Measures for Risk Management of Dalian Commodity Exchange(for Public Consultation Only)
Chapter I General Provisions
Article 1 These Measures are formulated subject to the Trading Rules of Dalian Commodity Exchange for the purposes of strengthening the management of futures trading risks, protecting the lawful rights and interests of the parties to the futures trading and guaranteeing the normally carrying-out of the futures trading of Dalian Commodity Exchange (the “Exchange”).
Article 2 The risk management of the Exchange shall be subject to the margin policy, the price limit policy, the position limit policy, the large position report policy, the forced liquidation policy and the risk warning policy.
Article 3The Exchange, its Members, the overseas brokers and the clients must comply with these Measures. The overseas broker shall assist the futures company Member entrusted by it with trading settlement to properly perform such work as forced liquidation, large position report and risk alert. The futures company Member shall timely notify the overseas broker of the "Forced Liquidation Notice", forced liquidation result and/or risk alert letters that involve the overseas broker.
Chapter II Margin Policy
Article 4 The Exchange shall implement the margin policy. The minimum trading margin of the No. 1 soybeans, No. 2 soybeans, soybean meal, soybean oil, RBD palm olein, corn, linear low density polyethylene,polyvinyl chloride, coke, coking coal, iron ore, egg, fiberboard, blockboard, polypropylene, corn starchfutures contracts shall be five (5) percent of the contract value.
The trading margin for a newly opened position shall be charged as per the trading margin upon settlement on the immediately previous trading day.
The Exchange may adjust the standards for the trading margins of any contract on the basis of the market situation.
Article 5 With respect to any commodity futures contract which is listed in the Exchange, the Exchange will gradually increase its trading margin in the applicable periods as from the tenth trading day of the month immediately preceding the delivery month. The standards for the trading margin of such contract within a certain trading period shall be applicable upon settlement on the trading day immediately preceding the commencement date of such trading period.
The standards for the trading margins near the delivery period with respect to the commodity futures contract listed in the Exchange shall be:
Trading Period / Trading Margin (CNY/Lot)The tenth trading day of the month immediately preceding the delivery month / Ten (10) percent of the contract value
The first trading day of the delivery month / Twenty (20) percent of the contract value
Article 6 As the position quantities increase with respect to a certain contract, the Exchange will gradually increase the percentage of the trading margin of such contract and announce to the market.
Article 7 The trading margin with respect to the futures contract to which the price limit occurs shall be subject to the applicable provisions of Chapter III of these Measures.
Article 8 The Exchange shall have the right to take the measures of increasing the trading margins, on the basis of the market situation, unilaterally or bilaterally, proportionally or disproportionally, and/or for all or part Members in the event that with respect to a certain futures contract, the sum of the rising (falling) spans calculated as per the settlement price for three (3) consecutive trading days reaches two times the maximum rising/falling spans described in such contract, the sum of the rising (falling) spans calculated as per the settlement price for four (4) consecutive trading days reaches two point five times the maximum rising/falling spans described in such contract, or the sum of the rising (falling) spans calculated as per the settlement price for five (5) consecutive trading days reaches three times the maximum rising/falling spans described in such contract. The increased portions of the trading margin shall not exceed the amount one time the trading margin described in the contract.
Any of the preceding measures must be reported by the Exchange to the CSRC prior to the taking thereof.
Article 9 In case the market closes for a long time due to the statutory holidays, the Exchange may adjust the standards for the trading margins of the contract and the rising/falling spans of the price limit prior to the closing of the market.
Article 10 With respect to the contract which satisfies more than one provision herein in connection with adjusting the trading margin, its trading margin shall be the larger or the largest of the trading margins.
Chapter III Price Limit Policy
Article 11 The Exchange shall implement the price limit policy. The Exchange shall formulate the daily maximum price fluctuation ranges for each futures contract. The Exchange may adjust the rising/falling spans of the price limit on the basis of the market situation.
With respect to the contract which satisfies more than one provision herein in connection with adjusting the rising/falling spans of the price limit, its rising/falling spans of the price limit shall be the larger or the largest of the rising/falling spans of the price limit.
