Futures in China
Detailed Trading Rules of China Financial Futures Exchange for CSI 300 Index Fut 2014-06-25
Detailed Trading Rules of China Financial Futures Exchange for CSI 300 Index Futures Contract
 
Chapter I General Provisions
 
Article 1 These Detailed Rules are formulated in accordance with th Trading Rules of China Financial Futures Exchange and the implementing rules thereof, for the purpose of regulating trading activities in respect of CSI 300 index futures contract (hereinafter referred to as the Contract) on China Financial Futures Exchange (hereinafter referred to as the Exchange).
 
Article 2 The Exchange, members, clients, futures margin depository banks and other futures market participants shall comply with these Detailed Rules.
 
Article 3 If there are no relevant provisions in these Detailed Rules, the relevant business rules of the Exchange shall apply.
 
Chapter II Contract
 
Article 4 The underlying instrument of the Contract is the CSI 300 index compiled and released by China Securities Index Co., Ltd.
 
Article 5 The contract multiplier of the Contract is RMB 300 per point. The value of a stock index futures contract is the product of the stock index futures index points multiplied by the contract multiplier.
 
Article 6 The Contract shall be quoted inindex points.
 
Article 7 The tick size of the Contract is 0.2index point, the quotations for contract trading shall be integral multiples of 0.2index point.
 
Article 8 The contract months of the Contract are the current month, the next month and the subsequent two quarter-ending months. Quarter-ending months refer to March, June, September and December.
 
Article 9 The last trading day of the Contract is the third Friday of the contract expiration month, and the last trading day is the delivery day. If the last trading day is a public holiday or there is no trading on that day due to an extraordinary situation, the next trading day shall be the last trading day and the delivery day.
The trading of the Contract for the new month shall begin on the next trading day after the delivery day of the matured Contract.
 
Article 10 The ticker symbol of the Contract is IF.
 
Chapter III Trading Operations
 
Article 11 The trading unit of the Contract is the“lot”, and contract trading shall be conducted in integral multiples of the trading unit.
 
Article 12 The minimum trading order of the Contract is one lot, the maximum size of one market ordershall be 50 lots, and the maximum size of one limit order shall be 200 lots.
 
Article 13 The Contract adopts call auction trading and continuous auction trading.
The call auction runs from 9:10 to 9:15 on each trading day. During the call auction, 9:10-9:14 is the order routing time, while 9:14-9:15 is the order matching time.
The continuous auction runs from 9:15 to 11:30 (morning session) and from 13:00 to 15:15(afternoon session) on each trading day. On the last trading day, the continuous auction runs from 9:15 to 11:30 (morning session) and from 13:00 to 15:00 (afternoon session).
 
Chapter IV Clearing and Settlement
 
Article 14 The settlement price of the Contract on a given trading day is the trading volume-weighted average execution price for the Contract during the last hour on that trading day. The calculation result shall be rounded to one decimal place.
 
Article 15 The settlement price for the Contract on a given trading day is used as the basis for calculating the profits or losses for that day. The specific calculation formula is given below:
Profits or losses for a given trading day ={∑[(sell price – same day settlement price) ×sold volume] + ∑[(same day settlement price – buy price) × bought volume] + (settlement price of the previous trading day – same day settlement price) × (sold positions on the previous trading day – bought positions on the previous trading day)}×contract multiplier
 
Article 16 The standard processing fee for the Contract shall not exceed0.005%of the transaction amount.
 
Article 17 The delivery settlement price of the Contract is the arithmetic average price of the underlying index during the last 2 hours on the last trading day. The calculation result shall be rounded to two decimal places.
 
Article 18 The Contract adoptscash delivery.
 
Article 19 The standard delivery fee rate for the Contract is 0.01% of the delivery amount.
 
Chapter V Risk Management
 
Article 20 The minimum trading margin required for the Contract shall be 12% of the contract value.
 
Article 21 The daily price fluctuation limit for the Contract refers to the daily price up/down limit, which is ±10% of the settlement price on the previous trading day.
The daily price up/down limit for the first trading day of the Contract for quarter-ending months shall be ±20% of the listed benchmark price. If there are transactions on the first trading day, the daily price up/down limit shall revert to the limit specified in the Contract on the next trading day; if there are no transactionson the first trading day, the daily price up/down limit for the previous trading day shall remain in effecton the next trading day.
The daily price up/down limit of the Contract on the last trading day is ±20% of the settlement price on the previous trading day.
 
Article 22 Member and client position limits for the Contract shall be separately stipulated by the Exchange.

Chapter VI Supplementary Provisions
 
Article 23 The Exchange shall deal with violations of these Detailed Rules in accordance with the Measures of China Financial Futures Exchange on Dealing with Violations and Breaches.
Article 24 The power to interpret these Detailed Rules shall be vested in the Exchange.
 
Article 25 These Detailed Rules shall come into effect as of August 30, 2013.