First, the deposit system.

When trading stock index futures, investors must pay a certain proportion of the value of their trading contracts as the fund guarantee for the performance of futures contracts, and then they can participate in the trading of futures contracts. This fund is what we often call a deposit. Margin is usually divided into trading margin and settlement reserve. Trading margin refers to the margin occupied by the contract, and settlement reserve refers to the margin not occupied by the contract. For example, if an investor invests 500,000 yuan in a capital account to trade the Shanghai and Shenzhen 300 stock index futures, assuming that the margin ratio is 15% and the contract multiplier is 300 yuan/point, then?

When the Shanghai and Shenzhen 300 Index is 3,500 points, the margin required for investors to trade two futures contracts should be 3,500× 300× 0.15× 2 = 310.5 million yuan, and the balance of settlement reserve (excluding transaction fees) should be 500,000-310.5 million yuan =

It should be pointed out that the trading margin standard of stock index futures is not static. When there are special circumstances such as unilateral market, legal holidays or obvious changes in market risk during trading, the exchange can dynamically adjust the trading margin standard according to the market risk. After the margin standard is adjusted, all positions of stock index futures contracts are settled according to the new trading margin standard on the day of adjustment.

Two. No debt settlement system on the same day

At that time, the debt-free settlement system was also called "mark-to-market" system. Simply put, the futures exchange should calculate the profit and loss of the contract held by investors according to the daily market price fluctuation, and transfer the corresponding funds in the margin account.

Stock index futures trading shall be settled at different levels. An exchange shall settle its clearing members first, and then the clearing members shall settle their trading members and their customers. At the end of daily trading, the exchange will settle the profit and loss, trading margin, handling fees, taxes and other expenses of all open contracts at the settlement price of the day, and transfer accounts receivable and accounts payable at the same time, so as to increase or decrease the settlement reserve of members accordingly.

After the Exchange notifies the settlement members of the settlement results, the settlement members shall settle the transactions with the trading members and customers according to the settlement results of the Exchange, and notify the trading members and customers of the settlement results in time. If the member's margin is insufficient after settlement, the exchange shall immediately issue a notice of additional margin to the member, and the member shall add margin to the exchange within the specified time. If the customer's margin is insufficient, the futures company shall immediately issue a notice of additional margin to the customer, and the customer shall increase the margin within the specified time. At present, investors can check the profit and loss of accounts online after daily trading to determine whether it is necessary to add margin or transfer profits.

Third, the price limit system.

The price limit system is mainly used to limit the daily maximum price fluctuation of futures contracts. According to the provisions of the price limit board, the fluctuation range of the trading price of each futures contract in a trading day shall not be higher or lower than the fluctuation range specified by the exchange in advance, and the quotation exceeding this range will be regarded as invalid and cannot be traded. By formulating the price limit system, the maximum profit and loss of the contracts held by members and investors in each trading day can be locked; It can effectively slow down and restrain the impact of some unexpected events and excessive speculation on futures prices. The price limit is based on the settlement price of the previous trading day of a contract, that is to say, the settlement price of the previous trading day plus the maximum allowable increase constitutes the upper limit of the price increase of the day, which is called the daily limit; The settlement price of the previous trading day MINUS the maximum allowable decline constitutes the lower limit of the price decline of the day, which is called the daily limit.

According to the trading rules formulated by CICC, the fluctuation of the Shanghai and Shenzhen 300 stock index futures contracts is limited to 10% of the settlement price of the previous trading day. In addition, in order to ensure that the stock index futures contract converges to the spot index on the maturity date, the price limit of the last trading day is 20% of the settlement price of the previous trading day. For quarterly contracts, due to its long listing cycle, the exchange has formulated special regulations on the price limit of quarterly contracts: the price limit of quarterly contracts on the first day of listing is 20% of the benchmark price; If there are transactions on the first day of listing, the next trading day will return to the range of price limit stipulated in the contract; If there is no transaction on the first day of listing, the price limit of the previous trading day will continue to be implemented on the next trading day.