Article 12 With respect to the minimum trading margin of the No. 1 soybeans, No. 2 soybeans, soybean meal, soybean oil, RBD palm olein, corn, linear low density polyethylene, polyvinyl chloride, coke, coking coal, iron ore, egg, fiberboard, blockboard, polypropylene and corn starch contracts, the rising/falling spans of the price limit of the month immediately preceding the delivery month shall be four (4) percent of the settlement price of the immediately previous trading day, and the rising/falling spans of the price limit of the delivery month shall be six (6) percent of the settlement price of the immediately previous trading day.
The rising/falling spans of the price limit of any newly listed futures contract shall be two times the rising/falling spans of the price limit described in such contract; and the rising/falling spans of the price limit of such contract shall restored to be the rising/falling spans of the price limit described in such contract in case of transaction of a certain contract(s), or shall be the rising/falling spans of the price limit of the immediately previous trading day in case of no transaction thereof.
Article 13 Upon order at the rising/falling limit price with respect to a certain contract, the order-matching principle shall be subject to the principles of liquidation priority and time priority.
Article 14 The one-sided non-continuous quotation under the rising (falling) price limit shall refer to the circumstance that with respect to a certain futures contract, there is solely the buying (selling) order at the limit price without the selling (buying) order at the limit price, or the transaction will be made upon occurrence of any selling (buying) order without touching the limit price, within five (5) minutes prior to the closing of the market on a certain trading day.
Article 15In the event the one-sided non-continuous quotation under the rising (falling) price limit occurs on a certain trading day (supposing such trading day is denoted as the N trading day, the first, second and third trading day thereafter shall respectively be denoted as the N+1, N+2 and N+3 trading day, and so forth) with respect to a commodity futures contract launched on the Exchange, the rising/falling span of the price limit of such contract on the N+1 trading day shall be increased by three (3) percentage points over that on the N trading day (for example, if the rising/falling span of the price limit of the N trading day is four (4) percent of the settlement price on the preceding trading day, the rising/falling span of the price limit on the N+1 trading day shall be seven (7) percent of the settlement price on the N trading day, same below).Upon settlement on the N trading day, the trading margin standards of such contract shall be increased by two (2) percentage points over the rising/falling span of the price limit on the N+1 trading day (for example, if the rising/falling span of the price limit on the N+1 trading day is seven (7) percent of the settlement price on the N trading day, the standard margin of such contract shall be nine (9) percent of the value of such contract upon settlement on the N trading day, same below). In case the adjusted trading margin standards of such contract is less than the trading margin standards upon settlement on the trading day preceding the N trading day, the trading margin standards upon settlement on the trading day preceding the N trading day shall then prevail. In case the N trading day is the first trading day after the launch of such contract, the trading margin standards on the very launch day of such contract shall be deemed to be the trading margin standards of such contract upon settlement on the trading day preceding the N trading day.
In the event that the one-sided non-continuous quotation under the same-direction rising/falling price limit occurs on the N+1 trading day as on the N trading day with respect to a certain contract, the rising/falling span of the price limitof such contract on the N+2 trading day shall be increased by two (2) percentage points over that on the N+1 trading day. Upon settlement on the N+1 trading day, the trading margin standards of such contract shall be two (2) percentage points over the rising/falling span of the price limit on the N+2 trading day. In case the adjusted trading margin standards of such contract is less than the trading margin standards upon settlement on the N trading day, the trading margin standards upon settlement on the N trading day shall then prevail.
In the event that the one-sided non-continuous quotation under the same-direction rising/falling price limit occurs on and after the N+2 trading day as on the N+1 trading day with respect to a certain contract, the rising/falling span of the price limit and the trading margin standards of such contract as of the N+3 trading day shall be the same as that on the N+2 trading day, unless the one-sided non-continuous quotation under the same-direction rising/falling price limit no longer occurs to such contract.
Article 16In the event that the one-sided non-continuous quotation under the reverse-direction rising/falling price limit occurs on and after the N+1 trading day as on the preceding trading day with respect to a certain contract, this very trading day shall be deemed as the N trading day.
Article 17In the event that the one-sided non-continuous quotation under the rising/falling price limit does not occur on and after the N+1 trading day with respect to a certain contract, the trading margin shall be restored to normal level upon settlement on this very trading day, and therising/falling span of the price limit shall be restored to normal level on the following trading day.
