Clearing
Margining Requirements for Futures(except for STF)
Determination of Margin Requirements
Clearing margin for index futures =
Index futures
price × Value per index point × Risk coefficient
Clearing margin for Commodity futures =
Commodity
futures price × Contract size × Risk coefficient
Clearing margin for FX futures =
FX futures price
× Contract size × Risk coefficient
The calculation of the risk coefficient of margins for futures contracts is based on the price movements of the futures contract within a certain period, anti-procyclicality and other possible factors with at least a 99 percent confidence interval to cover two-day price variation.
(1) Same contract portfolios
| Combination | Margin requirement | Remark |
|---|---|---|
| Buy one TX contract, sell one TX contract | Collect margin for one TX contract. |
|
| Buy one TE contract, sell one TE contract | Collect margin for one TE contract. | |
| Buy one TF contract, sell one TF contract | Collect margin for one TF contract. | |
| Buy one MTX contract, sell one MTX contract | Collect margin for one MTX contract. | |
| Buy one MXFFX contract, sell one MXFFX contract | Collect margin for one MXFFX contract. | |
| Buy one TMF contract, sell one TMF contract | Collect margin for one TMF contract. | |
| Buy one XIF contract, sell one XIF contract | Collect margin for one XIF contract. | |
| Buy one GTF contract, sell one GTF contract | Collect margin for one GTF contract. | |
| Buy one G2F contract, sell one G2F contract | Collect margin for one G2F contract. | |
| Buy one E4F contract, sell one E4F contract | Collect margin for one E4F contract. | |
| Buy one BTF contract, sell one BTF contract | Collect margin for one BTF contract. | |
| Buy one ZEF contract, sell one ZEF contract | Collect margin for one ZEF contract. | |
| Buy one ZFF contract, sell one ZFF contract | Collect margin for one ZFF contract. | |
| Buy one SOF contract, sell one SOF contract | Collect margin for one SOF contract. | |
| Buy one SHF contract, sell one SHF contract | Collect margin for one SHF contract. | |
| Buy one M1F contract, sell one M1F contract | Collect margin for one M1F contract. | |
| Buy one GDF contract, sell one GDF contract | Collect margin for one GDF contract. | |
| Buy one TGF contract, sell one TGF contract | Collect margin for one TGF contract. | |
| Buy one RHF contract, sell one RHF contract | Collect margin for one RHF contract. | |
| Buy one RTF contract, sell one RTF contract | Collect margin for one RTF contract. | |
| Buy one TJF contract, sell one TJF contract | Collect margin for one TJF contract. | |
| Buy one XEF contract, sell one XEF contract | Collect margin for one XEF contract. | |
| Buy one XJF contract, sell one XJF contract | Collect margin for one XJF contract. | |
| Buy one XBF contract, sell one XBF contract | Collect margin for one XBF contract. | |
| Buy one XAF contract, sell one XAF contract | Collect margin for one XAF contract. | |
| Buy one UDF contract, sell one UDF contract | Collect margin for one UDF contract. | |
| Buy one SPF contract, sell one SPF contract | Collect margin for one SPF contract. | |
| Buy one UNF contract, sell one UNF contract | Collect margin for one UNF contract. | |
| Buy one SXF contract, sell one SXF contract | Collect margin for one SXF contract. | |
| Buy one F1F contract, sell one F1F contract | Collect margin for one F1F contract. | |
| Buy one BRF contract, sell one BRF contract | Collect margin for one BRF contract. |
(2) Different contract portfolios
| Combination | Margin requirement | Remark |
|---|---|---|
| Buy one TX contract, sell one TE contract, and vice versa. | MAXIMUM (margin for one TX contract, margin for one TE contract) |
|
| Buy one TX contract, sell one TE contract, and vice versa. | MAXIMUM (margin for one TX contract, margin for one TE contract) | |
| Buy one TX contract, sell one TF contract, and vice versa. | MAXIMUM (margin for one TX contract, margin for one TF contract) | |
| Buy one TX contract, sell one MTX contract, and vice versa. | Margin for one TX contract | |
| Buy one TX contract, sell one TMF contract, and vice versa. | Margin for one TX contract | |
| Buy one TX contract, sell one E4F contract, and vice versa. | MAXIMUM (margin for one TX contract, margin for one E4F contract) | |
| Buy one TX contract, sell one ZEF contract, and vice versa. | MAXIMUM (margin for one TX contract, margin for one ZEF contract) | |
| Buy one TX contract, sell one ZFF contract, and vice versa. | MAXIMUM (margin for one TX contract, margin for one ZFF contract) | |
| Buy one TX contract, sell one SOF contract, and vice versa. | MAXIMUM (margin for one TX contract, margin for one SOF contract) | |
| Buy one TX contract, sell one M1F contract, and vice versa. | MAXIMUM (margin for one TX contract, margin for one M1F contract) | |
| Buy one TE contract, sell one TF contract, and vice versa | MAXIMUM (margin for one TE contract, margin for one TF contract) | |
