来源：瑞达期货
集运指数（欧线）期货交易结算及风险管理制度
56.
集运指数（欧线）期货合约的当日结算
价如何确定？
集运指数（欧线）期货合约的当日结算价为当日合约成交价格按照成交量的加权平均价。其他情况下结算价的确定方式参照《上海国际能源交易中心结算细则》（下称《结算细则》）相关规定执行。
57.
集运指数（欧线）期货的交割
结算价如何确定？
集运指数（欧线）期货的交割结算价是集运指数（欧线）期货交割结算的基准价，为上海航运交易所在集运指数（欧线）期货合约最后交易日发布的及最后交易日前第一、第二个指数发布日发布的三个上海出口集装箱结算运价指数（欧洲航线）的算术平均值。公式表示如下：
PT：为集运指数（欧线）期货合约交割结算价
P1：为上海航运交易所在集运指数（欧线）期货合约最后交易日前第二个指数发布日发布的指数点位
P2：为上海航运交易所在集运指数（欧线）期货合约最后交易日前第一个指数发布日发布的指数点位
P3：为上海航运交易所在集运指数（欧线）期货合约最后交易日发布的指数点位
58.
上海航运交易所没有发布用于计算
集运指数（欧线）期货交割结算价
的标的指数时怎么办？
如果上海航运交易所没有在规定时间按时发布用于计算交割结算价的标的指数，就会影响交割结算的顺利进行。此时，上期能源将给予上海航运交易所合理的等待时间，如果上海航运交易所在P1、P2发布日所在周周三北京时间15:05前仍未发布P1、P2，在P3发布日北京时间15:30前仍未发布P3，上期能源可以根据市场情况确定P1、P2和P3，并及时向市场公告。
59.
当某集运指数（欧线）期货合约连续
多个交易日累计涨跌幅达到一定程度时
（未出现连续单边市），
有何风控措施？
当某集运指数（欧线）期货合约连续三个交易日（即D1、D2、D3交易日)的累计涨跌幅（N）达到18%、连续四个交易日（即D1、D2、D3、D4交易日）的累计涨跌幅（N）达到24%，或者连续五个交易日（即D1、D2、D3、D4、D5交易日）的累计涨跌幅（N）达到30%的，上期能源可以根据市场情况，采取《上海国际能源交易中心风险控制管理细则》第九条的一种或者多种措施，并事先报告中国证监会。主要措施包括：（一）对部分或者全部会员、境外特殊参与者单边或者双边、同比例或者不同比例提高交易保证金；（二）限制部分或者全部会员出金；（三）暂停部分或者全部会员、境外特殊参与者开新仓；（四）调整涨跌停板幅度，但调整后的幅度不超过20%；（五）限期平仓；（六）强行平仓；（七）能源中心认为必要的其他措施。
60.
当某集运指数（欧线）期货合约出现
连续同方向单边市时，
有何风险处置措施？
如果在最后5个交易日内出现连续同方向单边市（且D1在最后5个交易日内），上期能源允许继续交易直至最后交割。除以上情形外，出现连续同方向单边市的，按照上期能源现有单边市的处置规则进行风险处置。
61.
集运指数（欧线）期货持仓限额制度
如何设计？
在持仓限额设置上，一方面要防止交易者利用资金优势操纵持仓量、影响期货交易价格，另一方面考虑到在期货合约运行的不同时期限仓有不同的目的，上期能源采用比例限仓和时间梯度限仓相结合的限仓方式。具体来说，集运指数（欧线）期货合约在上市运行不同阶段一般持仓的限仓比例和持仓限额按下表执行：
注：表中持仓量、限仓数额按照单向计算。
62.
集运指数（欧线）期货会设置
交易限额吗？
为控制市场风险，自上市之日起，非期货公司会员、境外特殊非经纪参与者或者客户在集运指数（欧线）期货某一合约上单日开仓量不超过1000手。
63.
对集运指数（欧线）期货高频交易
如何监管？
上期能源将在集运指数（欧线）期货合约上，对信息量（报单、撤单等交易指令的笔数）和委托成交比（OTR，Order to Trade Ratio）达到一定标准的客户收取申报费。
申报费费率标准如下：
注释：信息量=报单、撤单、询价等交易指令笔数之和。报单成交比（OTR）=（信息量/有成交的报单笔数）- 1。有成交的报单笔数为0时，视其为1来计算OTR。上述信息量包括立即全部成交否则自动撤销指令（FOK）和立即成交剩余指令自动撤销指令（FAK）产生的报单和撤单笔数。
64.
集运指数（欧线）期货会引入
做市商吗？
上期能源将在集运指数（欧线）期货交易上引入做市商，为市场提供流动性。
65.
