PTA futures implement margin system. The minimum trading margin for PTA futures contracts is 6% of the contract value.

With the approval of China Securities Regulatory Commission, the Exchange may adjust the minimum trading margin standard.

PTA futures contract trading margin is managed in three stages: general month (one month before delivery month), one month before delivery month and delivery month.

Generally speaking, PTA futures contracts adopt different trading margin ratios according to different positions. See the table below for details:

Average monthly trading margin ratio

Bilateral position (n ten thousand lots) N≤404060

Trading margin ratio is 6%9% 12% 15%

PTA futures contracts one month before the delivery month adopt different trading margin ratios in the early, middle and late days respectively. See the table below for details:

Trading margin ratio of one month before the delivery month.

Early, middle and late days

8% 15%20%

If the positions of brokerage members, non-brokerage members and investors (including hedging positions and arbitrage positions) reach 65,438+05%, 65,438+00% and 5% of the unilateral positions in the market respectively in the latest delivery month, the normal margin ratio will increase by 5 percentage points.

From the settlement on the trading day before the delivery month, all members who hold the delivery month contract must pay a trading deposit of 30% of the contract value.

Whoever fails to pay the trading margin on time, the trading ownership will forcibly close the position of the monthly delivery contract held by him until the margin can maintain the current position level.

In the process of trading, when the position of a contract reaches a certain level of the total position, the newly opened contract will be charged according to the trading margin standard of that level. After the transaction, the exchange will collect the trading margin corresponding to the total position for all positions.

When a futures contract has a price limit, the trading margin of the futures contract shall be implemented in accordance with the relevant provisions of Chapter III of these Measures.

When the contract price changes according to the settlement price within one month, the cumulative increase or decrease (n) of four consecutive trading days (namely, D 1, D2, D3 and D4) is three times as high as that stipulated in the contract, and the cumulative increase or decrease (n) of five consecutive trading days (namely, D 1, D2, D3, D4 and D5) reaches the contract. The increase of the trading margin shall not be higher than 3 times of the trading margin agreed in the contract.

The calculation formula of n is as follows:

N=(Pt—P0)/P0× 100%t=4，5

P0 is D 1 the settlement price of the previous trading day.

Pt is the settlement price of t trading days, t = 4,5.

The Exchange shall report the above measures to the China Securities Regulatory Commission in advance.

When the futures contract is abnormal, the exchange may adjust the trading margin ratio according to the prescribed procedures.

When the contract market risk of a product increases obviously in a certain month, the exchange may increase the trading margin for some or all members and investors in the same proportion or in different proportions according to market conditions.

In case of a long holiday, the Exchange may adjust the margin standard of contract trading and the range of price limit before the market is closed.

At the same time, if the provisions of these Measures on adjusting the trading margin are met, the trading margin shall be charged according to the larger value among the specified trading margin values.

Price limit

The exchange implements the price fluctuation board system, and the exchange sets the daily maximum price fluctuation range.

The limit range, trading margin and compulsory lightening of the new contract on the closing date and delivery month are not subject to the following provisions in this chapter.

When PTA trades at the price limit, the principle of liquidation is to close the position, and time is the priority.

When a PTA futures contract only has a buy (sell) with a stop price within 5 minutes before the closing of a trading day, a sell (buy) without a stop price is declared, or a deal is made as soon as a sell (buy) is declared, but no stop price is set, which is called a unilateral market without a stop price (hereinafter referred to as a unilateral market).

If there is a unilateral market on a trading day, the trading margin ratio of the futures contract will be increased by 50% at the time of settlement on that day. The price range of the second trading day will automatically increase by 50% on the basis of the original price range (only in the stop direction).

If there is no unilateral market in the same direction on the second trading day, the third trading day will automatically return to the price range and margin standard stipulated in the futures contract; If there is a unilateral market in the same direction on the second trading day, the margin ratio will remain unchanged at the time of settlement on that day and the next trading day, and the price range of the next trading day will remain unchanged. If there is no unilateral market in the same direction on the third trading day, the price range and margin ratio stipulated in the futures contract will be implemented on the fourth trading day.

If there is a unilateral market in the same direction for three consecutive trading days, the exchange may close for one day and have the right to suspend the withdrawal of funds from some or all members.

According to the market situation, the firm can also choose to take the following measures to reduce risks:

(1) Forced lightening. The exchange will declare all open positions with unit position loss greater than or equal to 6% of the settlement price of the trading day at the daily limit price, and automatically match the daily limit price with the profitable positions of the contract according to the prescribed ways and methods. Before compulsory lightening, investors (including investors who are not brokerage members and brokerage members) automatically hedge their positions.

