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Notice on Delivery Issues of Treasury Bonds Futures

2019-08-20
According to the trading rules and relevant implementation rules, the relevant issues regarding the delivery of the 2-year Treasury Futures, 5-year Treasury Futures and 10-year Treasury Futures for September 2019 are as follows:
 
1. The last trading day of the 2-year Treasury Futures, 5-year Treasury Futures and 10-year Treasury Futures is the second Friday of the contract expiration month, that is, the last trading day of the TS1909, TF1909, and T1909 contracts is September 13, 2019.
 
2. Treasury Futures implement the gradient position limit system. For TS1909, TF1909, T1909 contracts, from the first trading day of the delivery month, the position limit is 600 lots. In case of exceeding the position limit standard, the Exchange shall impose the liquidation on the excess position in accordance with the relevant provisions of the “Measures of China Financial Futures Exchange on Risk Management”. The losses incurred by the forced liquidation will be directly borne by the responsible person, and the profits will be confiscated according to the regulations.
 
3. The client participating in the delivery shall submit and file the Treasury bond custody account to the Exchange through the member in advance. If the same client opens an account with different futures company member, the client shall separately submit the Treasury bond custody account with different futures company members. If a client submits and files the Treasury bond custody account opened by China Securities Depository and Clearing Corporation Limited (CSDC), the client can only submit and file one Treasury bond custody account. If a client submits and files the Treasury bond custody account opened by CSDC, the client shall simultaneously submit and file the Treasury bond custody account opened at CSDC Shanghai and CSDC Shenzhen, and can only submit and file one Treasury bond custody account separately.
 
4. From the two trading days before the delivery month to one trading day before the last trading day, after market close on each trading day, the two-sided position of the delivery month of the same transaction code will be closed out, and the close out price shall be the contract’s settlement price of previous trading day.
 
5. For clients who have not passed the review of the treasury bond custody account on the two trading days prior to the delivery month, the position of the treasury bond futures contract on the delivery month shall be 0 lot from the first trading day to the last trading day before the delivery month. Starting from the first trading day before the delivery month, and in accordance with the relevant provisions of the “Measures of China Financial Futures Exchange on Risk Management”, the Exchange will forced liquidate the position of the delivery month contract of the client who has not passed the treasury bond custody account review. The losses incurred by the forced liquidation will be borne by the directly responsible person, and the profits will be confiscated according to the regulations.
 
6. After entering the delivery month, and until the last trading day, the seller shall submit a delivery notice to the Exchange by 15:15 p.m., and the Exchange shall determine the position of the buyer entering the delivery according to the principles of the priority of declaration intention, priority of longest holding period and proportional allocation of the same position. If the buyer does not make a delivery intention on the same day but is determined by the Exchange to enter into delivery, the Exchange shall, according to the seller’s Treasury bond custody account, and the priority principle of the same Treasury bond custodian institution, determine the designated Treasury bond custody account previously declared by the buyer.
 
7. After the market close on the last trading day, the two-sided position of the delivery month under the same client number will be closed out. The closing price is the contract’s settlement price of the previous trading day, and the net position of the same client number will enter delivery.
 
8. On the last trading day and if client enters the delivery, the member shall declare the information about the buyer’s Treasury bond custody account and the name and quantity of the treasury bond and Treasury bond custody account information of the seller's before 15:15 p.m. on the last trading day. If the member fails to declare the delivery information for the buyer client within the specified time, the exchange shall, according to the seller’s Treasury bond custody account, and the priority principle of the same Treasury bond custodian institution, determine the designated Treasury bond custody account previously declared by the buyer. If the member fails to declare the delivery information for the seller client within the specified time, it shall be deemed that the seller client failed to deliver the deliverable Treasury bonds within the prescribed time limit.
 
9. On the delivery day when the client's position enters into delivery, the Exchange will notify the relevant member through the member service system about the matching results and delivery payment due notice after settlement. Members are invited to pay attention to the delivery model in the matching results, and work with the client to do the relevant business operations on the follow-up delivery date. The delivery mode is divided into the general mode and the DVP mode. In case where both parties are engaged in the settlement of the government bond custody account opened by the central clearing, the DVP delivery mode is adopted.
 
10. Before 10:00 a.m. on the second delivery day, the clearing member may report the payment difference to the Exchange through the member service system. In case of general delivery mode, the settlement member may report the difference compensation for the buyer client; if the settlement is made in the DVP mode, the settlement member may report the difference compensation for the seller and buyer client.
 

 
News Link: http://www.cffex.com.cn/jysgg/20190819/23884.html