The Chinese renminbi – or RMB – has experienced rapid growth in deposit and trading volume both on- and off-shore. The renminbi is now being used for business transactions in multiple off-shore locations which include Hong Kong, Singapore, Korea, Australia and other areas around the world. Accordingly, a need for capital risk management tools for the Chinese currency has emerged.
To address this need, CME Group has developed USD/RMB futures. These contracts will be offered in standard and E-micro sizes and will be quoted in conventional interbank FX market terms.
Standard contracts: Based on USD 100,000
E-micro contracts: 1/10 the standard contract size, based on USD 10,000
Key features:
- Cash-settled to the spot value of the interbank convention, RMB per USD, as published by the People's Bank of China (PBC)
- Daily pays and collects calculated in RMB, then translated into USDs
- Renminbi rate is displayed on Reuters SAEC page
- Available alongside the CME's existing RMB/USD contract quoted in the American convention
Full contract details:
Contract Specifications: Standard and E-micro USD/RMB Futures**
Contract Size
Standard Futures based on 100,000 USD (≈ RMB 648,300);
E-micro Futures based on 10,000 USD (≈ RMB 64,830)
Tick Size
Standard Contract: Outrights quoted in 0.0010 RMB per USD = 100 RMB (≈ USD $15.42) per contract; calendar spreads quoted in 0.0005 RMB per USD = 50 RMB (≈ USD $7.71) per contract
E-micro Contract: Outrights quoted in 0.0010 RMB per USD = 10 RMB (≈ USD $1.54) per contract
RMB-Denominated
Daily pays and collects calculated in RMB but translated into USD by reference to daily PBC fixing rate, and banked in USD
CME Globex Trading Hours
Sundays through Fridays: 5:00 p.m.-4:00 p.m. (Central Time, CT) the next day. On Friday CME Globex platform closes at 4:00 p.m. and reopens Sunday at 5:00 p.m.
CME ClearPort Trading Hours
Sundays through Fridays: 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. Chicago Time/CT) with a 45–minute break each day beginning at 5:15 p.m. (4:15 p.m. CT)
Months
Standard: 13 consecutive calendar months (Jan, Feb, Mar, Apr, May, Jun, Jul, Aug, Sep, Oct, Nov, Dec) plus 8 March quarterly months (3-year maturity range)
E-micro: 12 consecutive calendar months (Jan, Feb, Mar, Apr, May, Jun, Jul, Aug, Sep, Oct, Nov, Dec)
Last Trading Day
Trading ceases at 9:00 am Beijing time on 1st Beijing business day immediately preceding 3rd Wednesday of contract month
NDF-Style Cash Settlement
Final Settlement Price (FSP) at "Chinese renminbi per U.S. dollar" fixing rate published by PBC at 9:15 am Beijing time on Reuters SAEC page opposite "USDCNY="
Strike Prices
NA
Exercise/Assignment
NA
Position Limits / Position Accountability
USD/RMB futures converted to notional equivalents of 6,000 CME full-sized RMB/USD futures contracts (=6 billion RMB) for Position Accountability trigger level; and no more than 2,000 full-sized RMB/USD futures contracts (=2 billion RMB) for Position Limit in the spot month on or after the day one week prior to the termination of trading day.**
Positions for the same account holder will be aggregated across standard-sized and E-micros futures with 10 E-micros equaling 1 standard-sized contract.
**For example, if the appropriate RMB per USD rate is 6.4830 RMB per USD ("prior day's Regular Trading Hours settlement") , then one 100,000 USD standard futures contract would count as 648,300 RMB against the PA trigger level of 6 billion RMB. Similarly, one 10,000 USD E-micro futures contract would count as 64,830 RMB against the 2 billion RMB Spot Position Limit.
CME Globex Codes
Standard: CNY
E-micro: MCY
Block Trade Eligibility and Minimum
Standard: Yes. Minimum Quantity: 50
E-micro: Not eligible for block trades.
EFRP Eligibility
Yes
Exchange Rule
These contracts are listed with, and subject to, the rules and regulations of CME.
*Note that this process implies the possibility that the cumulative USD denominated pays and collects may not sum to zero even where trade is "scratched." I.e., a customer may buy (sell) and subsequently sell (buy) a contract at the same price quoted in terms of RMB per USD. However, contingent upon the path taken by exchange rates while the trade is open, these USD denominated cash flows, in total, may diverge somewhat from zero.
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