margin system
PTA Futures are subject to the margin system. The minimum trading margin of PTA futures contract is 6% of the contract value.
With the approval of the CSRC, the Exchange may adjust the minimum trading margin standard.
The trading margin of PTA futures contract shall be managed according to the "general month" (the month prior to the delivery month), "the month prior to the delivery month" and "the delivery month" of the listed transaction of the contract.
Generally, PTA futures contracts in a month adopt different trading margin ratios according to different positions. See the following table for details:
Proportion of trading margin in general months
Bilateral position (N ten thousand) N ≤ 40 4060
Transaction margin ratio 6% 9% 12% 15%
The PTA futures contract in the month before the delivery month adopts different trading margin ratios in the first ten days, the middle ten days and the last ten days. See the following table for details:
Trading margin ratio of the month before the delivery month
Early, middle and late
8% 15% 20%
If the positions of brokerage members, non brokerage members and investors (including hedging positions and arbitrage positions) in the month before the delivery month respectively reach 15%, 10% and 5% of the unilateral positions in the market in the latest delivery month, the margin ratio will be increased by 5 percentage points on the basis of the normal margin ratio.
From the time of settlement on the trading day prior to the closing month, all members holding the settlement month contract shall pay 30% of the contract value as the trading margin.
Where the trading margin is not paid on time, the Exchange has the right to forcibly close the position of the contract in the delivery month held by it until the margin can maintain the current position level.
During the trading process, when the position of a certain contract reaches the total position of a certain level, the new position opening contract shall be charged according to the trading margin standard of that level. After the end of trading, the Exchange will charge trading deposits corresponding to the total positions for all positions.
When a futures contract has a limit, the trading margin of the futures contract shall be subject to the relevant provisions of Chapter III of these Measures.
When the price of a contract in a month changes according to the settlement price, the cumulative increase/decrease (N) for four consecutive trading days (i.e. D1, D2, D3, D4 trading days) reaches three times the increase/decrease (N) specified in the contract, and for five consecutive trading days (i.e. D1 D2, D3, D4 and D5 trading days), if the cumulative increase or decrease (N) reaches 3.5 times of the increase or decrease specified in the contract, the Exchange has the right to increase the trading margin for some or all members according to the market conditions. The margin increase shall not be more than 3 times of the margin stipulated in the contract.
The calculation formula of N is as follows:
N＝(Pt—P0)／P0×100% t=4,5
P0 is the settlement price of the trading day before D1 trading day
Pt is the settlement price on transaction day t, t=4,5
The Exchange shall report to the CSRC in advance when taking the above measures.
In case of any abnormality in a futures contract, the Exchange may adjust the proportion of trading margin according to the prescribed procedures.
When the contract market risk of a certain variety in a certain month increases significantly, the Exchange can increase the trading margin for some or all members and investors in the same or different proportion according to the market situation.
If the market is closed for a long time on statutory holidays, the Exchange can adjust the margin standard and the limit range of price rise and fall of contract trading before the market is closed according to the market situation.
If the provisions of these Measures on adjustment of trading margin are met at the same time, the trading margin shall be charged according to the larger value of the specified trading margin value.
price limit
The Exchange shall implement the price limit system, and the maximum daily price fluctuation range shall be determined by the Exchange.
The trading margin and compulsory reduction of positions on the trading day and delivery month of the new contract are not subject to the following provisions of this chapter.
When PTA trades at the up and down limit price, the closing position priority and time priority principle shall be applied to the transaction matching principle.
When a PTA futures contract has only a buying (selling) declaration at the closing price and no selling (buying) declaration at the closing price within 5 minutes before the closing of a trading day, or it is closed as soon as there is a selling (buying) declaration, but the closing price is not opened, it is referred to as the unilateral no quotation for the rising (falling) limit (hereinafter referred to as the unilateral market).
If there is a unilateral market on a trading day, the trading margin ratio of the futures contract will be increased by 50% at the settlement of that day. The price range of the second trading day will automatically increase by 50% on the basis of the original price range (only in the direction of suspension).
