Article 59 An exchange shall implement a trading margin system. The listing margin level of the new contract is determined by the exchange and announced in advance.
Article 60 In the course of futures contract trading, the Exchange may adjust the trading margin level according to market risks in any of the following circumstances:
(1) There is no unilateral continuous quotation in futures trading (hereinafter referred to as unilateral market);
(two) in case of national holidays;
(3) The Exchange believes that the market risk has increased significantly.
(4) Other circumstances deemed necessary by the Exchange.
Article 61 When the trading margin standard of a futures contract is adjusted, the exchange shall settle all positions of the contract according to the new trading margin standard at the time of settlement on the trading day before the implementation of the new standard. If the margin is insufficient, it shall be added before the market opens on the next trading day.
Article 62 The exchange shall implement the price limit system. The price limit system is divided into fuse system and price limit system. The range of daily fuse and price limit shall be set by the Exchange, and the Exchange may adjust the range of fuse and price limit of futures contracts according to market conditions.
Article 63 The fuse range of stock index futures contracts is 6% of the settlement price of the previous trading day, and the price limit range is10% of the settlement price of the previous trading day. There is no fuse mechanism on the last trading day, and the price limit is 20% of the settlement price of the previous trading day.
Article 64 After the daily opening, when the declared price of the stock index futures contract touches the fuse price for 5 minutes, the fuse mechanism will be started.
(1) Within 5 minutes after the fuse mechanism is started, the trading declaration of this contract will continue to be closed within the fuse price range. After 5 minutes, the fuse mechanism is terminated, and the board ascending (descending) stop range takes effect.
(2) If the first transaction ends less than 5 minutes after the fuse mechanism is started, the fuse mechanism will be terminated. After the transaction is resumed, the increase (decrease) will take effect.
(3) There is no fuse mechanism within 30 minutes before the market closes. If the fuse mechanism has been started, it should be terminated to continue execution.
(4) Start the fuse mechanism only once a day.
Article 65 Where a futures contract is declared at the fuse price or the limit price, it shall be traded on the principle of closing the position and giving priority to time.
Article 66 A unilateral market refers to a situation where there is no continuous quotation on the daily limit (down) side, that is, only a buy (sell) with a stop-loss price is declared within five minutes before closing, and a sell (buy) without a stop-loss price is declared, or a deal is made as soon as a sell (buy) is declared, but no stop-loss price is set.
Article 67 If a futures contract has unilateral quotation on a certain trading day (the trading day is called Dt trading day, the trading day before Dt is called Dt- 1 trading day, and the trading day after Dt is called Dt+ 1 trading day, and so on), and the Dt trading day is the last trading day, the contract shall be settled directly. Dt trading day is not the last trading day, and the Exchange will take different measures according to different situations:
(1) When the cumulative increase or decrease in the same direction of Dt trading day and Dt- 1 trading day is less than 16%, the trading margin of this contract will be charged according to the standard of 12% at the time of settlement on Dt trading day, and it will be charged according to the original standard if it is higher than 12%.
(2) When the cumulative fluctuation range in the same direction as Dt- 1 trading day is greater than or equal to 16%, the Exchange will take one or more of the following risk control measures according to market conditions: increasing trading margin, restricting opening positions, restricting the withdrawal of funds, closing positions within a time limit, forcibly closing positions, suspending trading, adjusting fluctuation range, forcibly reducing positions or other risk control measures.
There is no unilateral market for the futures contract Dt+ 1, and the trading margin standard is charged at the normal level when it is settled on the trading day of Dt+ 1.
When the Dt+ 1 trading day shows a unilateral market in the opposite direction to the Dt trading day, it is regarded as the beginning of a new round of unilateral market, and that day is regarded as the Dt trading day.
Article 68 The exchange shall implement the position limit system. Limited position refers to the maximum number of a contract position that a member or customer can hold according to the regulations of the exchange, which is calculated unilaterally.
Article 69 When the same customer opens positions with different members, the total positions in a certain contract month shall not exceed the position limit of one customer.
