In the futures market, traders can pay a small amount of money according to a certain proportion of the price of futures contracts as financial guarantee for the performance of futures contracts and participate in the trading of futures contracts. This kind of money is the futures margin.
Settlement reserve
Generally speaking, the funds paid by member units to the exchange according to fixed standards are prepared in advance for transaction settlement.
Settlement reserve refers to the funds prepared in advance by members in the special settlement account of the exchange for transaction settlement, which is the deposit not occupied by the contract. The minimum balance of the settlement reserve shall be determined by the exchange.
The minimum balance of clearing reserve for members of futures companies is RMB 2 million, and the minimum balance of clearing reserve for members of non-futures companies is RMB 500,000. If the balance of the member's settlement reserve is greater than zero and lower than the minimum balance of the settlement reserve, the exchange will issue a notice of additional margin through the "member service system" and prohibit members from opening new positions before the margin is replenished; If the balance of settlement reserve is less than zero, the Exchange will issue the Notice of Additional Margin and the Notice of Forced Closing through the Member Service System. If it is not replenished before the market opens on the next trading day, the exchange will forcibly close the position of the member according to relevant regulations.
Calculation formula of settlement reserve:
Balance of settlement reserve for the current day = balance of settlement reserve for the previous trading day+trading margin for the previous trading day-trading margin for the current day+actual offset amount for the current day+profit and loss for the current day+trading margin for the current day+other funds, etc.
Calculation formula of transaction cost:
Transaction cost = ∑ [volume (lot) × contract transaction cost (yuan/lot)
edge
Trading margin refers to the actual deposit paid by member units or customers for holding futures contracts in futures trading. It is divided into initial margin and additional margin:
initial margin
Cargo deposit
Initial margin is the money that traders need to pay when they open new positions. According to the transaction amount and margin ratio, that is, initial margin = transaction amount and margin ratio. At present, the minimum margin ratio in China is 5% of the transaction amount, which is generally between 3% and 8% internationally. For example, the soybean margin ratio of Dalian Commodity Exchange is 5%. When a customer buys five soybean futures contracts (each 10 ton) at a price of 2,700 yuan/ton, he needs to pay an initial deposit of 6 750 yuan to the exchange (that is, 2,700× 5×10× 5%).
In the process of holding positions, traders will have floating profits and losses (the difference between settlement price and transaction price) due to the constant changes of market conditions, so the funds actually available in the margin account can be increased or decreased at any time. Floating profit will increase the balance of margin account, while floating loss will decrease the balance of margin account. The minimum balance that must be kept in the margin account is called maintenance margin. Maintenance margin: settlement price x position x margin ratio xk(k is a constant, called maintenance margin ratio, which is usually 0.75 in China).
Additional deposit
When the book balance of the margin is lower than the maintenance margin, the trader must replenish the margin within the specified time, so that the balance of the margin account is ≥ settlement price x position x margin ratio, otherwise the exchange or institution has the right to forcibly close the position on the next trading day. This part of the margin that needs to be replenished is called additional margin. Still according to the above example, suppose that on the third day after the customer bought 50 tons of soybeans at a price of 2700 yuan/ton, the settlement price of soybeans fell to the additional margin. 2600 yuan/ton. Due to the price drop, the customer lost RMB 5,000 (that is, (2700-2600)x50), and the balance of the customer's margin account was 1750 yuan (that is, RMB 6,750-5,000). Since the balance is less than the maintenance margin (= 2 700x50x5% x 0.75 = 5062.5 yuan), the customer needs it, which means that even if the soybean price drops to 2000 yuan/ton, the margin account will remain at 6750 yuan, which is the initial margin.