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All Interest Rate Products

Introduction

HKEX’s China Government Bond (“CGB”) Futures contract introduces an offshore interest rate risk management tool in the Renminbi (RMB) fixed income space based on a benchmark of onshore Chinese Government Bonds. Being the only China Government Bond futures contract in the offshore market, it aims to address the growing interest rate risk management and trading demand from offshore investors. The introduction of 5-Year CGB Futures is a major step of promoting Hong Kong as an offshore RMB hub and risk management center.


Key features

  • The only China Government Bond Futures in the offshore market
  • A tool to manage RMB interest rate risk
  • An instrument to gain RMB denominated bond exposure
  • Traded and settled in RMB
  • Cash settled contract priced via a basket of China Government Bonds
  • Tradable on Hong Kong public holidays (except for New Year's Day)

 

To enquire about the 5-Year China Government Bond product, please contact bondfutures@hkex.com.hk.

 

5-Year China Government Bond Futures may not directly be traded by U.S. persons or persons located in the United States. Certain institutional investors in the United States may trade 5-Year China Government Bond Futures through properly licensed intermediaries. U.S. persons and persons located in the United States should review carefully the Important Disclosures and Disclaimers.

 


Bond Basket Information

Bond Basket Determination

 

Bond Universe (Criteria):
The Bond Universe forms the basis in selecting the composition bonds for the Bond Basket. The bonds in the Bond Universe shall fulfil the following criteria:

1) Publicly issued by the China Ministry of Finance and denominated in RMB;
2) Tradable in the China Interbank Bond Market (“CIBM”);
3) Book-entry treasury bonds with fixed coupon rates (annual coupon payment); and
4) With original term to maturity of no more than 7 years, and remaining term to maturity greater than 4 years and less than 5.25 years as of the Last Trading Day of the futures contract

 

Bond Basket
The Bond Basket is used to price the futures contract, it will be constructed by the two most liquid bonds in the Bond Universe with the highest average daily trading notional in the observation period. The observation period shall exclude the bond’s first CIBM trading day, and be measured by the immediately preceding 10 CIBM trading days from the Bond Basket Confirmation Day. Bonds with an observation period of less than 10 CIBM trading days will not be considered as a Bond Basket constituent. 


Bond Basket Data

Bond Basket Data - Current

 

Source of China Government Bond Evaluated Yield-to-Maturity Data: ChinaBond Pricing Center Co., Ltd.


Margin Table

HKCC – Margin Levels


Liquidity Providers

Liquidity Provider Type

Liquidity Provider Name

Banks

Bank of China (Hong Kong) Limited

Bank of Communications (Hong Kong) Limited

The Hongkong and Shanghai Banking Corporation Limited

Industrial and Commercial Bank of China (Asia) Limited

Standard Chartered Bank

Securities firms

CGS International Holdings Limited

China Merchants Securities (HK) Co., Limited

China Securities (International) Brokerage Company Limited

CICC Financial Products Ltd.
(an indirect wholly-owned subsidiary of China International Capital Corporation (International) Limited)

CITIC Securities International Capital Management Limited

Haitong International Securities Company Limited

Huatai Financial Holdings (Hong Kong) Limited

Orient Finance Holdings (Hong Kong) Limited

 

 


Contract Summary

Contract 5-Year China Government Bond Futures
Underlying Bond Onshore Five-Year China Government Bonds with 3% coupon rate and annual coupon payment
HKATS Code CBF
Contract Size RMB500,000
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 0.005 percent of the Contract Size, which is equivalent to RMB25
Maximum Fluctuation As prescribed by the Exchange from time to time
Contracted Price  The price at which the Five-Year CGB Futures Contract is registered by the Clearing House
Contracted Value Contracted Price multiplied by Contract Size divided by 100 (e.g. (101.000 x RMB500,000) / 100) 
Trading Hours (Hong Kong time)  9:30 a.m. - 4:30 p.m. (day trading session) 
Trading Hours on Last Trading Day (Hong Kong time)
9:30 a.m. - 4:30 p.m. (day trading session) 
Trading Method  The Exchange’s Automated Trading System (HKATS)
Position Limits 22,000 net contracts in all Contract Months combined, per Exchange Participant for the Exchange Participant’s own behalf; and
22,000 net contracts in all Contract Months combined per Client.
Large Open Positions 2,500 open contracts in any one Contract Month, per Exchange Participant for the Exchange Participant’s own behalf; and
2,500 open contracts in any one Contract Month per Client.
Settlement Method Cash settled contract for difference
Settlement Currency RMB
Final Settlement Day The first Trading Day after the Last Trading Day
Last Trading Day (LTD) The second Friday of the Contract Month
If it is not a Trading Day or it falls on a Mainland China public holiday, the Last Trading Day shall be the preceding Trading Day which is also a business day in Mainland China 
Final Settlement Price The Final Settlement Price for Five-Year CGB 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 Five-Year CGB basket reference price provided by ChinaBond Pricing Center Co., Ltd. on the Last Trading Day
Cash Settlement Value Final Settlement Price multiplied by Contract Size divided by 100 (e.g. Final Settlement Price x (RMB500,000) / 100) 
Trading Fee (per contract per side) RMB 5.00
Levies (per contract per side) Commission Levy and Investor Compensation Levy are payable at the rate or of the amount prescribed from time to time pursuant to the Ordinance 
Commission Rate  Negotiable

What Are HKEX CGB Futures – and Why Do They Matter Offshore?

