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Guidelines for Securities Investment Funds to Participate in Stock Index Futures Trading | | 证券投资基金参与股指期货交易指引 |
| (Issued by the Announcement No.36 [2010] of the China Securities Regulatory Commission on April 21, 2010; and amended by the Announcement No. 14 [2020] of the China Securities Regulatory Commission—Decision on Repealing Certain Regulatory Documents on Securities and Futures on August 12, 2022) | | （2010年4月21日中国证券监督管理委员会公告〔2010〕13号公布，根据2022年8月12日中国证券监督管理委员会公告〔2022〕43号《关于修改、废止部分证券期货规范性文件的决定》修正） |
| Article 1 These Guidelines are developed in accordance with the Securities Investment Fund Law of the People's Republic of China, the Futures and Derivatives Law of the People's Republic of China, the Measures for the Administration of the Operation of Publicly Offered Securities Investment Funds, and other applicable laws and regulations, for the purposes of regulating the participation of securities investment funds (hereinafter referred to as “funds”) in stock index futures trading, guarding against trading risks, and protecting the lawful rights and interests of fund unit holders. | | 第一条 为规范证券投资基金（以下简称基金）参与股指期货交易的行为，防范交易风险，保护基金份额持有人的合法权益，根据《中华人民共和国证券投资基金法》《中华人民共和国期货和衍生品法》《公开募集证券投资基金运作管理办法》等法律法规，制定本指引。 |
| Article 2 For the purposes of these Guidelines, "stock index futures" means financial futures contracts with stock price indexes as the subject matter that are registered with the CSRC and listed and traded on the China Financial Futures Exchange. | | 第二条 本指引所称股指期货，是指由中国证监会注册，在中国金融期货交易所上市交易的以股票价格指数为标的的金融期货合约。 |
| Article 3 Funds shall, under the risk management principles, participate in stock index futures trading for hedging purposes in accordance with the relevant provisions of the CFFE on the administration of hedging, except capital guaranteed funds and the special fund products approved by the CSRC. | | 第三条 基金参与股指期货交易，应当根据风险管理的原则，以套期保值为目的，并按照中国金融期货交易所套期保值管理的有关规定执行。保本基金及中国证监会批准的特殊基金品种除外。 |
| Article 4 Equity funds, hybrid funds and capital guaranteed funds may participate in stock index futures trading in accordance with these Guidelines, while bond funds and money market funds shall not participate in stock index futures trading. | | 第四条 股票型基金、混合型基金及保本基金可以按照本指引参与股指期货交易，债券型基金、货币市场基金不得参与股指期货交易。 |
| Article 5 Unless it is otherwise provided for by the CSRC, funds' participation in stock index futures trading shall meet the following requirements except the special fund products approved by the CSRC: | | 第五条 基金参与股指期货交易，除中国证监会另有规定或批准的特殊基金品种外，应当遵守下列要求： |
| (1) At the end of any trading day, the value of long stock index futures contracts held by a fund shall not exceed 10% of the net asset value of the fund. | | （一）基金在任何交易日日终，持有的买入股指期货合约价值，不得超过基金资产净值的10%。 |
| (2) At the end of any trading day, the sum of the value of long futures contracts and the market value of securities held by an open-end fund held shall not exceed 95% of the net asset value of the fund. | | （二）开放式基金在任何交易日日终，持有的买入期货合约价值与有价证券市值之和，不得超过基金资产净值的95%。 |
| ．．．．．． | | 封闭式基金、开放式指数基金（不含增强型）、交易型开放式指数基金（ETF）在任何交易日日终，持有的买入期货合约价值与有价证券市值之和，不得超过基金资产净值的100%。 |
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