(2) If there is a settlement or delivery risk in the market, which is having or will have a significant impact, the Exchange may decide and announce the choice to take unilateral or bilateral measures, with the same or different proportions, and some or all members may increase the trading margin, suspend some or all members from opening new positions, adjust the ratio of price limit, restrict cash withdrawal, close positions within a time limit, forcibly close positions, postpone the delivery date, and extend the delivery date. , in order to resolve market risks, but the adjusted price limit ratio shall not exceed 20%. After the exchange announces the adjustment of the margin level, if the margin is insufficient, it shall make up for it within the specified time.

The specific operation method of forced lighting is as follows:

(1) The number of compulsory positions reduction is the sum of all declared positions closed after the closing of the market on the day of compulsory positions reduction, and the loss per unit position of investors (non-brokerage members, the same below) in this contract is greater than or equal to 6% of the settlement price on the trading day. When the investor's position is less than the amount reported in the closing order due to the automatic hedging of the investor's two-way position, the system will automatically adjust the closing position.

Calculation method of profit and loss of investor's unit position;

Total profit and loss of investors' positions in this contract (RMB)

Profit and loss of investors' positions in contract units = ————————————————————————————————————————.

Investor's position in this contract (hand)

(2) Determination of the liquidation scope of profitable investors:

Speculative positions (including intertemporal arbitrage positions that have not received warehouse receipts) and hedging positions whose profit per unit position of investors is greater than or equal to 2 times of the contract price range calculated by the above method are included in the liquidation scope. Positions corresponding to warehouse receipts, positions corresponding to arrival of goods and positions corresponding to inter-period arbitrage with received warehouse receipts are not forced to lighten up.

(3) Principles and methods of liquidation distribution:

1. Closing distribution principle:

(1) Within the scope of liquidation, it is divided into four levels according to the size of profit and the difference between speculation and hedging, and distributed step by step.

First, it is allocated to speculative positions whose profit per unit position is greater than or equal to the price range stipulated in the contract (hereinafter referred to as speculative positions, with a profit of 2 times).

Secondly, it is allocated to speculative positions with profits greater than or equal to the contract price range 1 times (hereinafter referred to as speculative positions with profits 1 times).

Redistribution to speculative positions with profit greater than or equal to the contract price range 1 times (hereinafter referred to as speculative positions with profit less than 1 times).

Finally, it is allocated to the hedging position with unit position profit greater than or equal to 2 times the contract price range (hereinafter referred to as the hedging position with 2 times the profit).

(2) The distribution ratio of the above levels is based on the ratio of the declared liquidation quantity (remaining declared liquidation quantity) to the closeable profit positions at all levels.

2. Distribution methods and steps of liquidation:

If the number of speculative positions with twice profit is greater than or equal to the declared closed position, the declared closed position will be distributed to speculative investors with twice profit according to the ratio of the declared closed position to the speculative positions with twice profit.

If the number of speculative positions with twice the profit is less than the declared liquidation number, the actual liquidation number will be distributed to the investors who declare liquidation according to the ratio of the number of speculative positions with twice the profit to the declared liquidation number. Then the remaining declared positions are allocated to speculative positions with profit 1 times according to the above allocation method; If there is surplus, it will be allocated to speculative positions, and the profit will be less than 1 times; If there is a surplus, it will be allocated to the hedging position with 2 times the profit; If there is any surplus, it will not be distributed.

3. When declared closed positions are evenly distributed to profitable speculative investors, the following principles should be followed:

Firstly, the liquidation ratio is calculated according to the declared liquidation quantity and the positions held by profitable speculative investors. Secondly, multiply the total position of each investor by the specified proportion to calculate the number of positions closed by each investor. When the number of investors' positions is decimal, round it up; If it is less than the minimum order quantity after rounding, the integer multiple of the minimum order quantity will be taken upwards. Then choose the investor's position according to the order of holding time from long to short. Finally, all the selected investor positions will be hedged against the declared positions in the order from long position to short position.

The economic losses caused by the liquidation specified in this article shall be borne by the members and their investors.

After the exchange forcibly reduces its positions, the price range and margin of the next trading day shall be implemented in accordance with the provisions of the futures contract.

After the Exchange adopts the risk mitigation measures listed in Item (2) of Paragraph 2 of Article 18 of these Measures, if there is no one-sided market in the same direction in the futures contract on that day, the ratio of the price limit of the futures contract to the trading margin will return to the normal level in the next trading day. If the market risk has not been resolved, the exchange will declare it as an abnormal situation and take risk control measures according to relevant regulations.

