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CES China 120 Index Futures

Overview

The CES China 120 Index, or CES 120, is the first index in the Cross Border Index Series introduced by China Exchanges Services Company Limited. The index covers a wide spectrum of China exposure by combining stocks listed in Hong Kong, Shanghai and Shenzhen in a single index. With broad coverage to capture the investment opportunities created by exposure to a comprehensive China investment universe, the CES 120 is an ideal benchmark and basis for futures, ETFs and other products.

The latest list of constituent stocks and compilation methodology are available on the website of  China Exchanges Services Company Limited  at  http://www.cesc.com

Only futures contract with comprehensive China stock exposure

The CES China 120 index futures contract is the only futures contract based on an underlying index that tracks both China’s A-shares and China stocks listed in Hong Kong. It is designed to provide investors with a convenient and cost efficient tool to simultaneously gain exposure to the China and Hong Kong stock markets. It also can serve as an effective risk management tool for institutions to hedge their China stock positions and as the primary tool by Exchange Traded Fund (ETF) market makers seeking to hedge their positions in China-related ETFs.

High correlation with onshore CSI 300 futures as well as FTSE China A50 futures and China A-share ETFs listed offshore

Market makers, Commodity Trading Advisors, relative value managers and other market participants can actively manage multiple arbitrage opportunities between A-share baskets, ETFs, futures listed in Mainland China and offshore and other instruments.

HKD denominated

CES 120 futures are traded in Hong Kong dollars (HKD) for easy access by a broad spectrum of retail and institutional investors globally.

Liquidity Provider programme

Liquidity Providers will provide continuous two way prices to facilitate trading and price discovery.

 


Updated 12 Aug 2020


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Contract Summary

CES China 120 Index Futures 

Item Contract Terms
Underlying Index CES China 120 Index  (CES 120)
HKATS Code CHH
Contract Multiplier HK$50 per index point
Minimum Fluctuation 0.5 index point
Contract Months Spot month, the next calendar month and the next two calendar quarter months
Trading Hours 9:15 a.m. - 12:00 noon & 1:00 p.m. - 4:30 p.m.
 (Expiring contract month closes at 3:00 p.m. on the Last Trading Day)
Last Trading Day Business Day immediately preceding the last Business Day of the Contract Month

If it falls on a Mainland China public holiday, the Last Trading Day will be the previous Hong Kong and Mainland China Business Day.
Final Settlement Price The average of the values of the CES China 120 Index compiled, computed and disseminated by China Exchanges Services Company Limited, rounded up to the nearest 1 decimal place, taken at five (5) minute intervals from 1:00 p.m. up to 3:00 p.m. on the Last Trading Day.
Minimum Volume Threshold for Block Trading 100 contracts
Position Limit 30,000 contracts
Transaction Costs Exchange Fee        HK$10.00
Commission Levy   HK$0.54
Commission Rate   Negotiable


Margin Table

Trading Fees and Commission

Exchange Fee
HK$10.00^ per contract per side
Commission Levy
HK$0.54 per contract per side
Investor Compensation Levy*
HK$0.00 per contract per side
Total
HK$10.54 per contract per side
Commission
Negotiable
* The amount indicated above is subject to change from time to time.
^ Exchange fee will be discounted to HK$5.00 till 31 December 2017

List of Market Makers or Liquidity Providers

Equity Index Products

There are liquidity provider and 3 types of market makers in the equity index products market:

- Primary Market Maker (PMM); and

- Market maker providing continuous quotes (CQMM); and

- Market maker responding to quote request (QRMM). 

For the details of the obligations and incentives of liquidity providers and market makers, please refer webpage.

Below is the list of Short Code for EP of Liquidity Provider, PMM, CQMM and QRMM:

