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Definition

Refers to the maximum hedging position in the same direction for all contracts of the same product.

Application Method

Apply by product

Application Materials

01 CFFEX Hedging and Arbitrage Quotas Application and Information Form
02 Hedging Trading Plan
03 Hedging Asset Proof
04 Statement (if applicable)
05 CGB Futures Investment Filing Certificate
06 Other materials as required by the Exchange

Among them, the first four items (application form, trading plan, asset proof, and other materials) were previously required. The Statement and the CGB Futures Investment Filing Certificate are newly added for QFI clients and are only required for the initial application.

Asset Proof Requirements

The client shall submit asset proofs stamped or signed. The asset proof shall bear the special seal of the custodian bank, and the issuance date shall be within ten working days prior to the submission date of the application.

Scope of Assets

Including but not limited to cash, equity assets, and assets held in the interbank bond market and exchange bond market.
Among them, bond assets under the QFI scheme and direct investment of the same overseas investor shall both be included in the calculation scope (Bond Connect excluded).

Application Deadline

An application for a new product quota shall be submitted to the Exchange at least ten trading days prior to the expiry of the existing product quota.

Processing Time

The Exchange shall reply or request supplementary materials within 5 working days.

Validity Period

Twelve months from the trading day following the date of approval.

Acquisition Method

Obtained through application

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Definition

Refers to the maximum hedging position in a certain direction for a particular contract of a physically delivered product, from the trading day preceding the delivery month to the last trading day of the contract.

Application Method

Apply by contract

Application Materials

01 CFFEX Hedging and Arbitrage Quotas Application and Information Form
02 Hedging Trading Plan (shall include the quota required for contracts approaching delivery month and trading strategies)
03 Asset Holding Summary (different from the asset proof for product quota application)
04 Other materials as required by the Exchange

Asset Holding Summary:
• The scale of deliverable CGB assets corresponding to the contract for a specific delivery month
• CGB codes shall be deliverable CGB codes
• Shall be submitted with the custodian bank's seal
• The date of statistics of deliverable CGBs shall not exceed ten trading days from the date the applicant submits the application

Asset Proof Requirements

• The date of statistics of deliverable CGBs shall not exceed ten trading days from the date the applicant submits the application

Scope of Assets

• Cash

• The scale of deliverable CGB assets corresponding to the contract for a specific delivery month

Application Period

Starting date: the first trading day two months prior to the delivery month
Ending date: the fifth trading day prior to the delivery month

Processing Method

Quotas shall be granted in batches through centralized approval

Validity Period

A contract quota for nearby delivery month shall be valid from the trading day preceding the delivery month of the contract to the last trading day of the contract.

Acquisition Method

Obtained through application and automatically obtained

Among which, automatically obtained is as below:
If a participant has obtained a hedging product quota for CGB futures but has not applied for a hedging contract quota for the approaching delivery month, it will, from the first trading day preceding the delivery month, be granted a contract quota for the approaching delivery month in the relevant trading direction(either long or short),equal to the lesser of:
1)The positions in the corresponding direction held by the participant in the contract entering the delivery month using its hedging product quota, after settlement on the second trading day preceding the delivery month; or
2)The position limit for the delivery month of the relevant contract of the product(T:1,200 lots;TF,TS and TL: 600 lots).

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Hedging-vs-Spot Matching Requirements (CGB Futures)

Long Hedge:
The notional value or the value of risks of the long hedge positions held by a non-futures-company member or client in CGB futures shall not exceed the market value or the value of risks of the underlying assets to be substituted for.

Short Hedge:
The notional value or the value of risks of the short hedge positions held by a non-futures-company member or client in CGB futures shall not exceed the market value or the value of risks of the underlying assets it holds.

The notional value of CGB futures contracts is the product of the contract's settlement price and the contract multiplier.

Regular Review:
• Recognizable scope: Interest rate bonds, credit bonds, etc. (subject to correlation-based conversion)
• The Exchange periodically selects clients according to certain regulatory standards, requiring them to submit explanatory statements to demonstrate compliance of hedging activities. The Exchange conducts review after exchanging data with CCDC, CSDC Data, and other entities.

Rules on Frequent Hedging Trading

In addition to meeting the hedging-vs-spot matching requirements, hedging clients must also comply with the rules on frequent hedging trading.

The weekly volume of executed buy-to-open orders and sell-to-close orders shall not exceed 2 times the available long hedging quota; that of executed sell-to-open orders and buy-to-close orders shall not exceed 2 times the available short hedging quota. Similar rules apply to contracts approaching delivery month.

Abnormal Trading

Self-trade, frequent placement and cancellation of orders and placement and cancellation of large orders resulting from hedge trading shall not be deemed as abnormal trading activities.