Position restriction system

The exchange implements the position limit system. Limited position refers to the maximum number of speculative positions in a contract that members or investors can hold according to the regulations of the exchange.

The warehouse quota shall implement the following basic systems:

(1) PTA contracts in a certain month have different position limits at different stages of the trading process, and the contract position limits entering the delivery month are strictly controlled;

(2) Controlling the scale of market positions by restricting the combination of members and investors' positions.

(3) The hedging trading position is subject to the examination and approval system, and the position is not restricted.

The number of limited positions in PTA contracts decreases in turn according to the three stages of listing: the general month, the month before the delivery month and the delivery month.

Generally speaking, the exchange will limit the positions of PTA futures contracts according to brokerage members, non-brokerage members and investors.

The ratio of the maximum unilateral position of PTA to the market unilateral position or absolute position limit in general months.

Brokerage member non-brokerage member investor

1.20,000 lots of unilateral positions ≤ 15%≤ 10%≤5%.

Unilateral positions 1.2000 lots or less 1.8000 lots1.2000 lots and 6000 lots.

One month before the delivery month, the exchange will restrict the unilateral positions of brokers, non-brokers and investors on PTA contracts, as well as unilateral positions in the early, middle and late stages.

Maximum unilateral position (hand) in the month before the delivery month.

Brokerage member non-brokerage member investor

Morning, noon, evening, morning, evening, morning, evening.

16000 120008000800060004000400030002000

In the delivery month, the exchange will limit the absolute amount of unilateral positions of PTA contracts according to brokerage members, non-brokerage members and investors. The specific quantities are as follows:

Maximum unilateral position in delivery month (hand)

Brokerage member non-brokerage member investor

40002000 1000

All positions held by all investors in the name of a brokerage member (long positions and short positions are calculated separately, the same below) shall not exceed the position limit of the member.

The same investor has multiple trading codes among different securities brokerage members, and the total number of all positions in each trading code shall not exceed the position limit of one investor.

According to the application of a futures brokerage company, the Exchange adjusts the position limit according to its registered capital and operating conditions. The amount of warehouse limit consists of three parts: base, credit increase and business increase.

(1) base number: it is a relatively fixed part of the total position limit of brokerage members, and it is also the lowest level of position limit, which is stipulated by the exchange. See Articles 24, 25 and 26 of these Measures for details;

(2) Credit enhancement: refers to the part of the total position limit of brokerage members that can be changed according to the registered capital; With the registered capital of 30 million yuan as the base, on this basis, for every 5 million yuan increase in the registered capital, the amount of limited positions will be correspondingly increased by10% of the base; The maximum value of credit increment is equal to the cardinal number;

(3) Business increase: it is the part of the total position limit of brokerage members that can be changed according to business operation; Based on the annual transaction volume of 4 billion yuan and investor 10, several grades are set up, and the quota increase coefficient of each grade is stipulated respectively. The annual transaction amount and the number of investors must reach the corresponding annual transaction amount and the total number of investors at the same time when applying the increase factor of each grade. The warehouse limit that can be increased for each level is the base multiplied by a certain coefficient of that level. The maximum value of service increment is equal to the cardinality.

In the first half of the year, brokerage members shall provide the Exchange with documents proving the registered capital at the end of last year and statistical data of investors' accounts before June 65438+1October 65438+. The Exchange counts the trading volume of brokerage members from 65438+1 October1to 65438+February 3 1 last year, and after verifying the position limit, informs the brokerage members before 65438+1October 20, and makes an announcement; Limited positions are applicable to all kinds of futures contract transactions from June 5438+1October 2/KLOC-0 to July 20 (inclusive).

In the second half of the year, brokerage members shall provide the documents of registered capital on June 30th of that year and the statistical data of investors' accounts to the Exchange before July15th of that year. The Exchange shall make statistics on the trading volume of brokerage members from July 1 day of last year to June 30th of that year, and after verifying the amount of limited positions, notify the brokerage members before July 20th and announce it to the public; Restricted positions are applicable to the trading of various futures contracts from July 2 1 day of the current year to June 20 (inclusive) of the following year.

If the supporting documents and statistics are not provided at maturity or the supporting documents and statistics provided are invalid, the amount of registered capital and the number of investors shall be based on the base.

The exchange's adjustment of the position limit must be approved by the board of directors and reported to the China Securities Regulatory Commission for the record before implementation.