If there is no unilateral market in the same direction on the second trading day, the third trading day will automatically return to the price range and margin standard specified in the futures contract; If there is a unilateral market in the same direction on the second trading day, the margin ratio after the increase will remain unchanged at the settlement of the day and the next trading day, and the price range after the increase will be maintained on the next trading day. If there is no unilateral market in the same direction on the third trading day, the price range and margin ratio specified in the futures contract shall be implemented on the fourth trading day.
If there is unilateral market in the same direction for three consecutive trading days, the Exchange can close the market for one day, and has the right to suspend the withdrawal of funds to some or all members.
The Exchange may also adopt the following measures to mitigate risks according to market conditions:
（1） Compulsory reduction. The Exchange will automatically match and close all positions with the profit positions of the contract in the specified way and method at the limit price of the day for the rise and fall of all positions declared at the limit price for closing positions that have not been closed, and the unit position loss is greater than or equal to 6% of the settlement price on the trading day. Before compulsory position reduction, investors (including investors of non brokerage members and brokerage members) automatically hedge their locked positions.
（2） If there is settlement or delivery risk in the market, which is producing or will produce significant impact, the Exchange can decide and announce to choose unilateral or bilateral, the same or different proportion, some members or all members to increase the trading margin, suspend some members or all members to open new positions, adjust the ratio of up and down limit, limit cash, close positions within a time limit, and forcibly close positions, Delay the delivery date, extend the delivery time and other measures to defuse market risks, but the proportion of the adjusted price limit shall not exceed 20%. After the Exchange announces to adjust the margin level, those with insufficient margin shall be added within the specified time.
The specific operation method of compulsory reduction is as follows:
（1） The quantity of compulsory position reduction is the sum of all declared closing positions that have been declared in the computer system but not concluded after the closing of the market on the day of compulsory position reduction, and the unit position loss of the investor (or non brokerage member, the same below) of the contract is greater than or equal to 6% of the settlement price on the trading day. When the investor's position is less than the quantity reported in the closing order due to the automatic hedging of the investor's two-way position, the system will automatically adjust the quantity of closing positions.
The calculation method of investor's unit position profit and loss:
Total profit and loss of the investor's position in the contract (yuan)
Profit and loss of the investor's position of the contract unit=--------
The investor's position of the contract (hand)
（2） Determination of the closing range of profitable investors:
The speculative positions (including the intertemporal arbitrage positions without receipt of the warehouse receipt) of the investors' unit position profits calculated according to the above method and the hedging positions where the investors' unit position profits are greater than or equal to twice the price range specified in the contract are included in the closing range. The positions corresponding to the holding of warehouse receipts, the arrival of goods and the intertemporal arbitrage positions corresponding to the receipt of warehouse receipts are not subject to compulsory reduction.
（3） Distribution principle and method of closing position quantity:
1. Distribution principle of closing position quantity:
(1) Within the range of closing positions, according to the size of profits and the difference between speculation and hedging, it is divided into four levels and distributed level by level.
First of all, it is allocated to speculative positions within the closing range whose unit position profit is more than or equal to twice the price range specified in the contract (hereinafter referred to as speculative positions with profit twice).
Secondly, it is allocated to speculative positions whose unit position profit is greater than or equal to one time of the price specified in the contract (hereinafter referred to as speculative positions whose profit is one time).
Re allocate to speculative positions with unit position profit greater than or equal to less than one time of the contract price (hereinafter referred to as speculative positions with profit less than one time).
Finally, it is allocated to the hedging position whose unit position profit is greater than or equal to 2 times the price range specified in the contract (hereinafter referred to as the hedging position whose profit is 2 times).
(2) The distribution proportion at all levels above shall be based on the ratio of the declared closing positions (the remaining declared closing positions) to the number of profitable positions that can be closed at all levels.
