I. Contract Scale
The scale of futures contracts refers to the total amount of commodities contained in each standard futures contract or the value of each index point of index futures.
Table 1 Comparison of Contract Size of Some Futures Products at Home and Abroad
As can be seen from the above table, the scale of foreign futures contracts is obviously larger than that of domestic similar products. This design, first, in order to increase the market scale, determines the ownership of commodity pricing power to a certain extent; Second, it leads to a higher capital threshold for investors participating in the market, which filters out some small investors to enter the market to a certain extent and improves the anti-risk ability of individual investors in the market. Of course, in order to provide investment channels for investors with low risk tolerance and increase the income of exchanges, foreign exchanges have mini-trading products.
Second, the price limit
The price limit system means that the transaction price of a futures contract in a trading day cannot be lower than or higher than a certain price range based on the settlement price of the previous trading day. If the price exceeds this range, it will be considered invalid and cannot be traded. For example, the prices of popular products at home and abroad are shown in the following table.
As can be seen from Table 2, the price limit of futures products in China is set in proportion, and all products have price limit settings. In foreign futures markets (Table 3), except for soybeans on the Chicago Board of Trade, which are similar to those in China, most other popular varieties have no price limit, and the price limit of most products is set in absolute numbers. In addition, like the New York Mercantile Exchange's crude oil, it also uses the fuse mechanism to set the fluctuation range to control risks.
Reasonable price limit can promote the function of price discovery in futures market, reduce the risk of market price fluctuation, improve market liquidity and reduce the risk of default in futures trading.
Table 3 Price setting of some foreign futures products
Third, trading time.
The trading time of futures, that is, the time period during which investors can participate in the trading of futures products, is closed at other times.
As can be seen from the above table, the trading time of the three major commodity exchanges in China is 3 hours and 45 minutes, while the trading time of CICC is relatively long. From Table 5, the trading time of Hang Seng Index in Hong Kong is 5 hours and 30 minutes, and the products in the United States are all over 20 hours.
Foreign products closely connect global investors through the setting of trading time, and also reflect the global factors affecting futures products on the price of products all the time. In addition, the doubling of trading time gives it an advantage in competing for pricing power.
Table 4 Trading hours of domestic futures exchanges
Table 5 Trading Time of Some Hot Products Abroad
Four. Contract expiration date
Domestic futures contracts have only one expiration date, that is, the last trading day. In foreign futures markets, in addition to the last trading day, there is also the first notice day. The last trading day refers to the last trading day when futures contracts are traded in the delivery month. After this trading day, the open contract must be delivered in kind or in cash according to the regulations. The first notification date refers to the first working day when the seller of a futures contract has the right to apply for delivery. If the buyer doesn't want to deliver the goods, he must close the position before the first notice date.
Table 6 Last trading day setting of domestic futures products
Table 7 Setting of the Last Trading Day of Foreign Futures Products
As can be seen from Table 6 and Table 7, the monthly design of futures contracts at home and abroad is basically the same, which shows that both domestic and foreign exchanges provide personalized services to related industries according to the characteristics of products.
Verb (abbreviation for verb) transaction mode
At present, domestic futures investors can issue trading orders by writing, telephone, computer and online entrustment:
(1) Issue trading instructions in writing;
(2) Giving trading instructions by telephone.
(3) Issuing trading orders by means of computers and online entrustment.
In addition to the above three trading methods provided by foreign futures exchanges, there can also be open bidding methods in the venue. There are usually two forms of public bidding: one is continuous bidding system, that is, floor traders openly bid face to face in the trading pool of the exchange to express their respective requirements for buying or selling contracts. This bidding method is the mainstream of futures trading, which is adopted by European and American futures markets.
The advantage of this method is that the atmosphere of the venue is active, but the disadvantage is that the scale of personnel is limited by the venue. The trading pool is crowded with so many traders that they have to use gestures to help convey trading information. Another disadvantage of this method is that floor traders have more information and time advantages than OTC traders. Hat-grabbing transactions often become the patent of floor traders.
