Due to the above characteristics of the futures margin system, for futures companies, scientifically collecting customer margin can not only effectively prevent the risks faced by futures companies, but also maximize the efficiency of the use of customer funds, increase market liquidity and create greater profits for the company.
First, the risks faced by futures companies and the defects of domestic margin setting.
The Basel Committee is composed of propose to create, Governor of the Central Bank of the Group of Ten, on 1974, and its members include representatives of the central banks and banking supervision departments of the Group of Ten. 1June, 1999, the Basel Committee published the first draft of the new Basel capital accord, and in 20001year, two more drafts were introduced, which enriched and improved the first draft. Academics collectively refer to these three drafts as the New Basel Capital Accord. According to the latest research of the Bank for International Settlements, about 100 countries in the world have adopted the New Basel Accord. Although the Basel Committee is not an international banking supervision organization in a strict sense, it has actually become the maker of international standards for banking supervision.
The new Basel Accord divides risks into three categories: market risk, credit risk and operational risk. Market risk refers to the risk of loss caused by adverse changes in interest rates, exchange rates, securities or commodity prices. Credit risk refers to the risk of losses caused by the default of borrowers and market counterparties. For operational risk, the British Bankers Association (BBA) defines it as the risk of direct or indirect losses due to incorrect or wrong internal operational processes, personnel, systems or external events; JPMorgan Chase is defined as an endogenous risk factor in a company's business and support activities. This risk is manifested in various forms of errors, interruptions or stagnation, which may lead to financial losses or other damages of the company.
Futures companies will also face market risk, credit risk and operational risk in their business activities. When the margin collected by futures companies is not enough to cover the fluctuation of market prices, a large number of customers need to add margin. At this time, if the customer defaults, it will bring risks to the futures company. Therefore, futures companies should mainly consider market risk and credit risk when designing the level of margin collection.
The futures margin system is divided into two levels: the first level is the settlement margin paid by member brokers to the settlement center; The second layer is the customer deposit paid by the customer to the futures company. In this way, the futures clearing center bears and controls the risks of futures clearing companies, and futures companies, as futures clearing members, must bear and control the default risks of their customers. Domestic futures companies generally raise a certain percentage on the basis of the margin collected by the exchange as the standard for collecting investors' margin, and on this basis, adjust the margin level according to factors such as the size of positions, the purpose of trading, the length of term, holidays and so on; Most of the deposits collected by futures companies are calculated according to the total positions, and investors holding one-way positions and two-way positions are basically treated equally; In the hierarchical management of customer margin of futures companies, only some relatively single indicators of investors are referenced, and the margin standard is determined after credit evaluation, and a comprehensive evaluation system of customer credit status is not formed. In addition, as a part of the margin system, domestic futures companies charge investors a margin based on the settlement price rather than the closing price, and the price fluctuation in the next trading day is more related to the closing price. The domestic futures market adopts the debt-free day settlement system, which may lead to the deviation ratio between the settlement price and the closing price. If it exceeds or approaches the difference between the margin ratio charged by futures companies to investors and the margin ratio charged by exchanges to futures companies, then investors whose prices are unfavorable to positions are likely to need to add margin on the next trading day.
Under the mode that domestic futures companies collect deposits at a fixed rate by experience, investors' deposits are occupied too much most of the time, which leads to high opportunity cost and low efficiency in the use of funds. However, in the short-term market volatility, the risk of futures companies is very high, and the original margin can not make up for the loss of default risk, so it is forced to increase the margin ratio.
Therefore, at present, the setting of domestic futures margin mainly emphasizes risk control, without scientific quantitative setting and dynamic management according to the changes of market risk. In addition, the current margin management system does not pay enough attention to improving the efficiency of investors' capital utilization and reducing transaction costs. According to the fluctuation characteristics of different varieties, it can not only effectively manage the market risk and credit risk faced by futures companies, but also be of great significance to reduce the opportunity cost of investors and improve the efficiency of capital use.