In recent years, China's futures market has made a certain development in scale, and more and more futures products are listed. New products or businesses such as stock index futures, options and futures investment funds are also being brewed and studied, but the market risk management measures of domestic futures industry, especially the margin system, seem to be still in an extensive development stage, which is far from meeting the requirements of new products and businesses after they are launched. Even for the commodity futures market, the current domestic margin system is somewhat outdated and backward. The development of international futures market in this respect is quite mature, and there are many advanced experiences for us to learn from. This paper selects Hong Kong's futures market and futures companies as reference, focusing on futures companies, analyzes and compares the margin systems of the two places, and draws useful conclusions.
Initial deposit and maintenance deposit
In the international futures market, margin is generally divided into initial margin and maintenance margin. Initial margin is the minimum capital requirement for establishing a position, which is also called basic margin or basic deposit in Hong Kong. The maintenance margin is a fund level: the funds in the account must be maintained above this level. If the account funds fall below the maintenance margin level, the broker will notify the trader to add the margin, and the account funds must be added to the initial margin level. The maintenance deposit is less than or equal to the initial deposit. After receiving the margin notice, traders can deposit additional funds or close their positions.
Hong Kong, the United States, Japan and Britain all adopt two levels of initial margin and maintenance margin, but the proportion of maintenance margin to initial margin is different. Let's take the terms of the agency contract between King Futures Co., Ltd. and customers as an example. The maintenance margin level in Hong Kong futures market is 80% of the initial margin level, 70% in Japan and the United States, and 65,438+000% in the UK futures market.
There is no clear statement about initial margin and maintenance margin in China mainland futures market, but there are some similarities in the specific operation process. For example, the "company deposit" charged by a futures company to customers can be equivalent to the initial deposit. When a general futures company requires that the funds in the account reach a certain proportion (less than or equal to 100%), the margin will be added to the "company margin" level. In other words, the "company deposit" of a futures company is equivalent to the initial deposit, and a certain proportion of the "company deposit" is equivalent to the maintenance deposit. Different futures companies take different proportions. General futures companies adopt the ratio of 100%, and some futures companies mark it as 100% in the contract, but it will be relaxed in the operation process. For example, some futures companies learn from international practices and generally adopt the ratio of 80%. General rules for margin setting
Compared with Hongkong, there are many differences in the formulation of margin in China mainland futures market, but the general rules are similar, that is, the exchange (or clearing house) decides the minimum margin level, while the futures company has the right to decide to charge customers a higher margin level. Article 6 16 of the Rules, Regulations and Procedures of the Hong Kong Futures Exchange stipulates: "Although Article 6 17 of the Rules stipulates the minimum margin amount, trading participants may require customers to provide a higher margin amount as deemed appropriate by exchange participants." Zhengzhou Commodity Exchange clearly stipulates in Article 30 of the Rules for Futures Settlement of Zhengzhou Commodity Exchange: "The trading margin charged by futures members to customers shall not be lower than that charged by the exchange to members." Although the trading settlement rules of Shanghai Futures Exchange and Dalian Commodity Exchange are not clearly defined, they are also implemented in accordance with this principle in specific operations. The level of margin charged by futures companies to customers is also determined by futures companies.
Determination of margin level
The determination of margin level includes the determination of margin level, calculation method and adjustment frequency. There is a big gap between the determination of margin in China's futures market and the international futures market, and it is also the focus of extensive discussion and research in the industry.
First of all, although the level of margin charged by exchanges to futures companies is the same, the level of margin charged by domestic futures companies to customers is generally set by futures companies themselves, so the level is uneven, and even there is a big gap. Therefore, the margin level of futures companies has also become one of the factors that affect the competitiveness of companies. In Hong Kong, the clearing house not only sets the margin level of exchange participants, but also sets the margin level charged by exchange participants from their customers for reference (including basic margin and maintenance margin). Futures companies (exchange participants) generally collect margin from customers according to the standards set by the clearing house.
Secondly, there is a big gap between the calculation method of domestic futures margin and the international market. The margin level in the domestic futures market is relative, that is, a certain proportion of the settlement price; The international market generally adopts the absolute level, that is, the level directly denominated in monetary units.
Whether it is a domestic futures exchange or a futures company, the margin level is generally determined by the range of the price limit, not by the fluctuation of futures prices. For example, the daily limit of futures contracts is 5%, and the margin level of exchanges is generally set at 7%. When setting the company's margin level, the futures company shall increase the margin level of the exchange by n percentage points, or adopt the formula: N× the range of price limit m%. Because the margin level is not closely related to the futures price, the frequency of adjustment is relatively low. Except holidays, the margin level of the exchange will generally be adjusted for one year or more; The adjustment time of futures company's margin is not fixed, and the frequency of adjustment varies with futures.