5-Year China MOF T-Bond basket reference price provided by China Central Depository & Clearing Co., Ltd. at approximately 6:00 p.m. on the Last Trading Day

Exchange Fee
(per contract per side)
RMB 5.00
Commission Levy  RMB 0.50^, subject to the initial six-month exemption, i.e. from 10 April 2017 to 9 October 2017, pursuant to the Securities and Futures (Levy) Order

^The RMB equivalent of HK$0.54 per contract at the exchange rate determined by the HKFE from time to time