Article 70 The specific provisions on the position limit of stock index futures contracts of members and customers are as follows:
(1) Absolute limit is imposed on the unilateral positions of a contract customer, and the position limit is 600 lots;
(2) Trading members engaged in self-operated business implement absolute position limit for a certain contract, and the position limit for each customer number is 600 lots;
(3) If the total number of unilateral positions in a contract exceeds 654.38+ million lots, the unilateral positions of clearing members shall not exceed 25% of the total positions in the contract. "
Article 71 The exchange shall implement the large-sum declaration system. When a customer's position reaches the level specified by the Exchange (inclusive), the customer shall declare his capital, position, associated account and actual controller to the Exchange through the clearing or trading members. The Exchange may, according to the market risk status, formulate and adjust the reporting standards for positions. The exchange will announce the level of newspapers before the contract is listed, which can be adjusted in time according to market conditions.
Article 72 Where a customer's position reaches the reporting limit of the Exchange, he shall report to the Exchange on his own initiative before the closing of the next trading day. If it is necessary to report again or supplement the report, the Exchange will inform the relevant members.
Article 73 In order to control market risks, the Exchange shall implement the system of forced liquidation. Forced liquidation refers to the compulsory measures taken by the exchange when members and customers violate the rules.
Article 74 Under any of the following circumstances, the Exchange will forcibly close its position:
(1) The balance of the virtual settlement reserve of the settlement member is less than zero, and it has not been replenished within the prescribed time limit;
(2) Customers and trading members engaged in proprietary business hold positions exceeding the position limit standard and fail to close their positions within the prescribed time limit.
(3) Being punished by the exchange for compulsory liquidation due to violation of regulations or breach of contract;
(four) according to the emergency measures of the exchange, it should be forced to close the position;
(5) other parts of the forced liquidation. "
Article 75 Implementation principles of compulsory liquidation
Members shall carry out compulsory liquidation within the first trading hour after the opening of the market, unless otherwise stipulated by the exchange. If the member fails to complete the execution within the prescribed time limit, it shall be enforced by the exchange.
(1) member implementation
In case of forced liquidation due to items (1) and (2) of Article 74, the principle of forced liquidation shall be determined by the members themselves, and the result of forced liquidation shall conform to the provisions of the Exchange.
(2) Execution by the Exchange
1. Forced liquidation due to Item (1) of Article 74: The positions that need to be closed by force shall be selected by the Exchange according to the order of the total positions of contracts after settlement on the previous trading day, and the contracts with large positions shall be selected as the forced liquidation contracts, and then distributed according to the proportion of positions of all customers of the contracts.
If multiple settlement members need to close their positions by force, the settlement members who need to close their positions by force shall be selected in the order of increasing the virtual margin amount.
2. Forced liquidation due to Article 74 (2);
Customers and trading members engaged in self-operated business will be forced to close their positions if they exceed their positions; If the customer holds positions in multiple members, the members shall be selected for compulsory liquidation according to the order of the number of positions.
3. In case of forced liquidation due to items (3), (4) and (5) of Article 74, the forced liquidation position shall be determined by the Exchange according to the specific conditions of the members and customers involved.
When a member forcibly closes his position due to the reasons in Item (1) and Item (2) of Article 74 at the same time, the Exchange shall first determine the forced position according to Item (2), and then determine the forced position according to Item (1).
Article 76 Procedures for enforcement of compulsory liquidation
(1) notification. The Exchange shall issue a compulsory liquidation request to the relevant clearing members in the form of the Notice of Compulsory Liquidation (hereinafter referred to as the Notice). Unless specially delivered by the Exchange, the notice is sent with the settlement data of the day, and the relevant settlement members can obtain it through the Exchange system.
(2) Implementation and confirmation.
1. After the opening of the market, the relevant clearing members must first close their positions by themselves until they meet the closing requirements;
2. If the time limit for compulsory liquidation of clearing members is exceeded and the execution is not completed, the Exchange will directly execute compulsory liquidation of the rest;
3. The result of forced liquidation is sent with the transaction record of the day, and the relevant settlement members can obtain it through the member service system.
Article 77 The price of forced liquidation is formed through market transactions.
Article 78 If the forced liquidation cannot be completed within the prescribed time limit due to price limit or other market reasons, the remaining positions can be postponed to the next trading day to continue the forced liquidation until the forced liquidation is completed, and the principle of Article 75 is still followed.
