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HKEX Announces Plans for Additional RMB Currency Futures

Products
19 Apr 2016

Hong Kong Exchanges and Clearing Limited (HKEX) plans to introduce additional Renminbi (RMB) currency futures in the second quarter of this year, subject to regulatory approval.

New Currency Futures to be Introduced by HKEX

  • Cash-settled Euro-RMB, Japanese yen-RMB and Australian dollar-RMB futures to give market participants more tools for hedging their RMB risk.
  • US dollar-denominated cash-settled RMB-US dollar futures to complement the existing physically-delivered US dollar-RMB futures. The existing futures had record high open interest of 32,009 contracts on 5 February this year, and their average daily volume in the first quarter of the year was 3,128 contracts, more than triple from the same period last year.

"Cash-settled RMB currency futures are part of our plan to expand our product portfolio across asset classes," said Romnesh Lamba, HKEX’s Co-Head of Market Development. "These new products help extend and deepen our value proposition as RMB is used more widely around the world."

"We have been pleased by the big surge in our RMB currency futures volume1," said Li Gang, HKEX's Co-head of Market Development. "Our new futures will give the market more tools for trading and risk management."

A summary of the contract specifications for the new cash-settled RMB currency futures is attached below. For further details, please see the Participant Circular.

Key contract specifications

EUR/CNH Futures

JPY/CNH Futures

AUD/CNH Futures

Currency Pair

Euro (EUR)

Japanese yen (JPY)

Australian dollar (AUD)

Offshore RMB (CNH)

Contract Size

EUR 50,000

JPY 6,000,000

AUD 80,000

Contract Months

Spot month, the next calendar month and the next two calendar quarter months (calendar quarter months are March, June, September and December)

Price Quotation

RMB per EUR
(eg, 7.3370)

RMB per 100 JPY
(eg, 5.9420)

RMB per AUD
(eg, 5.0400)

Minimum Fluctuation

RMB0.0001 (4 decimal places)

Trading Hours

9:00 am to 4:15 pm and 5:00 pm to 11:45 pm (after-hours trading)

Last Trading Day

Two Hong Kong Business Days prior to the third Wednesday of the Contract Month

Final Settlement Day

The first Hong Kong Business Day after the Last Trading Day

Final Settlement Price

A cross rate calculated from WM/Reuters Intraday Spot Rates2 at 11:00 am and TMA3 CNH Fixing published at 11:15 am

Settlement Method

Cash settled in RMB

Commission Levy

Nil

Exchange Fee

RMB5 per contract per side

CNH/USD Futures

Currency Pair

Offshore RMB (CNH), US dollar (USD)

Contract Size

RMB300,000

Contract Months

Spot month, the next three calendar months and the next four calendar quarter months (calendar quarter months are March, June, September and December)

Price Quotation

USD per 10 RMB (eg, 1.5424)

Minimum Fluctuation

USD0.0001 (4 decimal places)

Trading Hours

9:00 am to 4:15 pm and 5:00 pm to 11:45 pm (after-hours trading)

Last Trading Day

Two Hong Kong Business Days prior to the third Wednesday of the Contract Month

Final Settlement Day

The first Hong Kong Business Day after the Last Trading Day

Final Settlement Price

A reciprocal of TMA3 CNH Fixing published at 11:15am, multiplied by 10

Settlement Method

Cash settled in USD

Commission Levy

Nil

Exchange Fee

USD0.6 per contract per side


1 See graph in Appendix for details.
2 The WM/Reuters Intraday Spot Rates are provided by the World Markets Company plc, or WM, in conjunction with Reuters.
3 Treasury Markets Association

Appendix

RMB Currency Futures USD/CNH Futures Statistics (Sep 2012-Mar 2016)

160419news

Source: HKEX


Ends

Updated 19 Apr 2016

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