Rolling Delivery Method (China)
All futures contracts in China, except CFFEX CSI 300 Index futures contract, which is to be cash-settled, are subject to delivery at settlement according to the simultaneous or rolling delivery method. Currently, the Shanghai Futures Exchange employs the simultaneous delivery method for all of its contracts, and the Zhengzhou Commodity Exchange uses it for all contracts except for its wheat futures contracts, which are settled according to the rolling delivery method. In contrast, the Dalian Commodity Exchange (DCE) employs the rolling delivery method for all of its contracts.
The rolling delivery method at the DCE takes place on any day between the first and the trading day before the last trading day of a delivery month in the following way.
Pairing Day (the first day of rolling delivery) – Sellers apply for delivery, and buyers announce intentions. After market close on the pairing day, the exchange pairs buyers and sellers, giving priority to those buyers intent to take delivery and holding positions the longest.
The settlement price for rolling delivery is the settlement price of the day of a paring day. After confirming paring results, buyers provide sellers with the information necessary to fill out special invoices on value-added taxes, and sellers pay for the invoices within 7 days.
Settlement Day is the second trading day after a pairing day. Before market close on the settlement day, members representing buyers have to make a full payment to members representing sellers. After market close on the settlement day, the exchange distributes sellers’ warehouse receipts to buyers according to the principle of the minimum number of pairing.
After the last trading day, the remaining open positions are subject to forced delivery, except for those positions in accounts with offsetting positions. Before market close of the last trading day, members representing sellers make a full payment for special invoices on value-added taxes to the exchange.
After market close of the last trading day, the exchange provides members representing buyers with standard warehouse receipt holding certificate and members representing sellers with 80 percent of the proceeds and, after they make a full payment for special invoices on value-added taxes, the remaining 20 percent.