Article 79 If the forced liquidation cannot be completed on the same day due to price limit or other market reasons, the Exchange will deal with the settlement members accordingly according to the settlement results of the day.
Article 80 If the forced liquidation can only be delayed due to price limit or other market reasons, the losses caused thereby shall still be borne by the person directly responsible; If the liquidation is not completed, the holder shall continue to bear the responsibility of holding positions or the obligation of delivery.
Article 81 The profits generated by the forced liquidation of a member shall still be owned by the person directly responsible; The profits generated by the compulsory liquidation of the exchange shall be implemented in accordance with the relevant provisions of the state; The losses caused by forced liquidation shall be borne by the person directly responsible.
Article 82 Compulsory lightening refers to the fact that the exchange will automatically match the transactions with profitable customers with the net contractual positions according to the proportion of open positions declared at the daily limit price.
Article 83 Method of compulsory load shedding
(1) If the same customer holds two-way positions, the closing declaration of net positions will participate in the calculation of forced lightening, and other closing declarations will automatically hedge their reverse positions.
(two) to determine the number of liquidation declaration
After the closing of Dt trading day, all positions that cannot be closed have been declared in the exchange system at the rising (falling) stop-loss price, and the net position loss of the client contract unit is greater than or equal to 10% of the settlement price on Dt trading day.
Customers who are unwilling to close their positions according to the above methods can withdraw their orders before the market closes.
(III) Determine the profit and loss of the net position of the client's contract unit.
The unit net position profit and loss of a customer contract refers to the sum of the position profit and loss of the customer in the contract divided by the net position. The sum of profit and loss of customer positions in this contract refers to the sum of profit and loss of all customer positions in this contract, which is calculated according to the difference between the actual transaction price and the settlement price of Dt trading day, combined with the settlement prices of Dt-2 trading day, Dt-/KLOC-0 trading day and DT trading day.
(4) Determine the liquidation scope of profitable customers with net positions.
According to the above method, the net position of customers whose profit per unit net position is greater than zero is included in the liquidation scope.
(5) Distribution principle of the number of closed positions.
(1) Within the scope of liquidation, it is divided into three levels according to profits and distributed step by step.
First of all, it is allocated to positions whose net position profit is greater than or equal to the settlement price 10% of Dt trading day (hereinafter referred to as positions with profit 10%); Secondly, the profit of the net position allocated to this unit is less than 10% of the settlement price on the Dt trading day and greater than or equal to 6% (hereinafter referred to as the position with profit greater than 6%); Finally, the profit of the net position allocated to this unit is less than 6% of the settlement price of Dt trading day and greater than zero (hereinafter referred to as the position with profit greater than zero).
(2) The distribution ratio of the above levels is based on the ratio of the declared liquidation quantity (remaining declared liquidation quantity) to the closeable profit positions at all levels.
If the number of positions with profit exceeding 10% is greater than or equal to the declared number of positions closed, the declared number of positions closed shall be allocated to positions with profit exceeding 10% according to the ratio of the declared number of positions closed to the number of positions with profit exceeding 10%.
If the number of positions above profit 10% is less than the declared liquidation quantity, the positions above profit 10% shall be distributed to the declared liquidation customers according to the ratio of positions above profit 10% to the declared liquidation quantity. Then the remaining declared positions are allocated to positions with a profit of more than 6% and positions with a profit of more than 0 in turn according to the above allocation method; There are still some left, so I won't send them.
(six) the implementation of compulsory load shedding.
The compulsory lightening shall be implemented after the closing of Dt trading day, and the result of compulsory lightening shall be regarded as the trading result of the member on Dt trading day.
(7) Compulsory price reduction.
The price of compulsory lightening is the stop-loss price of the Dt trading day of the contract.
(8) The trading margin shall be charged according to the normal standard at the time of settlement on the day of compulsory lightening.
The economic losses caused by compulsory liquidation according to the provisions of this article shall be borne by members and their customers.
Article 84 An exchange shall implement a risk warning system. When the Exchange deems it necessary, it may take one or more measures, such as asking for a report, talking reminder, written warning, public condemnation, and issuing a risk warning announcement, independently or simultaneously, to warn and resolve risks.