shfe officials answered questions about revision of risk control measures-买球app排行网站
updated on:dec 11,2013
date: june 6, 2013
recently shfe has revised the guidelines for risk control of shanghai futures exchange. it has adjusted provisions about the levels of margins based on the size of positions and on the phases of the contracts, and has improved the position limit mechanism targeting the future company members (fcm). yesterday, the relevant officials from shfe answered the reporter’s question about the contents and background of the revision.
question: what has this revision mainly involved?
answer: first, the revision has improved the relevant system of margins based on positions and the proportion limit mechanism for fcm. it is made up of the following two aspects.
1. it has adjusted the parameter of positions in the system of margins. with the on-going, in-depth development of market innovation, the continuous optimization of investor structure in recent years, the standards based on the former market scale are gradually out of tune with the market demand. in view of the average positions of dominant contracts of each product between january 1, 2010 and december 31, 2012, the exchange has adjusted the benchmarks of positions for the levels of margins of copper, aluminum, zinc and steel rebar, as well as the gap between different levels.
the original levels of positions for copper, aluminum and zinc were prescribed as the four levels of “120,000 lots and less”, “more than 120,000 and not more than
2. the revision has unified the figure of proportion limit for fcms of all products whose positions reach a certain scale. the original 15% or 20% limits for different fcms are now all expanded to 25%. meanwhile, the position limit standard for steel rebar is raised to 1,200,000 lots.
second, the revision has improved the system of margins based on phases of contract. it includes the following three aspects. first, it simplifies the setting of levels of increased margins according to the phases of the contracts, adjusting the original six levels to four, and the four phases of contracts stipulated for the products other than fuel oil are: from the listing day, from the first trading day of the first month before delivery month, from the first trading day of delivery month and from the second trading day before the last trading day. second, it proportionally lowers the level of margins closing on delivery month, sets the first level of margin as the lowest level of margin in the contract, sets the ratio of margin “from the first trading day of the first month before delivery month” at 10%, the ratio of margin “from the first trading day of delivery month” at 15%, and the ratio of margin “from the second trading day before the last trading day” at 20% (the phases of contract for fuel oil are described slightly differently). third, it ensures that the adjustment ranges of margins are proportionate to the spans of time, and consistent with that of silver and gold (the phases of contract for fuel oil are described slightly differently)
in addition, the revised guidelines has lowered the minimum trade margin standard for gold, silver and steel rebar futures contracts and has added relevant provisions about continuous trading.
question: what are the considerations for the revision of levels of margins based on positions?
answer: when the open interests of a contract accumulate to a certain limit and close on delivery month, the levels of margins will enable the exchange to raise the standards of trade margins level by level and by setting several levels near the delivery month, to gradually tighten up the position limit standards. it is an efficient safeguard to avert and dissolve market risks closing on delivery month.
this revision of system of margins is made out of three considerations. first, as contracts of large open interests have higher market operation costs, the original levels of margins, though controlling the risks, increase the costs as well. second, excessive margins are unfavorable for the hedging of industrial clients and thus restrict the functioning of the market. third, the market has a strong demand for revision. in recent years, the relevant market entities, especially the hedgers have expressed through different channels their hopes for relaxing the above-mentioned system.
given the constant improvement of the systems of laws and rules of the futures market, the establishment of the “five in one” regulatory system, the continuous enhancement of the risk management capacity of the members and the intensifying of rational trading, the role of the relevant systems mentioned above have been weakened by and by and should be adjusted according to market requirements.
question: what are the causes and purposes of relaxing the proportion limit for fcms?
answer: position limit is the mechanism that limits the quantities of open interests held by the members and clients in order to avoid the over concentration of market risks on a handful of dealers and to guard against market manipulations. in recent years, the volumes of trades and open interests in the futures market have been increasing year after year and the rushing in of industrial clients and other institutional investors has optimized the investor structure. with the expansion of the market scale and the increase of the need to manage risks through hedging or other activities, too low a limit on positions has impacted to some extent the depth of participation of the investors and the optimization of the structure of positions. the original position limit proportion can thus no longer accommodate the need of the market development.
meanwhile, under the “five in one” regulatory system, the regulatory capacity of the futures market has been remarkably enhanced, the room for market manipulation and foul trading has been constantly squeezed, while the cost of manipulation and foul play has been dramatically raised. the increase of products and volumes in trading, the constant optimization of the investor structure have made it difficult to manipulate the market. besides, with the constant growth of their capital strength and risk management levels, fcms are now able to take on ever larger scale of trading. as a result, relaxing proportion limit on fcms will satisfy the need of market development and still bring the risks under control, thus providing powerful support for the effective functioning of the market.
the adjustment of proportion limit on fcms will motivate industrial clients and other institutional investors to participate in hedging and other risk management activities and all in a broader space.
