新交所A50市场解说.ppt

SGX The Asian Gateway Committed Panel of Market Makers Active panel of FX market makers include Bank of China, DBS Bank, UOB Bank, Virtu Financial, EIS Global, Phillip Futures, Pilgrim Partners. Building Market Liquidity Currency Pair Market Bid/Ask Spreads INR/USD 0.9 bps USD/CNH 1.0 bps CNY/USD 2.8 bps USD/SGD 1.8 bps AUD/USD 2.2 bps AUD/JPY 2.2 bps SGX The Asian Gateway Newly Launched CNH Futures US$3 billion in aggregate notional value traded in the 3 months since launch Appointed market makers include Bank of China, ICBC and DBS Bank, which will provide 2-way prices at competitive spreads for screen trading Trading activity seen across various contract expirations up to 12 months forward Narrow bid-ask spreads, ranging from 0.6 bps in the front month to 2 bps for Mar’15 expiration; this compares very favorably to wider bid-ask spreads ( 4 bps) on other markets SGX The Asian Gateway Competitive Exchange Clearing Fees Contract Clearing Fees Trading Member (Individual and Prop) Customers AUD/JPY US$0.35 per lot US$0.65 per lot AUD/USD US$0.35 per lot US$0.65 per lot INR/USD US$0.35 per lot US$0.65 per lot KRW/JPY US$0.35 per lot US$0.65 per lot KRW/USD US$0.35 per lot US$0.65 per lot USD/SGD S$0.45 per lot S$0.85 per lot Contract Clearing Fees Trading Member (Individual and Prop) Customers USD/CNH US$0.50 per lot US$1.00 per lot CNY/USD US$0.50 per lot US$1.00 per lot USD/JPY (Standard) US$0.50 per lot US$1.00 per lot USD/JPY (Titan) US$1.00 per lot US$2.00 per lot THB/USD US$0.35 per lot US$0.65 per lot SGX The Asian Gateway SGX The Asian Gateway SGX The Asian Gateway SGX The Asian Gateway SGX The Asian Gateway 價差 指數套利 增強對金融板塊回報 新交所中国A50股指期货用途： 1. 輕鬆准入A股市場 2. 價差 3. 指數套利 4. 增強對金融板塊回報 A50指數期貸更有效捕捉金融板塊動向 A50-滬深300指數 價差特性 ?A50與滬深300指數成份股及權重不相同 ?A50 內銀,金融股比例較高 ?滬深300內需,工業,消費權重較高 ?A50與滬深300指數成份股及權重不相同, “購A50-沽滬深300”價差等於看漲金融股或看淡資源,工業板塊 ?相反,投資者看淡銀行股可投資“沽A50-購滬深300”價差 於4月10日,滬港通消息刺激兩地股市急升,金融股票被過度追捧 投資者不確定消息如何影響後市,可以在當日收市沽A50-購滬深300以建立市場中立的看淡金融