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The China Financial Futures Exchange yesterday announced trading rules and contract specifications for China's first stock-index futures, as regulators prepare to introduce the derivatives as early as this year.

 

Each point of the Shanghai and Shenzhen 300 Index, on which the contract is based, will be valued at 300 yuan (US$38), the exchange said in draft rules.

 

The trading margin, or the minimum amount of the contract value that an investor must pay, was set at 8 percent, the exchange said, without giving a date for trading to start.

 

China is speeding up expansion of derivatives to spur development of the capital markets and give companies more tools to hedge risks. The government last month set up the Shanghai-based financial futures exchange to prepare for the introduction of index futures on local-currency shares.

 

The futures contract will be valued at 34,564 yuan, based on the closing price of 1440.18 for the 300 index last Friday, the exchange said in the draft rules, published in securities newspapers. The maximum daily movement for the contract is 10 percent and the minimum change was set at 0.1 point.

 

The Shanghai and Shenzhen 300 Index, which tracks the 300 most valuable and liquid companies on the mainland's two exchanges, has advanced more than 50 percent this year. Daqin Railway Co, the operator of China's biggest coal transport network, is the biggest constituent of the measure, followed by China Merchants Bank and China Minsheng Banking Corp.

 

China is aiming to introduce stock-index futures this year or by early next year, Shang Fulin, chairman of the China Securities Regulatory Commission, said on September 14.

 

The contract won't be the first based on China's yuan-denominated A shares. Singapore Exchange Ltd began trading index futures based on yuan shares last month, using the FTSE/Xinhua China A50 Index as the underlying gauge.

 

SSE Infonet Ltd, an information and data unit of the Shanghai Stock Exchange, in August filed a lawsuit against index compiler FTSE/Xinhua Index Ltd, a local venture of FTSE Group, contesting its right to provide information for the Singapore futures contract. The first hearing ended on October 11 in Shanghai, with no verdict announced.

 

The China Financial Futures Exchange will initially start trading four types of contracts, which will be settled in each calendar month, the following month and the next two quarters, according to yesterday's rule. The settlement day will be on the third Friday of the expiry month, it said.

 

The rules mandate a 10-minute pause once volatility reaches 6 percent. When the contract moves by 6 percent from its last close and maintains that level for at least a minute, trading will be capped at that range for 10 minutes before the 10 percent limit takes effect, according to the rules. The 6 percent cap won't apply in the last 30 minutes of trading.

 

To strengthen risk controls, a single investor won't be allowed to buy or sell more than 2,000 contracts for the same settlement date, the rules state.

 

(China Daily October 24, 2006)