question: why has the levels of margins based on phases of contracts been adjusted?
answer: for one thing, the market operation costs are higher when closing on delivery month, which will add to the capital burden of hedging clients. for another, too high a level of margin near delivery month pushes the active months of the contracts toward the far month, and as a result, shrinks the liquidity of recent month contracts which is strongly needed by the enterprises for risk aversion, hampers the hedging activities of industrial clients, directly impairs the initiative of the spot enterprises to manage risks through the futures market and restricts the functioning of the market. with the increasing demand of enterprises to avert risks, the cry is growing ever louder to simplify the levels of margins based on phases of the contracts, and to properly lower the levels of margins near delivery month so that the enterprises may make full use of recent month contracts to hedge risks.
question: how will the exchange handle the relationship between risk aversion and development promotion?
answer: this revision of guidelines for risk control by shfe is a new measure to accommodate the need of marketization, to act out the principle of relaxed restriction and tightened regulation, and to further build up basic systems and improve market mechanism. at present, the futures market is still at its preliminary stage of development, far from being able to satisfy the demand of the real economy development. the exchange will adhere to the orientation of the market, to the central purpose of serving the real economy, and to the practice of promoting the healthy and continuous development of the market through innovation. it will take development promotion in one hand and risk aversion in the other, promoting development on the premise of risk aversion, and enhancing risk aversion capacity in the process of promoting development. on the one hand, the exchange will put the safe and steady operation of the market in the first place, actually intensify risk aversion and regulation, and hold on to the bottom line of never allowing systematic risks to happen. on the other hand, it will intensify the meticulous study of the market operations, closely contact the members and clients, promptly improve each rule and mechanism according to the market changes, and upgrade the capacity and level of the market services to the real economy.
shfe officials answered questions about revision of gold futures contract
recently, shfe has revised the standard contract of gold futures. the provision about “minimum price fluctuation” will be implemented from june 25. the reporter interviewed the relevant officials from shfe specifically about the background of the revision and the specific implementations.
question: what is the background of the revision of the standard contract of gold futures?
answer: since the launch of gold futures, the relevant systems have played positive roles in guarding against all kinds of risks at the beginning stage of the market development. the expected goals have been achieved and as a result the market has run smoothly and the functions of the futures have begun to come to play. however, with the rapid development of precious metal industries and related spot markets, the existing rules have evinced their limitations and incapacity to accommodate the needs of the market for further development. meanwhile, the market participants are getting louder and louder in their demand for revision.
in recent years, the market environment has been daily improved, the financial reform has been deepened, the idea of futures has been increasingly popular and the risk control capacity of the market has been strengthened. to further promote the positive operation of the futures market of precious metals, it is time to revise and perfect the standard contract of gold futures.
question: why is the provision about “the delivery month of contract” revised?
answer: in this revision, the exchange has adjusted the relevant stipulations about the delivery month in gold futures to “the contracts of the last three consecutive months and the bimonthly contracts within the latest 11 months”. first of all, it refers to the established practices in major international gold futures markets, and thus facilitates the connection with the international market. for example, the delivery month of gold futures contract in comex is contracts of three consecutive recent months and bimonthly contracts in far months. second, in view of current market dealings, the trade volumes are mainly concentrated on june or december contracts. to further improve the designs of the contract so as to satisfy the market demands, the exchange believed it is necessary to adjust properly the delivery month of gold futures contract.
question: why is the provision about “minimum price fluctuation” adjusted in the gold futures contract?
answer: to further improve the designs of gold futures contract and its operational efficiency, while at the same time ensuring the continuity of the prices of gold futures, the exchange has adjusted the minimum price fluctuation from 0.01 yuan/gram to 0.05 yuan/gram.
question: how does the exchange arrange to implement the provision about “minimum price fluctuation” in the revised gold futures contract?
answer: the provision about “minimum price fluctuation” in the revised gold futures contract will be implemented from june 25. the relevant adjustments after its implementation are as follows:
1. the settlement on june 24 is executed according to the original rules.
2. on june 25, the exchange will adjust the previous closing and settlement prices according to the revised provision about “minimum price fluctuation”, and then release the real-time quotations. for contract prices whose last digit is 0 or 5, the last digit remains unchanged. the last digit of 1 or 2 is adjusted to 0. the last digit of 3, 4, 6 or 7 is adjusted to 5. the last digit of 8 or 9 is adjusted to 0 and causes an increment of the next digit to the left.
3. the price limit of gold futures contract on june 25 is calculated against the adjusted previous settlement price.
4. the settlement on june 25 uses the settlement price on june 24 as the previous settlement price.
question: how to implement the provision about “the delivery month of contracts” in the revised gold futures contract?
answer: the provision about “the delivery month of contracts” in the revised gold futures contract will be implemented the day au1408 is listed. the listed contracts before the listing of au1408 will be executed according to the original rules.