Margining Requirements for Futures(except for STF)
Determination of Margin Requirements
Clearing margin for index futures =
Closing price of the underlying spot index × 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 underlying spot within a certain period, anti-procyclicality and other possible factors with at least a 99 percent confidence interval to cover two-day premium 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 GDF contract, sell one GDF contract | Collect margin for one GDF contract. | |
| Buy one T5F contract, sell one T5F contract | Collect margin for one T5F 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 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 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 | MAXIMUM (margin for one TX contract, margin for one TE contract) |
|
| Sell one TX contract, buy one TE contract | MAXIMUM (margin for one TX contract, margin for one TE contract) | |
| Buy one TX contract, sell one TF contract | MAXIMUM (margin for one TX contract, margin for one TF contract) | |
| Sell one TX contract, buy one TF contract | MAXIMUM (margin for one TX contract, margin for one TF contract) | |
| Buy one TX contract, sell one MTX contract | Margin for one TX contract | |
| Sell one TX contract, buy one MTX contract | Margin for one TX contract | |
| Buy one TE contract, sell one TF contract | MAXIMUM (margin for one TE contract, margin for one TF contract) | |
| Sell one TE contract, Buy one TF contract | MAXIMUM (margin for one TE contract, margin for one TF contract) | |
| Buy one TE contract, sell one MTX contract | MAXIMUM (margin for one TE contract, margin for one MTX contract) | |
| Sell one TE contract, Buy one MTX contract | MAXIMUM (margin for one TE contract, margin for one MTX contract) | |
| Buy one TF contract, sell one MTX contract | MAXIMUM (margin for one TF contract, margin for one MTX contract) | |
| Sell one TF contract, Buy one MTX contract | MAXIMUM (margin for one TF contract, margin for one MTX contract) | |
| Sell one GTF contract, Buy one G2F contract | MAXIMUM (margin for one GTF contract, margin for one G2F contract) | |
| Sell one G2F contract, Buy one GTF contract | MAXIMUM (margin for one GTF contract, margin for one G2F contract) | |
| Sell one RHF contract, Buy one RTF contract | MAXIMUM (margin for one RHF contract, margin for one RTF contract) | |
| Sell one RTF contract, Buy one RHF contract | MAXIMUM (margin for one RTF contract, margin for one RHF contract) | |
| Buy one UDF contract, sell one SPX contract | MAXIMUM (margin for one UDF contract, margin for one SPF contract) | |
| Sell one UDF contract, Buy one SPX contract | MAXIMUM (margin for one UDF contract, margin for one SPF contract) |
