Futures settlement refers to the process that futures settlement institutions settle the profits and losses of positions held by customers according to the settlement price announced by the exchange. There are two organizational forms of futures settlement. One is a clearing company independent of futures exchanges, such as London Clcaring House, which also carries out futures settlement for three futures exchanges in London. The other is the settlement department set up in the exchange. For example, futures exchanges in Japan, the United States and other countries have their own settlement departments (hereinafter referred to as "settlement institutions"). China adopts the form of exchange with settlement institutions. The difference between an independent clearing house and the settlement institutions in the exchange is mainly reflected in the following aspects: the clearing house is independent of the exchange in terms of performance guarantee, control and settlement risk, while the internal settlement institutions in the exchange are all concentrated in the exchange. Independent clearing houses are generally shared by banks, exchanges and other financial institutions, and the risks are relatively scattered compared with those borne by exchanges alone.
The settlement of futures trading can be roughly divided into two levels, one is the settlement of members by exchanges, and the other is the settlement of customers by member companies. Because futures trading is a kind of margin trading, it has the characteristics of small and wide, and it is risky. In a sense, futures settlement is one of the most important means of risk control. The exchange shall open a unified settlement fund account in the bank, and the members shall open a settlement account in the settlement institution of the exchange, and the transactions of the members in the exchange shall be uniformly settled by the settlement institution of the exchange.
The futures clearing house plays the role of a third party to all traders in the futures money market, that is, for each seller member, the clearing house is the buyer; For each buyer member, the settlement institution is the seller. By collecting the transaction margin for each transaction, the settlement institution can guarantee the performance of the contract on behalf of the customer, thus institutionally ensuring the status of the settlement institution as the guarantor of the final performance of futures transactions. Because the buyers and sellers of futures contracts do not have to consider each other's credit degree, the speed and reliability of futures trading are greatly improved.
The core content of futures settlement business is the daily mark-to-market system, that is, the daily debt exemption system.
The following two aspects.
(1) Calculate the floating gain and loss. That is, the settlement institution calculates the floating profit and loss of the open positions of the members according to the settlement price of the transaction on that day, and determines the amount of the deposit payable for the open positions. The calculation method of floating profit and loss is: floating profit and loss = (settlement price of the day-opening price) x position x contract unit-handling fee. If it is positive, it means that it is a long floating profit or a short floating loss, that is, the price increase after the long position is a long floating profit, and the price increase after the short position is a short floating loss. If it is negative, it means the floating loss of bulls or the floating profit of bears, that is, the price drop after the bulls open positions indicates the floating loss of bulls, or the price drop after the bears open positions indicates the floating profit of bears. If the margin amount is not enough to maintain the open position contract, the clearing institution will inform the members to make up the difference before the second largest market opening, that is, to add margin, otherwise they will be forced to close their positions. If there are floating profits, members can't put forward this part of the profits unless the liquidation contract is closed and the floating profits are turned into actual profits.
(2) Calculate the actual profit and loss. The profit and loss realized by liquidation is called actual profit and loss. Most contracts in futures trading are closed by liquidation.
The calculation method of the actual profit and loss of bulls is:
Profit and loss = (closing price-buying price) x position x contract unit-handling fee
The calculation method of short-term profit and loss is:
Profit and loss = (selling price-closing price) x quantity held x contract unit-handling fee
When there are risks in the futures market, some members have insufficient trading margin or overdraft due to excessive trading losses. The procedures for handling risks in the settlement system are as follows:
(1) Notify members to add margin; (2) If the margin increase is not in place, first stop members from opening new positions and force members to close open positions;
(3) If the balance of the member's margin is not enough to make up for the losses after all liquidation, the member's settlement reserve at the exchange shall be used;
(4) If it is still insufficient to make up the loss, transfer the membership fee and seat fee of the member;
⑤ If it is still not enough to make up for the losses, use the risk reserve of the exchange to make recourse to the members.
Settlement (1) the concept of settlement
Settlement refers to the calculation and distribution of members' trading margin, profit and loss, handling fees, delivery funds and other related funds according to the trading results and relevant regulations of the Exchange. The settlement includes the settlement of members by the exchange and the settlement of customers by the futures brokerage company, and the calculation results will be included in the customer's margin account.
(2) the settlement system
The settlement of the futures exchange shall be carried out by the margin system, the daily debt exemption system and the risk reserve system. In line with the hierarchical structure of the futures market, the settlement of futures trading is also hierarchical and hierarchical. The exchange only settles accounts for members, and non-member units and individuals settle accounts through members of futures brokerage companies.
1. Exchange settlement for members
(1) After the end of each trading day, the Exchange shall settle the profits and losses, trading fees, trading deposits and other funds of each member. The accounting results are the basis for members to check the relevant transactions of the day and settle accounts with customers. Members can obtain the profit and loss statement, contract table, position table and fund settlement statement of members on the same day through the member service system within the specified time of each trading day.
(2) Members shall obtain the settlement results provided by the exchange in time every day, do a good job of checking and keep them properly.
