CFFEX: Notice On Delivery Of China Government Bond Futures Contracts

This notice is hereby given on matters related to the delivery of the 5-year, 10-year, 2-year, and 30-year China government bond (CGB) futures contracts due for settlement in September 2024:

1. The last trading day of 5-year, 10-year, 2-year, and 30-year CGB futures contracts is the second Friday of the expiry month. Where the last trading day is a public holiday or trading of the contracts is suspended on that day for extraordinary situations or other reasons, the last trading day shall be postponed to the following trading day. The last trading day of the TF2409, T2409, TS2409, and TL2409 contracts is September 13, 2024.

2. According to the position limits imposed on CGB futures, starting from the trading day preceding the delivery month, the position limits of the TF2409, T2409, TS2409, and TL2409 contracts shall be 600 lots, 1,200 lots, 600 lots, and 600 lots respectively for clients and 1,200 lots, 2,400 lots, 1,200 lots, and 1,200 lots respectively for non-futures-company members. Any positions in excess of the position limits will be force-liquidated by CFFEX in accordance with the relevant provisions of the Measures of China Financial Futures Exchange on Risk Control.

3. Any non-futures-company member participating in delivery shall report its CGB depository account(s) to CFFEX in advance. Any client participating in delivery shall report its CGB depository account(s) to CFFEX in advance through its carrying member. Members and clients shall ensure that the depository accounts reported are authentic and valid.

A non-futures-company member or a client shall report its depository account(s) in accordance with the trading code. When reporting a depository account at China Central Depository & Clearing Co., Ltd. (CCDC), the non-futures-company member or the client may only report one CCDC depository account, and when reporting depository accounts at China Securities Depository and Clearing Corporation Limited (CSDC), the non-futures-company member or the client shall simultaneously report one and only one account at each of CSDC Shanghai Branch and CSDC Shenzhen Branch.

4. With respect to a given contract, after market close on each trading day between the second trading day (inclusive) prior to the delivery month and the trading day (inclusive) prior to the last trading day, long and short positions in the contract held under the same trading code should be netted at the contract’s settlement price of the preceding trading day. The results of such netting should be excluded from the calculation of the daily settlement price.

5. Starting from the last trading day prior to the delivery month, CFFEX will, in accordance with the Measures of China Financial Futures Exchange on Risk Control, force-liquidate the positions in the contracts held by any non-futures-company member or any client whose depository account(s) has not been verified.

6. The seller of a contract may tender for delivery on any trading day of the delivery month before the last trading day. Upon such tendering, CFFEX will determine the specific buyer positions to enter delivery by giving priority first to those that have been voluntarily tendered for delivery and second to those that have been held for a longer period. Positions held for the same number of days shall enter delivery on a pro rata basis. With respect to any buyer position not tendered for delivery before the last trading day but is nevertheless identified by CFFEX to enter delivery, CFFEX will designate one of the depository accounts previously reported by the buyer as the one for receiving the CGBs, with preference given to the account opened at the same CGB depository as the corresponding seller.

7. After market close on the last trading day of a given contract, long and short positions under each client number should be netted at the contract’s settlement price of the preceding trading day; the net positions resulting therefrom shall then enter delivery. The results of such netting shall be excluded from the calculation of the final settlement price.

8. With respect to any buyer position and seller position entering delivery on the last trading day of a contract, the respective members of the buyer and seller shall submit, as applicable, the following information to CFFEX before 3:15 p.m. on that day: the buyer’s depository account(s) information, the name and quantity of the seller’s deliverable CGBs, and the seller’s depository account(s) information. Any buyer that wishes to take delivery through CSDC should provide information on both its depository account at the CSDC Shanghai Branch and its depository account at the CSDC Shenzhen Branch.

With respect to any buyer position or seller position entering delivery on the last trading day of a contract, if the member fails to submit delivery information for the buyer within the prescribed time period, CFFEX shall designate one of the depository accounts previously reported by the buyer as the one for receiving the CGBs, with preference given to the account opened at the same depository as the corresponding seller; if the member fails to submit delivery information for the seller within the prescribed time period, the seller should be deemed to have failed to hand over the deliverable CGBs in full and on-time.

Members are requested to strengthen risk control through necessary risk alerts and other risk management measures, and to ensure market stability.