 
Market Makers / Liquidity Providers
 AKN BNP CFT  CHI CTC  CTD FLW  GHF  IBG IMC ISS KGI  LQC MAK  MPF MVN  NHT OPT PHL  SGS SQH  YKR YNT 
Hang Seng Index Options *     P P     *   P#  P P #  P P #     
Weekly Hang Seng Index Options *                 #           * #          
Mini-Hang Seng Index Options         *     *   *   * *     *  
Hang Seng China Enterprises Index Options   P *     P P     *     * P#  P #  P #  P P #    * P  
Weekly Hang Seng China Enterprises Index Options  *                 #           * #          
Mini-Hang Seng China Enterprises Index Options          *       *         * # *     *  
HSI Dividend Point Index Futures   *                                          
HSCEI Dividend Point Index Futures   *                                            
Hang Seng TECH Index Futures             LP                LP   LP          
Hang Seng TECH Index Options                   LP  LP         LP   LP  LP     LP  
HSI Volatility Index Futures                                 LP            
CES China 120 Index Futures            LD                              
MSCI AC Asia ex Japan Net Total Return Index (USD)              LB                                
MSCI Australia Net Total Return (USD) Index Futures             LD               LN                
MSCI China Free (USD) Index Futures             LD   LD       LD      LN       LD  LD      
MSCI China Free (USD) Index Options                   LD           LD LD           
MSCI China Free  Net Total Return (USD) Index Futures     LD        LD  LD             LN                 
MSCI EM Asia ex China Net Total Return (USD) Index Futures                                              
MSCI EM Asia ex Korea Net Total Return (USD) Index Futures                                              
MSCI EM EMEA  Net Total Return (USD) Index Futures                                              
MSCI EM ex China Net Total Return (USD) Index Futures                                              
MSCI EM ex Korea Net Total Return (USD) Index Futures                                              
MSCI EM LatAm Net Total Return (USD) Index Futures                                              
MSCI EM Asia  Net Total Return (USD) Index Futures             LD LD             LN         LD      
MSCI Emerging Markets (USD) Index Futures             LD                                 
MSCI Emerging Markets Net Total Return (USD) Index Futures              LD              LN                
MSCI Hong Kong Net Total Return (USD) Index Futures              LD                                 
MSCI India (USD) Index Futures             LD               LN                 
MSCI India Net Total Return (USD) Index Futures       LD       LD LD             LN                
MSCI Indonesia (USD) Index Futures             LD               LN                
MSCI Indonesia Net Total Return (USD) Index Futures             LD               LN                
MSCI Japan (JPY) Index Futures             LD                                 
MSCI Japan Net Total Return (JPY) Index Futures             LD                                
MSCI Japan Net Total Return (USD) Index Futures             LD               LN                 
MSCI Malaysia (USD) Index Futures              LD                                 
MSCI Malaysia Net Total Return (USD) Index Futures              LD                              
MSCI New Zealand Net Total Return (USD) Index Futures                                              
MSCI Pacific ex Japan Net Total Return (USD) Index Futures                                              
MSCI Pacific Net Total Return (USD) Index Futures                                              
MSCI Philippines (USD) Index Futures             LD                                
MSCI Philippines Net Total Return (USD) Index Futures             LD                                
MSCI Singapore Free (SGD) Index Futures             LD          LD     LN          LD       
MSCI Singapore Free Net Total Return (USD) Index Futures                                          
MSCI Singapore Net Total Return (USD) Index Futures             LD               LN                 
MSCI Taiwan (USD) Index Futures     LD      LD LB        LD      LN       LD  LB     LD
MSCI Taiwan (USD) Index Options                                 LD             
MSCI Taiwan (USD) Index Futures Calendar Spread               LD                 LD    LD         
MSCI Taiwan 25/50 (USD) Index Futures     LD        LD  LD              LN       LD        
MSCI Taiwan 25/50 (USD) Index Futures Calendar Spread     LD         LD                     LD        
MSCI Taiwan 25/50 Net Total Return (USD) Index Futures             LD                 LN                
MSCI Taiwan Net Total Return (USD) Index Futures             LD             LN                
MSCI Thailand (USD) Index Futures               LD                                
MSCI Thailand Net Total Return (USD) Index Futures             LD                                
MSCI Vietnam (USD) Index Futures              LD                                
MSCI Vietnam Net Total Return (USD) Index Futures              LD                                

LD - Denotes Liquidity Provider (T Sessions)
LN - Denotes Liquidity Provider (T+1 Sessions)
LB - Denotes Liquidity Provider (T and T+1 Sessions)
P - Denotes PMM
* - Denotes CQMM (T Session)
# - Denotes CQMM (T and T+1 Sessions)
√ - Denotes QRMM (T Session)
@ - Denotes QRMM (T and T+1 Sessions)

Market Maker Obligations and Incentives

For details of the Market Making/Liquidity Providing Obligations and Incentives of Equity Index Products, please refer our webpage below:

https://www.hkex.com.hk/Products/Listed-Derivatives/Market-Maker-Program/Market-Maker-Obligations-and-Incentives?sc_lang=en