CGB Futures Trading Guide

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CGB Futures Trading Guide

Fang • submitted 2026-07-25 00:36:33

I. CGB Futures Contract Overview

Currently, CFFEX lists four CGB futures contracts: 2-Year (TS), 5-Year (TF), 10-Year (T), and 30-Year (TL).

Item	(TS)	(TF)	(T)	(TL)
Underlying	A notional CGB with a face value of RMB 2 million and a coupon rate of 3%	A notional CGB with a face value of RMB 1 million and a coupon rate of 3%	A notional CGB with a face value of RMB 1 million and a coupon rate of 3%	A notional CGB with a face value of RMB 1 million and a coupon rate of 3%
Deliverable CGBs	Book-entry interest-bearing CGBs with an issuance term not exceeding 5 years and a remaining term of 1.5-2.25 years on the first day of the contract month	Book-entry interest-bearing CGBs with an issuance term not exceeding 7 years and a remaining term of 4-5.25 years on the first day of the contract month	Book-entry interest-bearing CGBs with an issuance term not exceeding 10 years and a remaining term of 6.5 years on the first day of the contract month	Book-entry interest-bearing CGBs with an issuance term not exceeding 30 years and a remaining term of 25 years on the first day of the contract month
Quotation	Quoted in net price per RMB 100	Quoted in net price per RMB 100	Quoted in net price per RMB 100	Quoted in net price per RMB 100
Tick Size	RMB 0.002	RMB 0.005	RMB 0.005	RMB 0.01
Contract Months	The nearest three quarterly months	The nearest three quarterly months	The nearest three quarterly months	The nearest three quarterly months
Daily Price Limit	±0.5% of the previous trading day's settlement price （First day limit: 2x）	±1.2% of the previous trading day's settlement price （First day limit: 2x）	±2% of the previous trading day's settlement price （First day limit: 2x）	±3.5% of the previous trading day's settlement price （First day limit: 2x）
Last Trading Day	The second Friday of the contract expiry month	The second Friday of the contract expiry month	The second Friday of the contract expiry month	The second Friday of the contract expiry month
Last Delivery Day	The third trading day after the last trading day	The third trading day after the last trading day	The third trading day after the last trading day	The third trading day after the last trading day

II. Position Limits

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            <td valign="center" style="border:1pt solid #8EAADB;background:#D9E2F3;">
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                    <span style="font-family:&quot;color:#1F3864;font-size:9pt;">CGB Futures Contract</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
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                    <span style="font-family:&quot;color:#1F3864;font-size:9pt;">From Listing Date</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
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                    <span style="font-family:&quot;color:#1F3864;font-size:9pt;">From the Trading Day Preceding Delivery Month</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
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                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">2-Year CGB Futures (TS)</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
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                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">2,000 lots</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
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                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">600 lots</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
            </td>
        </tr>
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            <td valign="center" style="border:1pt solid #8EAADB;">
                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">5-Year CGB Futures (TF)</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
            </td>
            <td valign="center" style="border:1pt solid #8EAADB;">
                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">2,000 lots</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
            </td>
            <td valign="center" style="border:1pt solid #8EAADB;">
                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">600 lots</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
            </td>
        </tr>
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            <td valign="center" style="border:1pt solid #8EAADB;">
                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">10-Year CGB Futures (T)</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
            </td>
            <td valign="center" style="border:1pt solid #8EAADB;">
                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">4,000 lots</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
            </td>
            <td valign="center" style="border:1pt solid #8EAADB;">
                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">1,200 lots</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
            </td>
        </tr>
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            <td valign="center" style="border:1pt solid #8EAADB;">
                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">30-Year CGB Futures (TL)</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
            </td>
            <td valign="center" style="border:1pt solid #8EAADB;">
                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">2,000 lots</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
            </td>
            <td valign="center" style="border:1pt solid #8EAADB;">
                <p class="MsoNormal" style="text-indent:0pt;">
                    <span style="font-family:&quot;color:#333333;font-size:9pt;">600 lots</span><span style="font-family:&quot;color:#333333;font-size:10pt;"></span>
                </p>
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    <b><br />

III. Trading Hours

(I) Call Auction

Phase	Time
Order Entry	09:25-09:29
Matching	09:29-09:30

(II) Continuous Auction

Phase	Time
Morning Session	09:30-11:30
Afternoon Session	13:00-15:15

Note: The continuous auction on the last trading day is from 9:30 to 11:30.

(III) EFP Confirmation Time

EFF (Exchange for Physical) refers to the futures-side confirmation time for treasury bond futures EFP transactions, which must be completed within the prescribed time limit.

IV. Margin Requirements

(I) Trading Margin Standards

Product Code	Normal Trading Days	From Settlement on the 2nd Trading Day Before Delivery Month
TS	0.5%	1%
TF	1.2%	2%
T	2%	3%
TL	3.5%	5%

(II) Cross-Product Unilateral Large-Side Margin

◆ On July 10, 2015, the cross-product unilateral large-side margin system was implemented in the CGB futures market.

◆ For two-way positions in the same product or across products under the same client ID at the same member, the trading margin shall be charged based on the larger unilateral margin requirement.

◆ Physically delivered contracts are excluded after the market close on the trading day preceding the delivery month.

V. Daily Settlement Price and Profit/Loss

◆ The daily settlement price of a CGB futures contract is the volume-weighted average price of transactions during the last hour of trading.

◆ The calculation result is rounded to three decimal places.

◆ The CGB futures contract uses the daily settlement price as the basis for calculating the daily profit and loss.

Daily P&L Calculation Formula:

Daily P&L = {Σ[(Sell Price - Settlement Price) × Sell Volume] + Σ[(Settlement Price - Buy Price) × Buy Volume] + (Prev Settlement - Settlement) × (Prev Short Pos - Prev Long Pos)} × (Contract Face Value / RMB 100)

VI. CGB Custody Account Reporting and Forced Liquidation

Article 11 of the Delivery Rules:

◆ “For non-futures-company members and clients who have not passed the CGB custody account review by the second trading day before the delivery month of a CGB futures contract, their positions in the CGB futures contract for that delivery month shall be zero from the first trading day before the delivery month to the last trading day.”

◆ “From the trading day preceding the delivery month, the Exchange shall force-liquidate the delivery-month contract positions of non-futures-company members and clients who have not passed the CGB custody account review, in accordance with the relevant provisions of the Measures of China Financial Futures Exchange on Risk Control Management.”

Disclaimer: The information on this website is for general informational purposes only and is not intended as a recommendation or an offer or solicitation for the purchase or sale of any security, currency, investment, service or to attract any funds or deposits. Save to the extent provided otherwise in the Terms and Conditions for Accounts and Services or other applicable terms and conditions, information in this website has been prepared without taking account of the objectives, financial situation or needs of any particular investor. Therefore, investment products mentioned in this website may not be suitable for all investors. Any person considering an investment should seek independent advice on the suitability or otherwise of a particular investment. Before making any investment, each investor must obtain the investment offering materials, which include a description of the risks, fees and expenses and the performance history, if any, which may be considered in connection with making an investment decision. Each investor should carefully consider the risks associated with the investment and make a determination based upon the investor’s own particular circumstances, that the investment is consistent with the investor’s investment objectives.

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author: Fang

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