CSRC releases new guidelines on treasury futures
05 September 2013
By Asia Asset Management
The China Securities Regulatory Commission (CSRC) has unveiled ‘guidelines for participation in the trading of treasury futures by securities funds’, in order to regularise the positions that mutual funds hold in treasury futures and reduce overall market volatility.
The CSRC said on its website on September 4 that the total amount of treasury futures and stock index futures that an open-ended fund holds at the end of each trading day cannot exceed 95% of the fund’s net asset value. The weighting cannot surpass 100% for close-ended funds, open-ended index funds, and exchange traded funds (ETFs) – taking borrowing facilities into account. In addition, short positions on treasury futures contracts held at the end of each trading day must not exceed 30% of the fund’s weighting in fixed income assets.
The guidelines also stipulate that only equities funds, bond funds, and hybrid funds are allowed to invest in treasury futures. Money market funds and wealth management bond funds are barred from accessing treasury futures products.
Separately, the China Financial Futures Exchange (CFFE) released new measures on September 4 that oblige market participants to file a report to the exchange if in the instance that a one-side position in treasury futures exceeds 5% of the fund’s total same-side position in the market.
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