1. What are the S&P/TAIFEX RMB Indices? The S&P/TAIFEX RMB Index Series comprises the S&P/TAIFEX RTF RMB Index (USD) and the S&P/TAIFEX RHF RMB Index (USD). These indices seek to track the performance of the inverse of the nearest quarterly month RTF or RHF futures contract traded on the Taiwan Futures Exchange (TAIFEX), reflecting the number of U.S. dollars per offshore Chinese renminbi (RMB) for Taiwan and Hong Kong. For the S&P/TAIFEX RMB Indices, 1x inverse and 2x leverage versions are available and are designed to generate the inverse of and twice the daily excess return of the underlying indices.
2. Why were the S&P/TAIFEX RMB Indices created? There has been increasing demand for RMB-denominated assets and a growing trend of internationalization of the RMB. In collaboration with the TAIFEX, S&P Dow Jones Indices (S&P DJI) has created this index series that enables more effective management of exposure to Chinese yuan currency risk and speculation of the yuan through investment products tracking the S&P/TAIFEX RMB Indices, as well as their inverse and leverage counterparts.
3. What are the differences between the RTF and RHF futures contracts? There are two key differences in terms of contract size and final settlement prices. The RTF and RHF have contract sizes of USD 20,000 and USD 100,000, respectively. For the final settlement price, the RTF uses the spot USD/CNY(TW) fixing published by the Taipei Foreign Exchange Market Development Foundation, while the RHF uses the spot USD/CNY(HK) fixing of the Treasury Markets Association of Hong Kong.
1. How are the S&P/TAIFEX RMB Indices designed? The S&P/TAIFEX RTF RMB Index and the S&P/TAIFEX RHF RMB Index seek to measure the return from a long position in the inverse of the first quarterly month futures contract. By using the inverse of the futures contract price, the S&P/TAIFEX RMB Indices are denominated in U.S. dollars, although the RTF and RHF futures contracts are quoted in Chinese renminbi per U.S. dollar. In this way, the indices’ levels rise when the renminbi appreciates (reflected by the respective futures price movement) and vice versa.
2. How are the futures contracts rolled? To improve the capacity of the index, a five-day staggered rolling is implemented. Specifically, over a five-day rolling period every quarter, starting 10 trading days and ending 6 trading days prior to the futures last trade day (including the last trade day), the index rolls to the second quarterly month contract, with 20% of the portfolio being rolled each day. Exhibit 1 provides an example roll period, showing the mechanics of the roll period based on the last trade dates of the underlying futures contracts.