2. Allocation method and steps of closing position quantity:
If the number of speculative positions twice the profit is greater than or equal to the number of positions declared to be closed, the actual number of positions declared to be closed will be allocated to speculative investors twice the profit in proportion to the number of positions declared to be closed.
If the number of speculative positions twice the profit is less than the number of positions declared to be closed, the actual number of positions declared to be closed will be allocated to the investors who declare to be closed based on the ratio of the number of speculative positions twice the profit to the number of positions declared to be closed. Then distribute the remaining declared closing positions to speculative positions with profits of one time according to the above distribution method; If there is any surplus, it will be distributed to speculative positions with profits less than one time; If there is any surplus, it will be distributed to the hedging position twice the profit; If there is any surplus, it will not be distributed.
3. When the declared closing positions are distributed to profitable speculative investors in equal proportion, the following principles shall be followed:
First of all, the closing ratio is calculated according to the number of positions declared to be closed and the number of positions held by profitable speculative investors. Secondly, the total positions of each investor are multiplied by the specified proportion to calculate the number of positions closed by each investor. When the number of positions closed by investors is a decimal, it is rounded up; If the rounding is less than the minimum order quantity, the integer multiple of the minimum order quantity shall be taken upwards. Then, investors' positions are selected in the order of holding time from long to short. Finally, all the positions of the selected investors will be hedged with the declared closing positions according to the order of the position time from long to short.
The economic losses caused by the position closing stipulated in this article shall be borne by the members and their investors.
After the compulsory position reduction of the Exchange, the price range and margin of the next trading day shall be subject to the provisions of the futures contract.
After the Exchange adopts the risk mitigation measures listed in Item (2) of Paragraph 2 of Article 18 of these Measures, if there is no unilateral market in the same direction for the futures contract on the same day, the rise and fall limit and the trading margin ratio of the futures contract on the next trading day will return to the normal level. If the market risk has not been resolved, the Exchange will declare it an abnormal situation and take risk control measures according to relevant regulations.
Limited warehouse system
The Exchange implements a position limitation system. The position limit refers to the maximum number of speculative positions of a certain contract that members or investors can hold according to the regulations of the Exchange and calculated unilaterally.
The following basic systems are implemented for warehouse limitation:
（1） The PTA contract in a certain month is subject to different position limit amounts at different stages of its trading process, and the position limit amount of the contract entering the delivery month is strictly controlled;
（2） To control the size of market positions by combining the measures of restricting the positions of members and investors;
（3） Hedging trading positions are subject to the approval system, and their positions are not restricted.
The number of limited positions of PTA contracts decreases in sequence according to the three stages of "general month", "the month before the delivery month" and "the delivery month" of listed transactions.
In general months, the Exchange limits the positions of PTA futures contracts according to brokerage members, non brokerage members and investors.
The proportion of the largest unilateral position in PTA's general month in the market's unilateral position or absolute position limit
Brokerage member Non brokerage member Investor
Unilateral position more than 120000 hands ≤ 15% ≤ 10% ≤ 5%
Unilateral position 120000 and below 18000, 12000 and 6000
In the month prior to the delivery month, the Exchange will implement absolute position limits for unilateral positions of PTA contracts according to brokerage members, non brokerage members and investors, as well as the first ten days, middle ten days and the last ten days.
Maximum unilateral position in the month before the delivery month (hand)
Brokerage member Non brokerage member Investor
Mid late early early mid late early mid late early mid late
16000 12000 8000 8000 6000 4000 4000 3000 2000
In the delivery month, the Exchange implements an absolute position limit for unilateral positions of PTA contracts based on brokerage members, non brokerage members and investors. The specific quantity is as follows:
Maximum unilateral position in delivery month (hand)
Brokerage member Non brokerage member Investor
4000 2000 1000
The total positions of all investors under the name of a brokerage member (long positions and short positions are calculated separately, the same below) shall not exceed the position limit of the member.
