Basic delivery methods of futures contracts
Delivery is one of the important links in the operation of futures market, and the delivery mechanism of commodity futures is the key to the design of futures contracts, which often affects the success or failure of futures contracts. At present, there are two delivery mechanisms in the global futures market: physical delivery and cash settlement, in which physical delivery is divided into standard delivery expiration and exchange delivery (EFP) according to whether the contract expires or not.
1. Physical delivery due
Physical delivery at maturity refers to the process that buyers and sellers settle open futures contracts by transferring the ownership of the commodities contained in futures contracts according to the rules and procedures of the exchange. For example, crude oil futures can be delivered by ships, automobiles, pipelines and oil tanks. Physical delivery at maturity is the most common delivery method of commodity futures contracts, and almost all domestic commodity futures contracts adopt physical delivery method.
2. Cash transfer during the unexpired period
Spot-for-futures refers to the process that buyers and sellers who hold futures contracts in opposite directions in the same month reach an agreement through consultation and apply to the exchange. After approval, the Exchange will close its futures contract on its behalf at the price stipulated by the Exchange, and exchange warehouse receipts with the same quantity and variety as the subject matter of the futures contract at the agreed price.
In essence, the exchange of spot for futures is a transaction in which the seller in the spot market and the buyer in the futures market exchange futures contracts for spot objects before the futures contracts expire. The seller in the spot market transfers the physical ownership of the spot to the buyer in the futures market, and the buyer in the futures market transfers the long position in the futures market to the seller in the spot market. Every cash exchange transaction has two components: spot and futures. Compared with standard due delivery, cash conversion provides more flexibility in counterparty, subject matter, delivery place, delivery time and price.
3. Cash settlement
Cash settlement refers to the process that after the futures contract expires, both parties to the transaction settle the cash difference at the agreed settlement price in accordance with the rules and procedures of the exchange without a physical exchange, and settle the expired open contract. Generally, the spot price of the subject matter of the contract is used as the settlement price, so that the futures price converges to the spot price. For example, the settlement price of the futures delivery of the Shanghai and Shenzhen 300 Index is the arithmetic average of all index points in the last two hours of the Shanghai and Shenzhen 300 Index on the last trading day. Usually, financial futures contracts are delivered in cash, such as stock index futures and interest rate futures.
Main delivery methods of world crude oil futures
At present, the crude oil futures listed in the world mainly include WTI crude oil futures of CMEGROUP of Chicago Mercantile Exchange, Brent crude oil futures of Intercontinental Exchange (ICE) and Oman crude oil futures of Dubai Mercantile Exchange (DME). Shanghai crude oil futures listed by Shanghai International Energy Exchange Center (INE) on March 26th, 2008+2065438, as the first domestic commodity futures opened to overseas investors, has also received extensive attention from the market. Here is a brief introduction to the delivery methods of the above crude oil futures.
1.CMEWTI crude oil futures
CMEWTI crude oil futures contract was listed on NYMEX 1 on 1983, with the contract specification of 1000 barrels per hand, and the turnover of 20 16 reached 277 million lots. At present, it is the largest crude oil futures contract in the world and the most important pricing benchmark in the North American crude oil market. The target of WTI crude oil futures contract is light and low sulfur crude oil, and the delivery method of the contract is physical delivery. The delivery place is Cushing, Oklahoma, in the midwest of the United States, and the delivery is made through pipelines or oil storage equipment. The delivery period is 1 month after the last trading day. In addition to the standard delivery methods, WTI crude oil futures contracts have three delivery methods: standby delivery procedure (ADI), futures to spot (EFP) and futures to swap (EFS).
(1) Alternative Delivery Procedure (ADI)
Standby delivery procedure means that at any time before the last day of the delivery month, buyers and sellers can change the delivery method, delivery time, quality and model of delivered goods and the designation of delivery facilities on the basis of consensus. All these changes shall be notified to the Exchange in writing.
(2) Futures to Spot (EFP)
Buyers and sellers can apply to the Exchange for converting their future positions into spot positions, and the Exchange will assist in establishing or clearing their future positions after receiving the application.
(3) Futures-to-swap (EFS)
Buyers and sellers can apply to the Exchange to convert their future positions into swap positions, but they must do so during the futures trading hours. Allowing EFS means that on-site futures trading can be converted into off-site swaps, and the delivery fee is the lowest.
Cushing Town, the delivery place of WTI crude oil futures, was an important crude oil mining and processing area in the United States at the beginning of last century, and a large number of transportation pipelines and storage facilities were built. According to the Genscape report, the crude oil storage in Cushing area has reached 765,438+0 million barrels, which is equivalent to about 65,438+03% of the total storage in the United States. Many important oil pipelines are gathered here, providing rich infrastructure for the delivery and transportation of crude oil, so Cushing is called.
