LTG
Goldrock to share with you the main provisions of the risk management of stock index futures on the China Financial Futures Exchange:
(1) Margin system
The deposit is divided into settlement reserve and transaction deposit.The trading margin standard stipulates in futures contracts.
In the process of futures contract trading, if one of the following situations appear, the exchange can adjust the trading deposit standard according to market risk and report to the China Securities Regulatory Commission:
① There is a continuous rising limit in the same direction;
② Encourage the statutory holiday of the country;
③ The exchange believes that the market risk is significantly increased;
④ The exchange considers other situations.
When adjusting the futures contract trading deposit standard, the exchange shall settle all the positions of the contract in accordance with the new transaction margin standard at the time of settlement on the same day.If the deposit is insufficient, it should be added before the market opened on the next trading day.
(2) Price restriction system
The price restriction system is divided into a fuse system and a duration system.Daily melting and rising daily limit are set by the exchanges, and the exchange can adjust the melting and ups and daily limit of futures contracts according to market conditions.
The melting range of the stock index futures contract is 6%of the settlement price of the previous trading day.
After the daily opening, the declaration price of the stock index futures contract is touched and the fuse price lasted for one minute. The contract starts the fusion mechanism.
① Within ten minutes after the melting mechanism was started, the contract's sales declaration continued to match the transaction in the fuse price interval.Ten minutes later, the fuse mechanism was terminated, and the price of the rising and falling stops came into effect.
② less than ten minutes after the melting mechanism is started, the market suspension of transactions, the fusion mechanism is terminated, and after the transaction is restarted, the price of the rising and falling stops takes effect.
③ Within thirty minutes before the closing of the market, the fusion mechanism is not started.If the fuse mechanism has been started, it will continue to the end of the melting period.
④ Start the fusion mechanism only once a day.
Before the stock index futures were listed, the CICC has modified a number of trading rules, and the fusion mechanism has been canceled, and the limits of the positions have been greatly reduced.
(3) Warehouse limitation system
Restrictions refer to the maximum amount of positions held by the exchanges to hold a certain contract calculated based on a unilateral calculation.
The same investor opens a position at different members, and its positions in a certain contract shall not exceed the position limit of an investor.
The specific provisions of members and investors' stock index futures contract holdings are as follows:
① The absolute amount of positions in the unilateral position of investors' single contract, and the position limit is 100 hands.
② If the total positioning of a certain contract (unilateral) exceeds 100,000 hands, the settlement member of the settlement member shall not exceed 25%of the total position of the contract.
③ The members or investors who obtain the value -preserving quota of the set period are not subject to this.
If members and investors exceed their positions, they shall not open positions in the same direction.
(4) Large household report system
If investors' positions reaches the standards stipulated in the exchange, investors shall report to the exchange through entrusted members.Exchange can formulate and adjust the standards for positions according to market risk conditions.
If an investor's position reaches the exchange standard, it shall report to the exchange before the market is closed on the next trading day.The exchanges require investors to supplement the report.
Investors who reach the standard of the exchange report should provide the following materials:
① The "Investor Large Report Form" includes the member name of the member number investor name and the transaction coding contract code.
② Explanation of the source of funds;
③ The actual controllers of the legal person investor;
④ account opening materials and settlement documents on the same day;
⑤ The exchange requires other materials provided.