The same investor has opened multiple trading codes at different brokerage members, and the total amount of all positions on each trading code shall not exceed the position limit of one investor.
The Exchange shall, according to the application of the futures brokerage company, adjust its position limit amount in accordance with its registered capital and operating conditions. The limit amount is composed of "base", "credit increase" and "business increase".
（1） Base: It is the relatively fixed part of the total amount of position restriction of brokerage members, and also the minimum level of their position restriction amount, which is stipulated by the Exchange. See Articles 24, 25 and 26 of these Measures for details;
（2） Credit increase: it refers to the part of the total position limit amount of brokerage members that can be changed according to the registered capital; With the registered capital of 30 million yuan as the base, for every additional registered capital of 5 million yuan, the amount of restricted positions will increase by 10% of the base; The maximum value of credit increase is equal to the base number;
（3） Business increase: refers to the part of the total amount of position restriction of brokerage members that can be changed according to business operation; With an annual trading amount of 4 billion yuan and 10 investors as the base, on this basis, set a number of grades, and respectively stipulate the limit and increase coefficient of each grade. The annual trading amount and the number of investors must simultaneously reach the corresponding annual trading amount and the total number of investors when applying the limit increase coefficient of each grade. The limit amount that can be increased for each grade is the base multiplied by a certain coefficient of the grade. The maximum value of business increment is equal to the base number.
In the first half of the year, the brokerage members must provide the Exchange with the supporting documents of the amount of registered capital at the end of the previous year and the statistical materials of the investors' accounts before January 15 of the current year. The Exchange shall count the trading volume of brokerage members from January 1 to December 31 of last year, notify the brokerage members before January 20 after verifying the position limit amount, and publish it; The position limit amount is applicable to the trading of all kinds of futures contracts between January 21 and July 20 of the current year (including the start and end dates).
In the second half of the year, the brokerage members must provide the Exchange with the certification documents of the amount of registered capital on June 30 of the current year and the statistical materials of the investors' accounts before July 15 of the current year. The Exchange shall count the trading volume of brokerage members from July 1 of last year to June 30 of the current year, notify the brokerage members before July 20 after verifying the position limit amount, and publish it; The position limit amount is applicable to the trading of all kinds of futures contracts between July 21 of the current year and January 20 of the next year (including the start and end dates).
If no supporting documents and statistical materials are provided or the supporting documents and statistical materials provided are invalid, the amount of registered capital and the number of investors shall be subject to the base level.
The adjustment of the amount of position limitation by the Exchange shall be approved by the board of directors and implemented after being reported to the CSRC for filing.
The number of positions held by members or investors shall not exceed the position limit specified by the Exchange. For members or investors exceeding the position limit, the Exchange shall carry out compulsory position closing in accordance with relevant regulations.
If an investor has opened multiple trading codes with different brokerage members, and the total position exceeds the position limit, the Exchange shall designate the relevant brokerage members to carry out compulsory closing of the excess position of the investor.
If the sum of the positions of all investors under the name of a brokerage member exceeds the position limit of the member, the brokerage member shall, in principle, divide the difference between the total and the position limit by the proportion of the total, and the brokerage member shall supervise its investors to reduce their positions within the specified time; If the position should be reduced but has not been reduced, the Exchange shall carry out compulsory position closing according to relevant regulations.
Large household reporting system
The Exchange implements the large account reporting system. When the speculative position of the member or investor PTA position contract reaches more than 80% of the speculative position limit (including this number) stipulated by the Exchange, the member or investor shall report its capital situation and position to the Exchange, and the investor must report through the brokerage member. The Exchange may change the position reporting level according to the market risk situation.
Members and investors who have reached the reporting limit of the Exchange shall take the initiative to report to the Exchange before 15:00 of the next trading day. If members and investors who have reached the reporting limit need to report again or make supplementary reports after fulfilling their reporting responsibilities and obligations for the first time, the Exchange shall notify the relevant members.