The number of positions held by members or investors shall not exceed the position limit set by the exchange. For members or investors who exceed the position limit, the Exchange will implement compulsory liquidation according to relevant regulations.

If an investor has multiple trading codes in different brokerage members, and the total position exceeds the limit, the exchange shall designate the relevant brokerage members to forcibly close the position of the investor.

If the sum of all investors' positions under the name of a brokerage member exceeds the position limit of the member, the brokerage member shall, in principle, divide the difference between the total number and the position limit by the proportion of the total number, and the brokerage member shall supervise its investors to reduce their positions within the specified time; If the position should be reduced but not reduced, the exchange will carry out compulsory liquidation in accordance with relevant regulations.

Main reporting system

The exchange implements a large household declaration system. When the speculative position of PTA position contract of a member or investor reaches more than 80% (inclusive) of the speculative position limit stipulated by the exchange, the member or investor shall declare his capital and position to the exchange, and the investor shall declare it through the brokerage member. The exchange may change the level of position reporting according to the market risk situation.

Members and investors who have reached the reporting limit of the exchange shall voluntarily report to the exchange before the next trading day 15: 00. If members and investors who have reached the reporting limit need to report again or supplement their reports after fulfilling their reporting responsibilities and obligations for the first time, the Exchange will notify the relevant members.

Article 37 A brokerage member who reaches the reporting limit of the Exchange shall provide the following materials to the Exchange:

(1) Fill in the complete report of large brokerage members of Zhengzhou Commodity Exchange, including member name, member number, contract code, existing positions, opening time, position deposit, available funds, number of investors holding positions, expected delivery quantity, application delivery quantity, etc.

(2) explanation of the source of funds;

(3) Names, trading codes, positions, account opening information and settlement documents of the day of the top five investors;

(4) Other materials required by the Exchange.

Non-brokerage members who have reached the reporting limit of the Exchange shall provide the following materials to the Exchange:

(1) Fill in a complete report of large non-broker members of Zhengzhou Commodity Exchange, including member name, member number, contract code, existing positions, opening time, position nature, position deposit, available funds, position intention, expected delivery quantity and applied delivery quantity;

(2) explanation of the source of funds;

(3) Other materials required by the Exchange.

Investors who reach the reporting limit of the exchange shall provide the following materials:

(1) Fill in a complete report of large investors of Zhengzhou Commodity Exchange, including member name, member number, investor name and code, contract code, existing positions, opening time, position nature, position margin, available funds, position intention, expected delivery quantity and applied delivery quantity, etc. ;

(2) explanation of the source of funds;

(3) the account opening information and settlement documents of the day;

(4) Other materials required by the Exchange.

Brokerage members shall conduct a preliminary examination of the relevant materials provided by investors who have reached the reporting limit of the exchange, and then hand them over to the exchange. Brokerage members shall ensure the authenticity of the materials provided by investors.

The Exchange will check the materials provided by members or investors from time to time.

An investor has multiple trading codes in different brokerage members, and the total position of each trading code reaches the reporting limit. The relevant materials that investors should declare should be submitted through the securities brokerage member with the largest position.

Compulsory liquidation system

The exchange implements a compulsory liquidation system. Forced liquidation refers to the compulsory measures taken by the exchange to close the relevant positions when members and investors violate the rules.

When a member or investor is under any of the following circumstances, the ownership of the transaction will be forcibly closed:

(1) The balance of the settlement reserve is less than zero and has not been replenished within the specified time;

(2) The position exceeds the position limit.

(3) Being punished by the exchange for compulsory liquidation due to violation of regulations;

(four) according to the emergency measures of the exchange should be forced to close the position;

(5) Other positions that should be closed by force.

The exchange implements the principle of compulsory liquidation:

Before the forced liquidation, members shall liquidate their positions themselves within 30 minutes after the opening of the market, unless otherwise stipulated by the Exchange. If the member fails to complete the execution within the time limit, it shall be enforced by the exchange.

(a) before the forced liquidation, the member units closed their positions by themselves;

1. In case of items (1) and (2) of Article 44, the member units shall liquidate their positions by themselves in accordance with the provisions of the Exchange.

2. Items (3), (4) and (5) of Article 44 shall be determined by the Exchange.

(2) Forced liquidation of the Exchange:

1. The Exchange will carry out compulsory liquidation according to the liquidation list provided by members.

2. If a member fails to provide a liquidation list, it belongs to the forced liquidation in Item (1) of the preceding article: the positions that need to be closed by force shall be determined by the Exchange according to the principles of speculation first, arbitrage later and hedging later. According to the order of the total positions of contracts after the closing of the previous trading day, the contracts with large positions shall be selected as the contracts for forced liquidation first, and then determined according to the net position loss of member investors. If there are multiple members who need to close their positions by force, the members who need to increase the margin will close their positions first in the order of increasing the margin.