WTI crude oil futures delivery oil includes 6 kinds of domestic crude oil and 5 kinds of overseas crude oil. The six domestic crude oils are West Texas Intermediate Base Crude Oil, North Texas Low Sulfur Crude Oil, South Texas Low Sulfur Crude Oil, New Mexico Low Sulfur Crude Oil, Oklahoma Low Sulfur Crude Oil and Light Low Sulfur Mixed Oil. There are five kinds of overseas crude oil, namely British Brent mixed oil, Norwegian Osberg crude oil, Nigerian Kuilport crude oil and Boni crude oil, and Colombian Kuusia crude oil. However, because the price of CMEWTI is lower than that of ICEBrent for a long time, five foreign crude oils rarely participate in delivery, and the actual delivery is mainly based on six domestic crude oils.
Regarding the quality standard of delivery oil, the API degree of American crude oil should be between 37 and 42, and the sulfur content should not exceed 0.42%; Specify the minimum API value and maximum sulfur content of overseas crude oil.
2. Frozen crude oil futures
ICEBrent crude oil futures contract was listed on the London International Petroleum Exchange (IPE) 1 in 1988, with the contract specification of 1000 barrels per hand. 2011million lots, which is the second largest crude oil futures in the world after WTI. According to incomplete statistics, more than 60% of the world's crude oil trade pricing directly or indirectly refers to Brent price system. Brent crude oil futures contract is light and low sulfur crude oil, and the contract delivery method is cash settlement and cash transfer. After the futures contract is closed on the last trading day, there are two options for all open contracts. The first option is to enter EFP according to the rules, and future positions will be converted into Brent forward positions through EFP. Second, notify the clearing house (ICEClearEurope) to enter the cash settlement within one hour after the transaction stops. Intercontinental Exchange (ICE) will announce the cash settlement price on the first trading day after the last trading day. The cash settlement price is determined according to the Brent index on the last trading day of the contract month, and calculated by the weighted average of the transaction prices of BFOE (Brent crude oil, 1940s crude oil, Osberg crude oil and Ekofisk crude oil) 2 1 day before the delivery month.
Brent index price is compiled by clearing company and published every day at 12 local time. The index is the weighted average price of the 25-day delivery month related to all confirmed transactions in the previous trading day. The specific calculation formula of the index is the arithmetic average of three prices, one is the weighted average price of the BFOE market in the current month; The second is the weighted average price of the BFOE market next month, plus or minus the arithmetic average of the arbitrage price difference between the current month and the next month; The third is the arithmetic average of the prices announced by the relevant media.
The benchmark market system of Brent crude oil in North Sea includes BrentForwards and Brent futures DatedBrent spot, which are closely related through EFP, CFD, DFL or OTC contracts. Although Brent futures contracts are delivered in cash, future positions is allowed to convert into Brent forward positions through EFP, so EFP actually reflects the price difference between ice Brent futures and Brent forward corresponding delivery monthly contracts, and closely links ICE Brent futures with Brent forward. Brent spot market delivery oil (BFOE) includes Brentblend, Forties, Oseberg and Ekofisk, and its output is about 6.5438+0.8 million barrels per day.
3. Dubai crude oil futures
DMEOman crude oil futures contract was listed on Dubai Commodity Exchange (DME) in 2007. The contract specification is 1 0,000 barrels/lot, with a turnover of10,950 lots in 20/6 years, which is one of the important pricing benchmarks in the global crude oil market. At the same time, the delivery rate of Oman crude oil futures is over 90%, which is the largest crude oil futures with physical delivery rate in the world. The target of Oman crude oil futures contract is medium sulfur crude oil, DME Oman crude oil futures are delivered in kind, and the time limit for applying for cashback is allowed. The time limit for applying for cashback can be from the first day of the contract transaction to 6.5 hours after the expiration of the contract. The physical delivery of Oman crude oil futures is based on FOB loading port, which is Mina A. Faha in Oman. The terminal operator (to) Oman Oil Development Company is responsible for the actual operation of crude oil loading. After the clearing house completes the matchmaking, it informs the buyer and the seller. The buyer chooses the delivery date and informs the seller. The seller will convey the requirements TO TO, who will decide the delivery schedule according to all the requirements of the buyer. Oman only delivers Oman crude oil, with a daily output of 980,000 barrels.
Mina Afaha Port is located on the northern coast of Oman (full name: Sultanate of Oman), near the southwest side of Gulf of Oman, and is the largest crude oil export port in Oman. There are mainly three mooring buoy berths in the port area, of which the largest berth can berth 600,000 tons of giant oil tankers. The loading and unloading equipment has an oil pipeline with a diameter of 203 to 10 16mm, and the underwater pipeline is14000m long, which can be connected to the oil transportation center. The loading and unloading capacity is 9000 tons of crude oil per hour and 3000 tons of fuel per hour. It mainly exports crude oil and refined oil, and supplements fuel oil for heavy ships.