Article 37 Brokerage members who reach the reporting limit of the Exchange shall provide the Exchange with the following materials:
（1） The completed Report Form of Large Brokerage Members of Zhengzhou Commodity Exchange, which includes the name of the member, the member number, the contract code, the existing position, the time of position establishment, the position margin, the available funds, the number of position investors, the number of forecast deliveries, and the number of applications for delivery;
（2） Description of fund source;
（3） The names, transaction codes, positions, account opening information and settlement documents of the day of the top five investors with positions;
（4） Other materials required by the Exchange.
Non brokerage members that reach the reporting limit of the Exchange shall provide the Exchange with the following materials:
（1） The completed Report Form of Large Non Brokerage Members of Zhengzhou Commodity Exchange, including member name, member number, contract code, existing position, position establishment time, position nature, position margin, available funds, position intention, forecast delivery quantity, and application delivery quantity;
（2） Description of fund source;
（3） Other materials required by the Exchange.
Investors who have reached the reporting limit of the Exchange shall provide the following materials:
（1） The completed Report Form of Large Investors of Zhengzhou Commodity Exchange, including the name of the member, the member number, the name and code of the investor, the contract code, the existing position, the time of position establishment, the nature of the position, the position margin, the available funds, the position intention, the forecast number of transactions, the number of applications for delivery, etc;
（2） Description of fund source;
（3） Account opening materials and daily settlement documents;
（4） Other materials required by the Exchange.
Brokerage members shall make a preliminary examination of the relevant materials provided by investors who have reached the reporting limit of the Exchange, and then transfer them to the Exchange. Brokerage members shall guarantee the authenticity of the materials provided by investors.
The Exchange will check the materials provided by members or investors from time to time.
If an investor has opened multiple transaction codes with different brokerage members, and the total position amount of each transaction code reaches the reporting limit, the relevant materials of the investor's reportable situation shall be submitted through the brokerage member with the largest position.
Compulsory position closing system
The Exchange implements the system of compulsory position closing. Compulsory position closing refers to a compulsory measure taken by the Exchange to close positions when members and investors violate the rules.
The Exchange has the right to compulsorily close the positions of members and investors in any of the following circumstances:
（1） The balance of the settlement reserve is less than zero and cannot be replenished within the specified time;
（2） The position exceeds the position limit;
（3） Being punished by the Exchange for compulsory position closing due to violation of regulations;
（4） The position should be closed compulsorily according to the emergency measures of the Exchange;
（5） Other positions that should be closed by force.
The Exchange implements the principle of compulsory position closing:
Before compulsory closing positions, members shall close positions on their own. Unless otherwise specified by the Exchange, the time limit is 30 minutes after the opening of the market. If the member fails to complete the execution within the time limit, the Exchange shall enforce the execution.
（1） If the member unit closes the position by itself before the compulsory closing:
1. In case of items (1) and (2) of Article 44, the member units shall close their positions on their own in accordance with the provisions of the Exchange.
2. The contents of items (3), (4) and (5) of Article 44 shall be determined by the Exchange.
（2） Compulsory closing positions executed by the Exchange:
1. The Exchange shall carry out compulsory closing positions according to the closing list provided by members.
2. If a member does not provide a list of closing positions, it belongs to the compulsory closing positions in Item (1) of the preceding article: the positions that need to be closed positions shall be selected as the contracts for compulsory closing positions by the Exchange in the principle of first speculation, then arbitrage, and then hedging, and in the order of the total positions of contracts after the closing of the previous trading day, from large to small, Then the net position loss of the member investor in the contract is determined from large to small. If multiple members need to forcibly close their positions, the members who need to increase the margin shall be closed first in the order of increasing the margin.
3. If a member does not provide a list of closing positions, the compulsory closing positions referred to in Item (2) of the preceding article shall be carried out in accordance with the principle of first forcibly closing the excess positions of investors and then forcibly closing the excess positions of members. If there are investors who are overweight, the investors who are overweight will be forced to close their positions in the order from large to small; If there are more than one member who has excess positions, the order of excess positions from large to small shall be taken as the object of compulsory position closing; For the compulsory closing positions of specific members, the Exchange shall determine the number of relevant investors to close positions according to the proportion between the number of members' excess positions and the number of members' speculative positions, and the investors shall be forced to close positions according to the order of positions from large to small.
