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MOF T-Bond Futures

China is the fastest growing bond market in the world and is the third largest after the United States and Japan. International participation in China’s bond market continues to increase, driven by the further opening up of China interbank bond market, broadening international acceptance of the RMB, inclusions in the emerging markets bond indices and yield differential compared to developed markets.

HKEX’s 5-Year China Ministry of Finance Treasury Bond (MOF T-Bond) Futures contract is the world’s first onshore interest rates product accessible to offshore players. It is an efficient, transparent and easy-to-access tool to manage against China interest rate risk exposure.

To subscribe to our mailing list, or to enquire about the product, please contact FICD@hkex.com.hk.


Updated 23 Oct 2017


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Advantages

  • First Chinese government bond futures on an off shore exchange
  • Tool to manage RMB interest rate risk
  • Transparency of exchange trading
  • Cost benefits of central clearing

 

Contract Summary

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



List of Market Makers or Liquidity Providers

Lists of Market Makers or Liquidity Providers in Futures Exchange Products

Interest Rate and Fixed Income Products

 
Providing Continuous Quotes
  Market Makers / Liquidity Providers
  HKB VDC
Three Month HIBOR Futures  *  *
 One Month HIBOR Futures  *  * 

 

* refers to a Futures Exchange Participant acting as a Market Maker or Liquidity Provider in Futures Exchange Products or a Stock Options Exchange Participant acting as a Market Maker for Stock Options

Updated 21 Nov 2017

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