According to the latest regulations, the minimum margin of 5-year treasury bond futures contracts is adjusted from the previous 2% to 1.5%, and the gradient margin is adjusted from the previous 2%~3%~5% to 1.5%~2%~3%.
Specifically, the trading margin standard of 5-year treasury bond futures contracts is adjusted to 65438+ 0.5% of the contract value, and the trading margin standard is 2% of the contract value from the settlement on the trading day before the last month of the delivery month, and 3% of the contract value from the settlement on the trading day before the first trading day of the delivery month.
At the same time, CICC also adjusted the daily price fluctuation limit of the 5-year treasury bond contract to 65438+ 0.5% of the settlement price of the previous trading day, which was 2% before.
Extended data:
The latest version of the Detailed Rules for the Trading of Treasury Bonds Futures also stipulates that the position limit is 1 1,000 lots from the first day of listing; Starting from the first trading day at the end of the month before the delivery month, the position limit is 600 lots; Starting from the first trading day of the delivery month, the position limit is 300 lots.
Previously, the above-mentioned national debt futures gradient position limit standard was "1 0,000 lots ~500 lots ~ 1 0,000 lots", and the execution time was the same as the gradient margin increase, but it was about ten days earlier than the adjustment, namely "the first trading day in the month before the delivery month" and "the first trading day at the end of the month before the delivery month".
According to the previous standards, the position limit in the first two stages can basically meet the customer's position demand, but the position limit near the delivery month is relatively strict, which has a certain impact on the liquidity of the delivery month contract. According to the analysis, this should be an important reason for CICC to adjust its position limit and execution time.
In fact, this is not the first time that CICC has adjusted the trading margin of 5-year treasury bonds futures.
CICC issued a notice, "the trading margin for each contract of 5-year treasury bonds futures is tentatively set at 3% of the contract value, tentatively set at 4% of the contract value from the settlement of the previous trading day in the month before the delivery month, and tentatively set at 5% of the contract value from the settlement of the previous trading day at the end of the month before the delivery month."
On February 27th of the same year, 65438, CICC issued a notice again, adjusting the minimum contract deposit to 2% and the gradient deposit to 2%~3%~5%.
Probably because of the risk, in the initial stage of this treasury bond futures, the margin of 5-year treasury bond futures is still relatively high.
References:
People's Daily Online-Treasury bond futures hit a new high in innovation year.