The risk management system implemented by CICC mainly includes:
1. Margin system;
2. Price limit system;
3. Position limit system;
4. Large position reporting system;
5. Compulsory liquidation system;
6. Compulsory burden reduction system;
7. Settlement guarantee system;
8. Risk early warning system.
(A) the deposit system
Like other commodity futures, stock index futures also implement margin system, which is one of the characteristics of futures trading. The "leverage effect" magnifies the amount that investors can trade several times, and also increases the risks that investors bear.
Anyone who participates in stock index futures trading, whether the buyer or the seller, must pay the trading margin according to the regulations of the exchange, and decide whether to add the margin according to the price change. Therefore, the trading margin is the funds already occupied by the contract. At present, CICC stipulates that for hedging and non-hedging transactions, the Shanghai and Shenzhen 300 and SSE 50 stock index futures are 10% of the contract value, and the CSI 500 stock index futures are 15% of the contract value. It should be reminded that in order to control the risk of customers more strictly, futures companies generally increase the margin ratio stipulated by CICC by 0 to 3 percentage points.
According to the margin rate, investors can calculate the margin required to buy and sell the first-class stock index futures, allocate and manage funds more scientifically, and control trading risks.
In addition, CICC also stipulates four special circumstances, and the exchange can adjust the trading margin according to the market risk:
1. Futures trading has price limit, and there is no unilateral continuous quotation (unilateral market).
What is a unilateral city? It refers to the situation that there is only a buy (sell) declaration with a stop-loss price within 5 minutes before the contract closes, and there is no sell (buy) declaration with a stop-loss price, or a deal is made as soon as there is a sell (buy) declaration, but no stop-loss price is set. In other words, the daily limit (down limit) board did not open 5 minutes before the market closed.
2. In case of national holidays.
Due to the unsynchronized holidays at home and abroad, the domestic stock market may be closed during the long holiday, while the foreign stock market will continue to open. If there is a major event during the holiday, it may cause the risk of unilateral opening after the holiday, and the exchange may take measures to temporarily raise the margin standard. This way of preventing market risks is very common in the commodity futures market.
3. The Exchange believes that the market risk has changed significantly.
4. Other circumstances deemed necessary by the Exchange.
(B) the price system
Once the unilateral market continues to appear, CICC will take risk control measures according to the market conditions, including: raising the trading margin standard, restricting the opening of positions, restricting the withdrawal of funds, restricting the closing of positions, suspending trading, adjusting the range of price limit, compulsory lightening positions or other risk control measures.
The ownership of the transaction takes the above measures, but it is not necessary to take them. At the same time, the Exchange may take one or more of the above risk control measures.
At present, the daily fluctuation range of CICC's stock index futures contract is 10% of the settlement price of the previous trading day, which is different from the stock market's closing price of the previous trading day. On the last trading day, in order to make the price fluctuation of stock index futures contracts have enough free space, the price limit is 20%.
(3) Position limit system
The position limit refers to the maximum number of customer positions stipulated by the exchange. When the same customer opens positions in different futures companies, the total position of the customer shall not exceed the position limit of the customer.
The implementation of the position limit system is a system in which the exchange restricts investors' positions in order to prevent market risks from being excessively concentrated on a few traders and prevent market manipulation.
The position limit is mainly for speculative trading, and the positions of hedging and arbitrage trading are otherwise stipulated, which can meet the spot requirements of CICC. At present, the position limit of IF is 5000 lots, and that of IH and IC is 1200 lots.
(4) Large-scale position reporting system
According to the provisions of CICC, if a customer's position meets the reporting standards set by the exchange or the exchange requires it to be reported, it should be reported to the exchange within the time set by the exchange.
By implementing the large account reporting system, CICC can focus on monitoring investors with large positions and understand their position trends and intentions, which is of positive significance for effectively preventing market risks.
(5) compulsory liquidation system
Forced liquidation refers to a compulsory risk control measure that the exchange or futures company implements forced liquidation of investors' positions according to relevant regulations. The implementation of the compulsory liquidation system can stop the expansion and spread of risks in time, and it is a last resort to control risks in a disciplined way.
CICC listed several situations of compulsory liquidation:
1. The customer's position exceeds the position limit standard and fails to close the position before the end of the first quarter;
2. Forced liquidation by the exchange due to violation of rules and regulations;
3. According to the emergency measures of the Exchange, the liquidation shall be forced;
4. Other circumstances under which compulsory liquidation is required by the Exchange.
The price of forced liquidation is formed through market transactions. Usually the market price is entrusted to close the position.
(6) Forced lighting system
Forced lightening and forced liquidation are two different concepts. The compulsory liquidation system is aimed at individual investors or futures companies to deal with illegal positions or insufficient margin one by one, while the compulsory lightening system is aimed at the risk control means of all investors who hold reasonable positions and have no illegal positions or insufficient margin in the market.
The compulsory lightening system refers to the emergency measures taken by CICC to quickly and effectively resolve the market risks and prevent a large number of members from defaulting when there are particularly serious risks such as the market going up and down in the same direction for two consecutive trading days.
(7) Settlement guarantee system
Settlement guarantee refers to the * * * deposit paid by settlement members in accordance with the provisions of the exchange to deal with the default risk of settlement members.
(8) Risk early warning system
The risk warning system refers to one or more measures that CICC considers necessary, such as requiring futures companies and institutional investors to report the situation, reminding them in conversation, warning them in writing, issuing a risk warning announcement, etc., to warn and resolve risks separately or simultaneously. This system is mainly aimed at the bad trading behavior of futures companies and institutional investors.
For small and medium-sized retail investors, due to limited financial strength, there is no need to worry about the number of positions hitting the limit. The position limit system, large position declaration system and risk early warning system are obviously aimed at large institutional customers and have a protective effect on small and medium-sized retail investors.
Generally speaking, the formulation of stock index futures trading rules is based on market risk control. Among them, margin system, compulsory liquidation system and compulsory lightening system are the most basic and important systems in a series of risk control systems. The root of futures trading risk comes from the leverage effect of margin trading, and forced liquidation or forced lightening is the last line of defense to control futures trading risk. This reminds investors to pay attention to the conditions of compulsory liquidation or compulsory lightening, and avoid being forced to liquidate for various reasons in the transaction, resulting in undue losses.