(A) 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 the profits and losses, trading fees, trading deposits and other funds of each customer. 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.

Second, the settlement formula and its application

(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.

(3) Related concepts

Closing a position refers to the behavior of futures traders to buy or sell futures contracts with the same variety, quantity and delivery month but in the opposite direction, and close futures trading.

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.