| Buy one TE contract, sell one MTX contract, and vice versa | MAXIMUM (margin for one TE contract, margin for one MTX contract) | |
| Buy one TE contract, sell one TMF contract, and vice versa | MAXIMUM (margin for one TE contract, margin for one TMF contract) | |
| Buy one TE contract, sell one E4F contract, and vice versa. | MAXIMUM (margin for one TE contract, margin for one E4F contract) | |
| Buy one TE contract, sell one ZEF contract, and vice versa. | Margin for one TE contract | |
| Buy one TE contract, sell one ZFF contract, and vice versa. | MAXIMUM (margin for one TE contract, margin for one ZFF contract) | |
| Buy one TE contract, sell one SOF contract, and vice versa. | MAXIMUM (margin for one TE contract, margin for one SOF contract) | |
| Buy one TE contract, sell one M1F contract, and vice versa. | MAXIMUM (margin for one TE contract, margin for one M1F contract) | |
| Buy one TF contract, sell one MTX contract, and vice versa. | MAXIMUM (margin for one TF contract, margin for one MTX contract) | |
| Buy one TF contract, sell one TMF contract, and vice versa. | MAXIMUM (margin for one TF contract, margin for one TMF contract) | |
| Buy one TF contract, sell one E4F contract, and vice versa. | MAXIMUM (margin for one TF contract, margin for one E4F contract) | |
| Buy one TF contract, sell one ZEF contract, and vice versa. | MAXIMUM (margin for one TF contract, margin for one ZEF contract) | |
| Buy one TF contract, sell one ZFF contract, and vice versa. | Margin for one TF contract | |
| Buy one E4F contract, sell one MTX contract, and vice versa. | MAXIMUM (margin for one E4F contract, margin for one MTX contract) | |
| Buy one E4F contract, sell one TMF contract, and vice versa. | MAXIMUM (margin for one E4F contract, margin for one TMF contract) | |
| Buy one E4F contract, sell one ZEF contract, and vice versa. | MAXIMUM (margin for one E4F contract, margin for one ZEF contract) | |
| Buy one E4F contract, sell one ZFF contract, and vice versa. | MAXIMUM (margin for one E4F contract, margin for one ZFF contract) | |
| Buy one E4F contract, sell one SOF contract, and vice versa. | MAXIMUM (margin for one E4F contract, margin for one SOF contract) | |
| Buy one E4F contract, sell one M1F contract, and vice versa. | MAXIMUM (margin for one E4F contract, margin for one M1F contract) | |
| Buy one MTX contract, sell one ZEF contract, and vice versa. | MAXIMUM (margin for one MTX contract, margin for one ZEF contract) | |
| Buy one MTX contract, sell one ZFF contract, and vice versa. | MAXIMUM (margin for one MTX contract, margin for one ZFF contract) | |
| Buy one MTX contract, sell one SOF contract, and vice versa. | MAXIMUM (margin for one MTX contract, margin for one SOF contract) | |
| Buy one MTX contract, sell one TMF contract, and vice versa. | MAXIMUM (margin for one MTX contract, margin for one TMF contract) | |
| Buy one MTX contract, sell one M1F contract, and vice versa. | MAXIMUM (margin for one MTX contract, margin for one M1F contract) | |
| Buy one TMF contract, sell one M1F contract, and vice versa. | MAXIMUM (margin for one TMF contract, margin for one M1F contract) | |
| Buy one ZEF contract, sell one ZFF contract, and vice versa. | MAXIMUM (margin for one ZEF contract, margin for one ZFF contract) | |
| Buy one ZEF contract, sell one SOF contract, and vice versa. | MAXIMUM (margin for one ZEF contract, margin for one SOF contract) | |
| Buy one ZEF contract, sell one TMF contract, and vice versa. | MAXIMUM (margin for one ZEF contract, margin for one TMF contract) | |
| Buy one ZEF contract, sell one M1F contract, and vice versa. | MAXIMUM (margin for one ZEF contract, margin for one M1F contract) | |
| Buy one ZFF contract, sell one TMF contract, and vice versa. | MAXIMUM (margin for one ZFF contract, margin for one TMF contract) | |
| Buy one SOF contract, sell one TMF contract, and vice versa. | MAXIMUM (margin for one SOF contract, margin for one TMF contract) | |
| Buy one RHF contract, sell one RTF contract, and vice versa. | MAXIMUM (margin for one RHF contract, margin for one RTF contract) | |
| Buy one UDF contract, sell one SPF contract, and vice versa. | MAXIMUM (margin for one UDF contract, margin for one SPF contract) | |
| Buy one UNF contract, sell one SXF contract, and vice versa. | MAXIMUM (margin for one UNF contract, margin for one SXF contract) | |
| Buy one GTF contract, sell one G2F contract, and vice versa. | MAXIMUM (margin for one GTF contract, margin for one G2F contract) | |
| Buy one GTF contract, sell one M1F contract, and vice versa. | MAXIMUM (margin for one GTF contract, margin for one M1F contract) | |
| Buy one G2F contract, sell one M1F contract, and vice versa. | MAXIMUM (margin for one G2F contract, margin for one M1F contract) | |
| Buy one XIF contract, sell one M1F contract, and vice versa. | MAXIMUM (margin for one XIF contract, margin for one M1F contract) |
