CFFEX CSI 300 Index
CFFEX CSI 300 index futures trade on the China Financial Futures Exchange (CFFEX). They have been mock-trading since October 30, 2006, but its formal launch date has not been set yet. The CSI 300 Index is the stock index that China Securities Index Co., Ltd. composed with 300 largest A-Shares listed on the Shanghai Stock Exchange (179 stocks) and Shenzhen Stock Exchange (121 stocks).
Each CFFEX CSI 300 index futures contract is worth 300 yuan times the CSI 300 Index.
Each CFFEX CSI 300 index futures contract is subject to a margin rate equivalent to at least 8 percent of contract value (e.g., 118780.8 yuan = 4949.2 yuan [IF0809 last mock-trading price on May 23, 2008] x 300 [yuan/contract] x 8 percent) as well as a trading fee of 30 yuan (RMB) / contract. However, each contract month is subject to a separate margin rate requirement, such as 15 percent for the current mock-trading lead month IF0809. In other words, one contract of CFFEX CSI 300 index futures requires around $32,000 (at the current exchange rate of around 7 yuan / dollar) in a country where per capita GDP is still around $2,500.
Already into the third year of mock-trading, CFFEX CSI 300 index futures is still actively traded, although in December 2008, the total volume of all contract months declined 29% to 9.8 million contracts from 13.9 million contracts in December 2007.
|CSI 300 Index futures|
|Exchange||China Financial Futures Exchange|
|Trade Unit||300 yuan times the CSI 300 Index|
|Point Value||30 yuan|
|Tick Value||60 yuan|
|Contract Months||The current and next months as well as two following months in the quarterly cycle|
|Last Trading Day||The third Friday in the contract month|
|Note: This contract is electronic ONLY -- no open outcry|
|No Open Outcry||No Electronic Market|
|Trading Hours||N/A||9:15 a.m.-11:30a.m., 1:15 p.m-3:15 p.m. (1:15 p.m-3p.m. on the last trading day)|
|Price Limits||N/A||10 percent above or below the previous day's settlement price|