Fourth, the position limit system.

In order to prevent market manipulation and excessive concentration of risks of a few investors, the exchange imposes certain restrictions on the upper limit of the number of contracts held by members and customers, which is the position limit system. Position limit refers to the maximum number of unilateral positions held by members or customers on a contract stipulated by the exchange; When the same customer opens positions in different members, the total number of unilateral positions in a contract shall not exceed the position limit of the customer. For the Shanghai and Shenzhen 300 stock index futures contracts, the positions of members and customers stipulated by CICC are as follows:

(1) Customer number of speculative trading. The unilateral position limit of the contract is100;

(2) If the total unilateral position of a contract exceeds 6,543,800+after settlement, the unilateral position of the settlement member in the next trading day shall not exceed the unilateral position of the contract.

25% of the total position. The Exchange has made other provisions on the position limit of customer number for hedging and arbitrage trading, so that such positions are not limited by the fact that the number of unilateral positions in a contract cannot exceed 100. Once the total number of positions held by members or customers exceeds this amount, the exchange may forcibly close the position or increase the margin ratio according to regulations.

V. Large position reporting system

The large position reporting system means that when the position of a member or customer in a contract reaches the position reporting standard stipulated by the exchange, the member or customer should report its funds and positions to the exchange or the regulatory agency. The exchange may, according to the market risk situation, announce the reporting standards of positions. The reporting system of large positions is another system closely related to the position limit system to prevent large positions from manipulating market prices and control market risks. By implementing the reporting system of large positions, the Exchange can focus on monitoring the members or customers who hold large positions, understand their position trends and intentions, and play a positive role in effectively preventing market risks.

The Measures for the Administration of Risk Control of China Financial Futures Exchange stipulates that members or customers who meet the criteria for reporting positions shall provide the following materials:

(1) Large position report, including member name, member number, customer name and transaction code, contract code, position, transaction margin, available funds, etc.

(2) explanation of the source of funds;

(3) Information of the actual controller of the legal person customer;

(4) the account opening information and settlement documents of the day;

(5) Other materials required by the Exchange.

Six, compulsory liquidation and compulsory lightening system

The compulsory liquidation system is a risk management system that cooperates with the position limit system and the price limit system. When the trading margin of exchange members or customers is insufficient and not replenished within the specified time, or when the positions of members or customers exceed the specified limit, or when members or customers violate the rules, the exchange will forcibly close the open positions held by them in order to prevent the risk from further expanding. This is the compulsory closing system. Forced lightening is a measure taken by the exchange to quickly and effectively resolve market risks and prevent a large number of members from defaulting when there are particularly serious risks such as unilateral non-continuous quotation limit in futures trading. Forced lightening refers to the fact that the exchange will automatically match the open positions declared by the daily limit with the profitable customers with net positions in the contract according to the proportion of positions. Because forced lightening will lead to changes in investors' positions and profits and losses, investors need to pay special attention.

Seven, the settlement guarantee system

Settlement guarantee refers to the * * * guarantee funds deposited by settlement members in accordance with the provisions of the exchange to deal with the default risk of settlement members. When a single clearing member breaches the contract, after using up the clearing deposit paid by the defaulting clearing member, it may require the clearing deposits of other members to bear the performance responsibility of the member in proportion. The establishment of the joint guarantee mechanism for clearing members ensures the normal operation of the market under extreme market conditions. Settlement guarantee is divided into basic guarantee and variable guarantee. The basic deposit refers to the minimum amount of deposit that a clearing member must pay to participate in the clearing and delivery business of the exchange.

Variable guarantee refers to the part where the settlement guarantee of a settlement member is higher than the basic guarantee, which is adjusted with the change of the business volume of the settlement member.

The introduction of the * * * margin mechanism of clearing members will provide a considerable amount of * * margin in the initial stage of the operation of the stock index futures market, which can increase the financial resources of the exchange to cope with risks, establish a buffer zone to resolve risks, further enhance the overall anti-risk ability of the exchange and provide a strong guarantee for the smooth operation of the market.