(1) security deposit system
Margin is divided into settlement reserve and trading margin. The trading margin standard is stipulated in the futures contract.
In the process of futures contract trading, under any of the following circumstances, the exchange may adjust the trading margin standard according to the market risk and report to the China Securities Regulatory Commission:
(1) continuously rises and falls in the same direction;
② In case of national statutory holidays;
③ The Exchange believes that the market risk has increased significantly;
④ Other circumstances deemed necessary by the Exchange.
Where the trading margin standard of a futures contract is adjusted, the exchange shall settle all positions of the contract in accordance with the new trading margin standard at the time of settlement on the same day. If the margin is insufficient, it shall be added before the market opens on the next trading day.
(2) price restriction system
The price limit system is divided into fuse system and price limit system. The range of daily fuse and price limit shall be set by the Exchange, and the Exchange may adjust the range of fuse and price limit of futures contracts according to market conditions.
The fuse range of stock index futures contracts is 6% of the settlement price of the previous trading day, and the price limit range is10% of the settlement price of the previous trading day. There is no price limit on the last trading day.
After the daily opening, the declared price of the stock index futures contract touches the fuse price for one minute, and the contract starts the fuse mechanism.
(1) Within ten minutes after the fuse mechanism is started, the contract transaction declaration will continue to match the transaction within the fuse price range. After ten minutes, the fuse mechanism is terminated and the price of the daily limit board takes effect.
② If the market suspends trading less than 10 minutes after the fuse mechanism is started, the fuse mechanism will be terminated, and the price fluctuation ceiling price will take effect after the transaction is restarted.
(3) Do not start the fuse mechanism within 30 minutes before closing. If the fuse mechanism has been started, continue to perform until the end of the fuse period.
④ Only start the fuse mechanism once a day.
Before the listing of stock index futures, CICC has revised a number of trading rules. At present, the fuse mechanism has been cancelled and the position limit has been greatly reduced.
(3) warehouse restricted system
Limited position refers to the maximum amount of a contract position unilaterally calculated by members or investors according to the provisions of the exchange.
When the same investor opens positions in different members, the total position of a contract shall not exceed the position limit of one investor.
The position limits of members and investors in stock index futures contracts are as follows:
(1) An investor's unilateral position in a single contract is subject to absolute limit, and the position limit is 100 lots.
② If the total contract position (unilateral) exceeds 654.38+ million lots, the total position (unilateral) of a clearing member in the contract shall not exceed 25% of the total contract position.
(3) The positions held by members or investors who have obtained the hedging quota are not subject to this restriction.
Members and investors who exceed the position limit may not open positions in the same direction.
(4) Large household reporting system
Where an investor's position meets the position declaration standards stipulated by the Exchange, the investor shall declare to the Exchange through the entrusted members. The Exchange may, according to the market risk status, formulate and adjust the reporting standards for positions.
Investors whose positions meet the reporting standards of the exchange shall report to the exchange before the close of the next trading day. The ownership of the transaction requires investors to make supplementary reports.
Investors who meet the reporting standards of the Exchange shall provide the following materials:
(1) A report form for large investors, including member name, member number, investor name and trading code, contract code, positions, trading margin and available funds;
(2) explanation of the source of funds;
③ Information of the actual controller of the legal person investor;
(4) the account opening information and settlement documents of the day;
⑤ Other materials required by the Exchange.
(5) compulsory liquidation system
Forced liquidation refers to the compulsory liquidation measures taken by the exchange on the positions of member investors in accordance with relevant regulations.
Under any of the following circumstances, the Exchange will forcibly close its positions:
① The balance of member settlement reserve fund is less than zero, and it has not been replenished within the prescribed time limit;
(2) The position exceeds the position limit standard and fails to close the position within the prescribed time limit;
(3) Being punished by the exchange for compulsory liquidation due to violation of regulations;
(four) according to the emergency measures of the exchange, it should be forced to close the position;
⑤ Other positions should be closed by force.
Implementation principle of compulsory liquidation: the compulsory liquidation shall be implemented by members first, and the time limit shall be the first quarter after the market opening, unless otherwise stipulated by the Exchange. If the member fails to complete the execution within the prescribed time limit, it shall be enforced by the exchange.
Execution procedures for compulsory liquidation:
(1) notification. The Exchange shall issue a compulsory liquidation request to the relevant clearing members in the form of the Notice of Compulsory Liquidation (hereinafter referred to as the Notice). Unless specially delivered by the Exchange, the notice is sent with the settlement data of the day, and the relevant settlement members can obtain it through the Exchange system.
② Execution and confirmation.
1 After opening positions, the relevant members will close their positions by themselves until they meet the requirements for closing positions;
2. If the clearing member fails to complete the liquidation within the prescribed time limit, the Exchange will carry out compulsory liquidation on the remaining part; 3 The results of forced liquidation are sent with the trading records of the day, and relevant information can be obtained through the exchange system.
(6) Forced load shedding system
Forced lightening refers to the trading of investors who declare and close the unfinished trading at the daily limit price and automatically match the net position profit of the contract according to the position ratio. If the same investor holds two-way positions, the liquidation declaration of net position will participate in the calculation of compulsory lightening, and other liquidation declarations will automatically hedge their reverse positions.
(7) Settlement guarantee system
The exchange implements a settlement guarantee system. Settlement guarantee refers to the * * * guarantee funds deposited by settlement members in accordance with the provisions of the exchange to deal with the default risk of settlement members.
Settlement guarantee is divided into basic guarantee and variable guarantee. The basic deposit refers to the minimum amount of deposit that a clearing member must pay to participate in the clearing and delivery business of the exchange. Variable guarantee refers to the guarantee that is adjusted with the change of the business volume of clearing members.
(8) 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 reports, talking, written warning reminders, public condemnation, and issuing risk warning announcements, separately or simultaneously, to warn and resolve risks.
Under any of the following circumstances, someone in the exchange shall meet with the senior management personnel or investors of the designated members to remind them of the risks, or ask the members or investors to report the situation:
① Abnormal futures price;
(2) Abnormal transactions of members or investors;
③ Abnormal positions of members or investors;
(4) Abnormal member funds;
(5) Members or investors are suspected of violating the rules.
6. The Exchange accepts complaints involving members or investors;
⑦ Members are involved in judicial investigation;
⑧ Other circumstances identified by the Exchange.