A closer look at how international investors can manage RMB rate risk without ever leaving Hong Kong's market infrastructure. Explore the contract's design and where it fits in the offshore RMB ecosystem.


Read now

Resources

Important Disclosures and Disclaimers

This web site includes information about security futures and options on security futures (referred to collectively herein as “security futures products”) listed on the Hong Kong Futures Exchange Ltd. (“HKFE”) and cleared by HKFE Clearing Corporation Ltd. (“HKCC”, and together with HKFE and their respective affiliates “HKEX”). Neither HKFE nor HKCC is registered, licensed, recognized, or designated with or by the U.S. Commodity Futures Trading Commission (“CFTC”) or U.S. Securities and Exchange Commission (“SEC”) in any capacity, including as a designated contract market, derivatives clearing organization, futures commission merchant, introducing broker, commodity pool operator, commodity trading advisor, national securities exchange, clearing agency, broker-dealer, or investment adviser. Security futures products listed on HKFE and cleared by HKCC may only be traded in the United States or by U.S. persons through a properly licensed intermediary and in compliance with applicable U.S. laws and regulations.

The information contained herein is for general informational and educational purposes only and is provided for the sole purpose of familiarizing Permitted Recipients, as defined below, with security futures products that are or may be traded on or through HKFE and cleared by HKCC. The information contained herein does not constitute an offer, solicitation, invitation, or recommendation to subscribe for or to purchase or sell any securities, options on securities, futures, options on futures, commodity options, OTC derivatives, or other products or to provide any investment, financial, tax, legal, or other advice or service of any kind. The information included herein is solely intended for distribution to and use by professional investors, including certain U.S. institutions and other entities in the United States that meet specified criteria, as described below.

Any product or service described herein (i) has not been registered for offer or sale in the United States, (ii) has not been approved by any U.S. governmental authority, and (iii) is not subject to any U.S. disclosure requirements. Further, this material is not directed at, and is not intended for distribution to or use by, any person in any jurisdiction or country where such distribution or use would be contrary to law or regulation or which would subject HKEX to any registration requirement within such jurisdiction or country.

Although the information contained herein is obtained or compiled from sources believed by HKEX to be reliable, HKEX does not guarantee the accuracy, validity, timeliness, or completeness of the information or data for any particular purpose, and HKEX does not accept any responsibility for, and is not liable for, errors, omissions, or other inaccuracies in the information or for the consequences thereof. The information set out herein is provided on an “as is” and “as available” basis and may be amended or changed. Nothing herein constitutes or is intended as financial, tax, legal, or other advice. Interested parties should consult their financial, tax, legal, and other advisors prior to transacting in any product or service described herein.

HKEX shall not be responsible or liable for any loss or damage, directly or indirectly, arising from the use of or reliance upon any information provided herein.

Nothing of the information included herein should be regarded as creating any obligation on the part of HKEX to the recipient or any other party. Rights and obligations with regard to the products and services described herein shall be determined exclusively by the applicable laws, rules, and regulations of Hong Kong and the rules of HKEX.

The only entities in the United States to which the information herein is intended to be distributed are: (i) entities (including broker-dealers that are registered with the SEC) that are “qualified institutional buyers,” as defined in Rule 144A under the U.S. Securities Act of 1933, as amended (the “U.S. Securities Act”); or (ii) entities that are not “U.S. persons” for purposes of Regulation S under the U.S. Securities Act. In addition to satisfying the foregoing requirements, recipients of the information herein must be “eligible contract participants” as defined under the U.S. Commodity Exchange Act, as amended, and the regulations of the CFTC. Persons who satisfy the foregoing requirements are referred to herein as “Permitted Recipients.”

 

Evaluated Yield-to-Maturity Data provided by ChinaBond Pricing Center Co., Ltd.

The Evaluated Yield-to-Maturity Data of China Government Bonds is calculated, compiled and provided by ChinaBond Pricing Center Co., Ltd.  and the intellectual property rights in such data belong to ChinaBond Pricing Center Co., Ltd.  ChinaBond Pricing Center Co., Ltd. makes no representation or warranty, whether express or implied, regarding the accuracy, completeness or timeliness of the Evaluated Yield-to-Maturity Data of China Government Bonds or related information, or any results that may be obtained by recipients of such data.

 

The information included herein is intended only for Permitted Recipients, and is not to be forwarded or distributed to any other person, and is not to be reproduced in any manner whatsoever. Any forwarding, distribution, or reproduction of the information included herein, in whole or in part, is unauthorized.