1.INE Shanghai crude oil futures
Shanghai crude oil futures contract was listed in Shanghai International Energy Exchange Center (INE), a wholly-owned subsidiary of Shanghai Futures Exchange, on March 26th, with 20 1000 barrels per hand, which is the first domestic commodity futures open to overseas traders. The target of Shanghai crude oil futures contract is medium sulfur crude oil (including medium sulfur crude oil and medium high sulfur crude oil). When the contract expires, the delivery mode of the contract is standard physical delivery. The unexpired contract allows customers to apply for cash back, which must be a historical position and before the last two trading days. Shanghai crude oil futures take the bonded oil depot designated by the southeast coast of China as the delivery place, and the cargo certificate is the standard warehouse receipt of the bonded oil depot that meets the requirements of the exchange.
Shanghai crude oil futures delivery uses six kinds of Middle East crude oil and 1 domestic crude oil, namely Oman crude oil, Dubai crude oil, Upper Zakum crude oil, Qatar Offshore Oil, Basra light oil, Masila crude oil and domestic Shengli crude oil. According to various statistics, in 20 15, among the six crude oils in the Middle East, Oman crude oil produced 980,000 barrels a day, Dubai crude oil produced 50,000 barrels a day, Shanghai crude oil produced 590,000 barrels a day, Basra light oil produced 2.5 million barrels a day, Qatar offshore oil produced 654.38 million barrels a day, and Ape crude oil produced 30,000 barrels a day, making a total of six kinds.
The benchmark quality of Shanghai crude oil futures delivery oil is API degree 32 and sulfur content is 1.5%. On this basis, the minimum API value and maximum sulfur content of each oil are specified.
Comparison of delivery systems
As can be seen from the above introduction, each crude oil futures contract has its own characteristics. Shanghai crude oil futures are different from WTI, Brent and Oman in contract object, price type, delivery method and settlement price. For comparison, the key points of delivery methods of WTI, Brent, Oman and Shanghai crude oil futures are as follows, as shown in Table 5.
Comparative analysis of delivery rate
Because ICEBrent crude oil futures are delivered in cash, the positions of CMEWTI and DMEOman crude oil futures contracts after the closing of the last trading day are taken as the delivery volume.
On the last trading day of CMEWTI contract, the position increased from 64 lots (64,000 barrels) in June of 1983 to February of 12963 lots (129.63 million barrels) in February of 1986, and the delivery rate was about 25%. 1987 to 1990, the position on the last trading day ranged from 2000 to 7000 lots, and the delivery rate was about10%; On the last trading day from 199 1 to 200 1, the positions held were relatively large, with an average of more than 1000 lots per month, and the highest contract reached 32,564 lots (32.564 million barrels) in June of 196, with delivery. Since 2002, the positions held on the last trading day are basically within 654.38+00000 lots, and the delivery rate is about 5% (except for February 2065.438+02 and June 2065.438+03, the positions held on the last trading day reached 25898 lots and 18562 lots respectively), while the positions held on the last trading day reached 25898 lots and18562 lots respectively.
DMEOman contract began trading in June 2007, and the delivery rate was basically above 90%, which was almost close to the spot trading market. On the last trading day, its positions were initially 4,006 lots (4,006,000 barrels), with the lowest being 26 17 lots (2,665,438+7,000 barrels) in September 2007 and the highest being 20 1 lot (2,2501lot) in March 2005.
Summary and prospect
As a newly listed crude oil futures contract, Shanghai crude oil futures have many delivery modes and rules different from WTI, Brent and Oman crude oil futures, and there are many breakthroughs and innovations. However, a successful futures market must be based on the spot market if it wants to effectively play the two basic functions of price discovery and hedging. Even for Brent crude oil futures settled in cash, futures and spot market are closely linked. Therefore, if Shanghai crude oil futures want to become the benchmark of crude oil pricing in China and even the Asia-Pacific region, we should first cultivate the spot market of crude oil in the coastal areas of China, so that Shanghai crude oil futures can be more closely linked with the spot market; Secondly, actively introduce foreign participants to adapt to the characteristics of crude oil international trade; The third is to promote the further opening of the domestic crude oil market and encourage more industrial customers to use the futures market to manage risks. It is believed that with the deepening of China's financial development and reform and opening up, crude oil futures will surely make due contributions to China's "Belt and Road" strategy, sustainable economic development and even the great rejuvenation of the Chinese nation.