Another form of public bidding is the one-price system in Japan. The one-price system divides each trading day into several intervals, and each interval has only one price for a contract. First of all, the host bids for each transaction, and the floor traders declare the buying and selling quantity according to their own bidding. If you buy more than you sell, the owner will quote a higher price. On the other hand, quote a lower price until the number of transactions between buyers and sellers is equal at a certain price.
Intransitive verb settlement system
Futures settlement is one of the most important means of risk control.
At present, China adopts the system of one household, one yard, marking the market day by day, and the debt-free system on the same day. Market-making system means that after the end of each trading day, the settlement department of the exchange first calculates the settlement price of each futures contract on that day, and calculates the profit and loss amount of each member's transaction, so as to adjust the member's margin account, and record the profit and loss in the account. If the credit limit in the margin account is lower than the margin requirement, the Exchange will notify the members to pay the additional margin within a certain time limit to reach the initial margin level, otherwise they will not be able to participate in the next trading day.
With the existence of mark-to-market system and the implementation of daily settlement system, when futures prices fluctuate sharply, futures traders may face considerable negative cash flow risk. Futures investors must calculate the funds that may be needed to meet the daily settlement conditions, and set corresponding dynamic cash flow reserves throughout the investment period. For traders, the requirement for liquidity of funds is improved, while for the market, the mark-to-market system helps to avoid the credit risk of funds.
Taking Chicago Mercantile Exchange as an example, this paper introduces the foreign futures settlement system.
(1) accounting system
The design of account system follows the basic principles of household accounting and household management, and positions, funds and performance bonds need to be accounted and managed at the level of settlement institutions and settlement members according to the principles of household accounting and household management. Under the principle of household accounting, the account categories of settlement members are divided into three categories according to the accounting objects: self-operated business accounts of settlement members (self-operated business of settlement companies includes self-operated business of companies and non-customer business such as wholly-owned subsidiaries), business accounts of general investors and business accounts of non-settlement members.
(b) Daily mark-to-market system
The Chicago Mercantile Exchange does not allow it to settle the accumulated position losses of its members, and implements a strict mark-to-market system.
(3) the deposit system
The Chicago Mercantile Exchange has established an initial margin and a maintenance margin system to provide financial guarantee for performance.
Initial margin is the initial margin charged by clearing members to customers. If the margin paid by customers is lower than the maintenance level, the margin must be replenished to the original margin level in accordance with the provisions of the exchange. In addition, clearing members can charge customers more than the minimum margin stipulated by the exchange. Maintenance margin is the minimum level of margin paid by clearing members to clearing houses.
The level of margin varies from commodity to commodity, and it is adjusted according to market conditions at any time to reflect the changes of factors such as price change rate. When setting the margin level, the clearing house will refer to the current and historical (usually including short-term, medium-term and long-term data) price change data, and the maintenance margin should be at least enough to cover 95% of the maximum one-day price change in the above days. Usually, the actual margin level is often higher than the established standard.
(d) Use the SPAN system to determine the margin level.
The Chicago Mercantile Exchange uses the Standard Portfolio Risk Analysis System (SPAN) to calculate the margin.
SPAN system is mainly used to measure the comprehensive risk of all positions in the portfolio. SPAN calculates the margin on the basis of commodity combination, so SPAN first splits the combined position into different commodity combinations, and the products with the same or similar subject matter are regarded as a commodity combination. The parameter file of SPAN system mainly includes six parameters: price scanning interval, volatility scanning interval, risk value of price difference between different months of the same commodity, risk value of delivery month, minimum risk value of option shorting, and margin deduction of hedging risk among commodity groups.
It can be seen that the futures settlement system at home and abroad is very different. In account management, there are different methods to calculate the margin level between one household code and mixed code. With the introduction of SPAN system, the risk control and management of the exchange is more efficient, which greatly improves the utilization rate of investors' funds.