3. If the member fails to provide the liquidation list, it shall be forced to liquidate the position according to Item (2) of the preceding article: it shall be conducted according to the principle of forcing investors to oversell first and then forcing members to oversell. If there is a backlog of investors, the backlog of investors will be forced to close their positions in the order from large to small; If there is more than one overstocked member, the order of overstocked members shall be taken as the object of compulsory liquidation; For the forced liquidation of a specific member, the Exchange determines the liquidation number of relevant investors according to the ratio of the backlog positions of members to the speculative positions of members, and forcibly liquidates investors according to the order of the positions from large to small.

4. If a member fails to provide a liquidation list, it shall be compulsory liquidation in items (3), (4) and (5) of the preceding article. The compulsory liquidation position shall be determined by the exchange according to the specific conditions of the members and investors involved.

If a member meets the conditions in Items (1) and (2) of the preceding article, the Exchange shall first determine the forced liquidation according to the conditions in Item (2), and then determine the forced liquidation according to the conditions in Item (1).

If the exchange fails to implement the above principles due to market reasons, the ownership of the transaction will be forced to close the position.

Execution of forced liquidation:

(1) notification. Article 44 For items (1) and (2), the settlement documents provided by the Exchange in the member service system shall prevail; In case of forced liquidation in items (3), (4) and (5) of Article 44, the Exchange will issue a notice of forced liquidation to relevant members in the form of "notice of forced liquidation".

(2) Implementation and confirmation.

1. If the time limit for self-liquidation of members is exceeded and the execution is not completed, the Exchange will directly execute the compulsory liquidation of members at the market transaction price at the special terminal for compulsory liquidation according to the principle specified in the preceding article.

2. After the compulsory liquidation, the Exchange shall record the execution results and file them; The result of forced liquidation is sent with the transaction record of the day, and relevant members can obtain it through the member service system;

3. The price of forced liquidation is formed through market transactions.

If the forced liquidation cannot be completed on the same day due to the price limit or other market reasons, the Exchange will deal with the member accordingly according to the settlement results.

Due to price limit or other market reasons, it is impossible to carry out compulsory liquidation in the contract month with the largest position of the relevant member, and then the contract month with the smaller position of the member is selected in turn for compulsory liquidation; If the forced liquidation can only be delayed, the resulting losses will still be borne by the members or investors; If the liquidation is not completed, the holder shall continue to bear the responsibility of holding positions or the obligation of delivery.

The profits generated by the compulsory liquidation of the exchange shall be confiscated in accordance with the relevant provisions; The losses caused by forced liquidation shall be borne by the person directly responsible.

The losses caused by the investor's illegal forced liquidation shall be borne by the brokerage member who opened the account first, and then recover from the investor himself.

Risk early warning system

The exchange implements a risk early warning system. When the Exchange deems it necessary, it may take one or more measures, such as requesting to report the situation, reminding in conversation, and issuing a risk warning letter, independently or simultaneously. To warn and resolve risks.

Under any of the following circumstances, the Exchange may meet with the designated member executives or investors to remind them of the risks, or require the members or investors to report the situation:

(1) The futures price is abnormal;

(2) Abnormal transactions of members or investors;

(3) Abnormal positions held by members or investors.

(4) The member's funds are abnormal;

(5) The member or investor is suspected of violating the rules or breaching the contract;

(6) The Exchange accepts complaints involving members or investors;

(seven) members who participated in the investigation by the state law enforcement organs;

(8) Other circumstances identified by the Exchange.

If the exchange uses the telephone reminder method when implementing the telephone reminder, it needs to keep the telephone recording; If you talk face to face, you need to save conversation record.

Where the Exchange requires members or investors to report information, the relevant reporting methods and contents shall refer to the large-sum reporting system.

If it is found that a member or investor is suspected of violating the rules and the trading position is risky, the Exchange may issue a written risk warning letter to the member or investor.

Under any of the following circumstances, the Exchange may issue a risk warning letter to all or part of its members and investors:

(1) The futures price is abnormal;

(2) There is a big gap between futures price and spot price;

(3) There is a big gap between domestic futures prices and international market prices;

(4) Other abnormal circumstances identified by the Exchange.