Calculation Formulae
The formulae for calculating conversion factors
and accrued interest of the deliverable CGBs of CGB futures are as follows:
1. Conversion Factor
The conversion factors shall be calculated as follows:
- where:
- r = nominal coupon rate of 3%;
- x = the number of months from contract delivery month to the month of next coupon payment of the deliverable CGBs;
- n = the remaining number of coupon payments until maturity of the deliverable CGBs;
- c = the actual coupon rate of the deliverable CGBs; and
- f = the number of coupon payments per year of the deliverable CGBs.
The result shall be rounded to 4 decimal places.
2. Accrued Interest
The accrued interest is calculated on the actual/actual basis. Therefore, accrued interest
for deliverable CGBs with RMB 100 face value is calculated as follows:
The result shall be rounded to 7 decimal places.
Contract Information
12 OCT 2020
| Contract Code |
Listing Date |
Last Trading Day |
Listing Benchmark Price |
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Note: Any changes in the table will be updated after daily settlement.
Clearing Parameters
12 OCT 2020
| Contract |
Margin (Long)/% |
Margin (Short) /% |
Transaction Fee/ RMB per lot |
Delivery Fee/ RMB per lot |
Closing Intraday Positions Rate /% |
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|
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|
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Note: Any changes in the table will be updated after daily settlement.