4. If a member does not provide a list of closing positions, it belongs to the compulsory closing positions in Items (3), (4) and (5) of the preceding article. The position of compulsory closing positions shall be determined by the Exchange according to the specific conditions of the members and investors involved.
If the members meet the conditions in Items (1) and (2) of the preceding article at the same time, the Exchange shall first determine the position of compulsory closing according to Item (2), and then determine the position of compulsory closing according to Item (1).
If the Exchange is unable to implement the above principles due to market reasons, the Exchange has the right to choose an opportunity to forcibly close positions.
Execution of compulsory closing position:
（1） Notification. In the case of items (1) and (2) of Article 44, the settlement documents provided by the exchange in the member service system shall prevail; For the compulsory closing positions in Items (3), (4) and (5) of Article 44, the trading house shall issue the compulsory closing position notice to relevant members in the form of "compulsory closing position notice".
（2） Execution and confirmation.
1. If the execution is not completed after the time limit for members to liquidate their positions on their own, the remaining part shall be directly executed by the Exchange at the special terminal for compulsory position closing at the market trading price according to the principles determined in the preceding article;
2. After the execution of compulsory closing positions is completed, the Exchange shall record the execution results and file them; The results of compulsory closing positions are sent with the transaction records of the day, and relevant members can obtain them through the member service system;
3. The price of forced closing positions is formed through market transactions.
If it is impossible to complete all the compulsory closing positions on the same day due to the price limit or other market reasons, the Exchange will make corresponding treatment to the member according to the settlement results.
If the contract month with the largest position of the relevant member cannot be compulsorily closed due to the price limit or other market reasons, the contract month with the smaller position of the member shall be selected in turn for compulsorily closed positions; If the compulsory closing of positions can only be delayed, the losses incurred as a result should still be borne by the members or investors; If the closing position is not completed, the position holder shall continue to bear the position responsibility or delivery obligation.
The profits generated from the compulsory closing positions of the Exchange shall be confiscated in accordance with relevant regulations; The direct responsible person shall bear the losses arising from the compulsory closing positions.
The losses incurred due to the forced closing of positions by an investor in violation of regulations shall be borne by the brokerage member of the place where the investor opens an account first, and then the brokerage member shall claim against the investor himself.
Risk warning system
The Exchange implements a risk warning system. When the Exchange deems it necessary, it may separately or simultaneously take one or more of the measures such as reporting requirements, talking reminders, and issuing risk reminder letters to warn and resolve risks.
In case of any of the following circumstances, the Exchange may meet with the designated member executives or investors to talk and remind them of risks, or require members or investors to report the situation:
（1） The futures price is abnormal;
（2） Abnormal transactions of members or investors;
（3） Abnormal positions of members or investors;
（4） Abnormal member funds;
（5） Members or investors are suspected of violating the rules or breaching the contract;
（6） The Exchange receives complaints involving members or investors;
（7） Members involved in the investigation of national law enforcement agencies;
（8） Other circumstances recognized by the Exchange.
If the exchange implements conversation reminding by telephone, it needs to keep the telephone recording; If you have a face-to-face conversation, you need to keep a record of the conversation.
Where the Exchange requires members or investors to report, the relevant reporting methods and contents shall refer to the large account reporting system.
The Exchange may issue a written risk reminder letter to members or investors when it finds that members or investors are suspected of violating the rules and trading positions are at greater risk.
In case of any of the following circumstances, the Exchange may issue a risk reminder letter to all or some members and investors:
（1） The futures price is abnormal;
（2） There is a large gap between the futures price and the spot price;
（3） There is a big gap between the domestic futures price and the international market price;