(3) If a member disagrees with the settlement result, it shall notify the Exchange in writing 30 minutes before the opening of the market the next day. If the member does not raise any objection to the settlement data within the specified time, it shall be deemed that the member has recognized the accuracy of the settlement data.
(4) After the transaction settlement is completed, the Exchange will transmit the member fund data to the relevant settlement bank.
2. Futures brokerage companies settle customers.
(1) Futures brokerage companies and exchanges settle customers in the same way, that is, after the end of each trading day, they settle each customer's profit and loss, trading fees, trading margin and other funds. The transaction fee is generally not less than 3 times of the transaction fee standard stipulated in the futures contract, and the transaction margin is generally higher than the transaction margin ratio charged by the exchange by at least 3 percentage points.
(2) The futures brokerage company shall issue a transaction statement to the customer after the market closes.
(3) When the daily settlement margin of the customer is lower than the trading margin level stipulated by the futures exchange, the futures brokerage company will notify the customer to add the margin in the way agreed in the futures brokerage contract. If the customer fails to add the margin on time, the futures brokerage company shall forcibly close some or all of the customer's positions until the margin balance can maintain its remaining positions. (1) Settlement basis
The Exchange shall manage the deposits deposited by members in the special settlement account of the Exchange in separate accounts, set up a detailed account for each member, and register and calculate the deposits and withdrawals, gains and losses, trading deposits and handling fees of each member every day.
The exchange implements the margin system, and the margin is divided into settlement reserve and trading margin. The settlement reserve has a minimum balance. Before the start of daily trading, the balance of settlement reserve of members shall not be less than this amount. If the balance of settlement reserve is greater than zero and lower than the minimum balance of settlement reserve, no new position may be opened. If the balance of settlement reserve is less than zero, the exchange will force liquidation according to relevant regulations.
Trading deposit refers to the funds that members guarantee the performance of the contract in the special settlement account of the exchange, which is the deposit that the contract has been occupied. When the buyer and the seller make a deal, the exchange will charge the trading margin to both parties according to a certain proportion of the value of the position contract.
The exchange implements a daily debt-free settlement system. This system means that after the daily trading, the exchange will settle the profit and loss, trading margin, handling fees, taxes and other expenses of all contracts according to the settlement price of the day, and implement net transfer of accounts receivable and payable, and correspondingly increase or decrease the settlement reserve of members.
(2) Settlement formula.
Open futures contracts are based on the settlement price of the day as the basis for calculating the profit and loss of the day.
1, the profit and loss of the day can be calculated item by item.
The itemized settlement formula is: profit and loss of the day = profit and loss of liquidation+profit and loss of position.
(1) Ending profit and loss = average historical profit and loss+average current profit and loss.
Average historical warehouse profit and loss = ∑ [(selling closing price-settlement price on the last trading day) * selling volume]+∑ [(settlement price on the last trading day-buying closing price) * buying volume]
Average profit and loss of the day = ∑ [(selling closing price of the day-buying opening price of the day) * selling closing amount]+∑ [(selling opening price of the day-buying closing price of the day) * buying closing amount]
(2) Position profit and loss = historical position profit and loss+opening profit and loss on the same day
Historical position profit and loss = (settlement price of the day-settlement price of the previous day) * position.
Opening profit and loss of the day = ∑ [(selling opening price-settlement price of the day) * selling opening quantity]+∑ [(settlement price of the day-buying opening price) * buying opening quantity]
(3) The profit and loss of the day can be integrated into a general formula.
Profit and loss of the day = ∑ [(selling price-settlement price of the day) * sold quantity]+∑ [(settlement price of the day-settlement price of the day) *]+(settlement price of the previous trading day-settlement price of the day) * (selling position of the previous trading day-buying position of the previous trading day)
2. Calculation of margin balance
The balance of settlement reserve refers to the settlement reserve of the current day = settlement reserve of the previous trading day+deposit and withdrawal+trading deposit of the previous trading day-trading deposit of the current day+profit and loss-handling fee, etc. Closing positions means that futures traders buy or sell futures contracts with the same variety, quantity and delivery month, but in the opposite direction, and close positions.
The settlement price of the day refers to the weighted average price of the transaction price of a futures contract according to the volume. If there is no transaction price on that day, the settlement price of the previous trading day shall be the settlement price of that day. Each futures contract is based on the settlement price of the day as the basis for calculating the profit and loss of the day.
Open position refers to the number of open positions held by futures traders.
(4) Transfer of funds
The profits and losses of the day are transferred at the end of the day, and the profits of the day are included in the member settlement reserve, while the losses of the day are deducted from the member settlement reserve. The part of the trading margin settled on the same day that exceeds the trading margin settled yesterday shall be deducted from the settlement reserve of the member. The part of the trading margin at the settlement of the day that is lower than that at the settlement of yesterday is included in the member's settlement reserve.
Fees, taxes and other expenses are directly deducted from the settlement reserve of members.