China Securities Index 300 (CSI300) Future Contract Information
The much anticipated and long awaited China Securities Index 300 (CSI300) future contract looks to be in its final stages of approval to commence trading on the China Financial Futures Exchange (CFFEX) sometime this spring. The State Council gave an “in principle” endorsement earlier this month to the China Securities Regulatory Commission (CSRC) to allow this index future to list.
What is the CSI 300 Index? It is a capitalization weighted index comprising the 300 largest A-share* companies listed on both the Shanghai Stock Exchange (SSE) and the Shenzhen Stock Exchange (SZSE). The index was jointly launched by the SSE and SZSE December 31, 2004 valued at 1000.
The index, of course, underlies the futures contract and bares a 300 renminbi multiplier to the index. The spread is set at 2.0 ticks valuing the tick size at 600 renminbi. I have heard most recently margin will be set at 12% of the contract value so at today’s close of 3408 margin will be (3408 x 300)*0.12 ~ 122,000 renminbi. The cash settled contract will commence trading 15 minutes before the regular session baring in mind there are 2 trading sessions per day so 09:15 – 11:30 and 13:15 – 15:15 (15:00 on the last trading day) Monday to Friday. Contract months are spot, back and then the next two months in the March, June, September, December cycle. The contract will expire on the third Friday of the contract month. There will initially be no options or exchange traded spreads but are expected to be forthcoming as the contract gains wider acceptance. The future will also be subject to a +/- 10% price band based on the previous close. I don’t have any circuit breaker information yet but will update the contract information at the website. Also, position limits are expected to be 10,000 contracts in any month.
The CSI300 future contract information and specifications are listed at AsiaEtrading.com and you can expect an update of the details as we go forward.
*A-share: Renminbi-denominated common stocks issued by Chinese companies for its domestic market. These shares settle T+1 and are electronically booked.