Article 18 In the event that the one-sided non-continuous quotation under the same-direction rising/falling price limit occurs on the N+2 trading day as on the N+1 trading day with respect to a certain contract of any product other than the coke, coking coal, iron ore, egg, fiberboard, blockboard,polypropylene, corn starch contract, the Exchange will carry out the forced position-reduction after the closing of the market of the N+2 trading day; or in case the same-direction price limit are resulted from any Member’s or client’s abnormal trading, the provisions of Chapter VII hereof shall apply.
In the event that the one-sided non-continuous quotation under the same-direction rising/falling price limit occurs on the N+2 trading day as on the N+1 trading day with respect to the coke, coking coal, iron ore, egg, fiberboard, blockboard, polypropylene, corn starch contract, such contract will directly be subject to the delivery in case the N+2 trading day is the last trading day of such contract, or trading shall be continuously carried out on the N+3 trading day as per the price limit and the margin level of the N+2 trading day in case the N+3 trading day is the final trading day of such contract. Except for the foregoing two circumstances, the Exchange may decide to apply, and announce, on the N+2 trading day either of the following measures to the contract:
Measure 1: On the N+3 trading day, the Exchange will take the measures one or more of such following measures to mitigate or prevent the market risks as increasing the trading margins, unilaterally or bilaterally, proportionally or disproportionally, and/or for all or part Members; suspension of opening a new position for all or part Members; adjustment of the rising/falling spans of the price limit; limited withdrawal; liquidation within the limited period; and forced liquidation or other measures.
Measure 2: After the closing of the market on the N+2 trading day, the Exchange shall carry out the forced position-reduction.
Article 19 The forced position-reduction shall refer to that with respect to the unclosed but liquidated orders at the rising/falling limit price on the then-current day, the Exchange carries out the automatic order-matching as per the position percentage at the rising/falling limit price of the then-current day with the net position profitability client (or the non-futures company Member; same below) of the contract. With respect to the two-way position held by the same client, the liquidation orders of its net position shall participate in the calculation of the forced position-reduction, and the remaining liquidation orders shall be automatically hedged with its locked positions. The specific method for forced position-reduction is below:
(I) Determination of the ordered liquidation quantity:
After the closing of the market of the N+2 trading day, all the positions which have been ordered at the rising/falling limit price in the computer system but cannot be transacted in any way and with respect to which the client’s the net unit position loss of the contract is no less than five (5) percent (or for the RBD palm olein contract, four (4) percent) of the settlement price of the N+2 trading day.
In case the client does not intend to carry out the liquidation as described above, the orders may be withdrawn prior to the closing of the market and will not be deemed to be the liquidation orders.
(II) Determination of the client’s net unit position profit or loss:
The total of the client’s position profit or loss of the contract shall refer to the total of the profit or loss calculated at the difference between the actual transaction price and the settlement price of the then-current day with respect to the client’s all positions of the contract.
(III) Determination of the liquidation scope for the client of the net position profit
All the speculative positions of the client of which the client’s net unit position profit is Greater Than Zero Profit as calculated above, and the hedging positions of the client whose net unit position profit is greater than or equal to seven (7) percent of the settlement price of the N+2 trading day as calculated above, shall both fall into the liquidation scope.
(IV) Distribution principles and methods of the liquidation quantities:
1. Distribution principles and methods of the liquidation quantity
(1) The distribution thereof shall be made level by level on the basis of the four levels, within the liquidation scope, divided as per the size of the profitability and the difference in hedging.
Firstly, the distribution shall be made to the speculative positions which fall in the liquidation scope and whose net unit position profit is greater than or equal to six (6) percent of the settlement price of the N+2 trading day (“Speculative Positions with No Less Than Six Percent Profit”);
Secondly, the distribution shall be made to the speculative positions whose net unit position profit is greater than or equal to three (3) percent of the settlement price of the N+2 trading day but less than six (6) percent thereof (“Speculative Positions with No Less Than Three Percent Profit”);
Thirdly, the distribution shall be made to the speculative positions whose net unit position profit is less than three (3) percent of the settlement price of the N+2 trading day but Greater Than Zero Profit (“Speculative Positions with Greater Than Zero Profit”);