In terms of the membership system of five domestic futures exchanges, four commodity futures exchanges adopt the full settlement system, that is, all members of futures exchanges are eligible to settle with futures exchanges.
China Financial Futures Exchange adopts the internationally accepted settlement membership system, that is, the exchange members are composed of settlement members and non-settlement members. Settlement members can engage in settlement business and have the qualification to settle with the exchange; Non-settlement members are not eligible for settlement with the Exchange. The exchange shall settle accounts with settlement members, which shall settle accounts with non-settlement members and customers entrusted by settlement members themselves, and non-settlement members shall settle accounts with customers entrusted by them. Settlement members are divided into trading settlement members, comprehensive settlement members and special settlement members according to their business scope. A trading settlement member can only handle settlement for its entrusted customers; A general settlement member may settle accounts for its clients and trading members who have signed settlement agreements with it; Special settlement members can only handle settlement for trading members who have signed settlement agreements with them.
Similar to the daily mark-to-market system prevailing in the international futures market, China's futures market implements the debt-free settlement system on the same day. Article 39 of the Law on Futures and Derivatives stipulates that futures trading shall be settled without liabilities on the same day. At the time designated by the futures trading place, the futures settlement institution shall settle the settlement participants according to the settlement price of the day; The clearing participants shall settle the traders according to the settlement results of the futures clearing institutions. The settlement result shall be promptly notified to the settlement participants and traders on the same day.
After the daily closing of China Futures Exchange, the profit and loss, trading margin, handling fees, taxes and other expenses of all contracts of clearing members shall be settled according to the settlement price of the day, and the net accounts receivable and payable shall be transferred in one lump sum, and the settlement reserve shall be increased or decreased accordingly. After the settlement of the exchange is completed, the settlement members shall settle the customers and trading members according to the same principles. Trading members shall settle accounts with customers in accordance with the same principles.
Treasury bond futures also implement the debt-free settlement system on the same day, and determine the investor's profit and loss on the same day according to the daily settlement price, which is directly reflected in the increase or decrease of the margin. There are three main methods to determine the settlement price in the mature foreign treasury bond futures market: one is the weighted average price for a period of time before closing; Second, the middle price of the best bid-ask price quotation at the close; Third, the closing price. The settlement price of China Futures Exchange is mainly determined by the first method.
According to the bond futures contract table, the daily profit and loss calculation formula of bond futures is as follows:
Profit and loss of the day = {∑ [(selling price-settlement price of the day) × selling quantity]+∑ [(settlement price of the day-settlement price of the day )× buying quantity]+(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 )× contract amount ÷ quotation unit.
For example, if three transactions are made one hour before closing, the transaction prices are 100 yuan, 10 yuan and 102 yuan respectively, and the transaction volume is10 lot, 20 lot and 30 lot respectively, then the settlement price of that day should be (/kloc- If an investor has opened five long positions at the price of 100 yuan, after settlement, the change of settlement reserve on that day is: (101.33-100) × 5×100000//kloc.