标的指数连续三周及以上不能正常发布
或终止发布时如何应对？
当标的指数连续三周及以上无法正常发布或终止发布时，上期能源可以根据《上海国际能源交易中心风险控制管理细则》的规定，经董事会决定，采取调整开市闭市时间、暂停交易、终止交易、调整涨跌停板幅度、提高保证金标准、限期平仓、强行平仓、限制出金、强制减仓、限制交易等紧急措施化解风险，并可以宣布为异常情况。
66.
现货市场或标的指数出现重大
不可控因素时的应对措施是什么？
在集运指数（欧线）期货交易过程中，因战争、社会动荡、自然灾害、标的指数出现重大不可控风险等因素，对其交易正在产生或者即将产生重大影响时，能源中心总经理可以采取调整开市收市时间、暂停交易、终止交易等紧急措施。终止交易当天结算时，能源中心可以对其全部或者部分合约月份持仓按照上一交易日结算价进行平仓。
67.
标的指数修正时的应对措施是什么？
为维护期货市场秩序，上期能源在《上海国际能源交易中心交割细则》中规定，集运指数（欧线）期货合约最后交易日北京时间15:30后，上期能源根据业务规则确定的集运指数（欧线）期货合约的交割结算价不作调整。
68.
集运指数（欧线）期货的相关结购汇
如何办理？
集运指数（欧线）期货交易以人民币计价、结算。境外交易者、境外经纪机构可以使用人民币或直接使用美元作为保证金，但美元保证金结汇后方可用于资金结算。
结汇和购汇应基于境外交易者、境外经纪机构从事集运指数（欧线）期货交易的实际结果办理，只涉及期货交易盈亏结算、缴纳手续费或追缴结算货币资金缺口等与集运指数（欧线）期货交易相关的款项。
69.
境外参与集运指数（欧线）期货交易
的资金如何划转？
集运指数（欧线）期货作为境内特定品种，按照中国人民银行公告〔2015〕第19号、国家外汇管理局汇发〔2015〕35号文及相关《政策问答》有关规定，境外交易者、境外经纪机构可以从境外汇入人民币或美元资金参与境内特定品种期货交易，该等资金在境内实行专户存放和封闭管理，不得用于除境内特定品种期货交易以外的其他用途。资金的划转应符合政策规定的账户收支范围。
70.
同一集团公司的多个实体参与交易，
其持仓总额是分开管理还是
合并后按照净头寸管理？
每个实体对应的交易编码下的多空持仓按法规规定的持仓限额管理，多空分开计算，不做净头寸管理。如果多个实体非实际控制关系，则持仓总额分开管理。如果多个实体是实际控制关系，对于自营会员或境外特殊非经纪参与者，需要向上期能源报备相关实控信息；对于一般客户，则需要向监控中心报备相关实控信息，上期能源按规定通过监控中心获取实际控制关系账户信息，并对相关实际控制关系交易编码下的持仓进行合并计算和管理。
71.
集运指数（欧线）期货套保和套利
有哪些规定？
上期能源对套期保值业务实行审批管理，在一般持仓不能满足企业套保业务的实际需求时，可以向上期能源申请套期保值额度。
集运指数（欧线）期货合约的套期保值交易持仓和套利交易持仓，所涉的一般月份是指合约挂盘至最后交易日前第八个交易日，所涉的临近交割月份是指最后交易日前第七个交易日至最后交易日。
集运指数（欧线）期货合约的一般月份套期保值额度应当在该套期保值所涉合约挂盘至最后交易日前第八个交易日之间提出，逾期上期能源不再受理。
集运指数（欧线）期货合约临近月份套期保值额度和套利额度的申请应当在该合约交割月份前第一月的第一个交易日至最后交易日前第五个交易日之间提出，逾期上期能源不再受理。
集运指数（欧线）期货合约临近月份套期保值额度在最后交易日前第七个交易日至最后交易日前第三个交易日可以重复使用，自最后交易日前第二个交易日起不得重复使用。
72.
是否可以使用信用证作为保证金？
目前不接受信用证作为保证金。
73.
境外特殊非经纪参与者、境外客户是否
可以使用外汇资金作为保证金？
境外特殊非经纪参与者、境外客户可以使用外汇资金作为保证金。以外汇资金作为保证金的，以中国外汇交易中心公布的当日人民币汇率中间价作为其市值核定的基准价，目前上期能源规定可用于作为保证金的外汇币种为美元，折扣率为0.95。当日闭市前外汇资金的市值先按照前一交易日中国外汇交易中心公布的当日人民币汇率中间价核算。每日结算时按上述规定的方法重新确定外汇资金作为保证金使用的基准价并调整折后金额。
74.
境外特殊非经纪参与者、境外客户的
外汇资金只能作为保证金，所有费用
和盈亏结算仍然必须使用人民币结算？
是的。
集运指数（欧线）期货作为境内特定品种适用中国人民银行公告〔2015〕第19号相关规定：“二、境内原油期货交易以人民币计价、结算...... 九、境外交易者、境外经纪机构可以直接使用外汇作为保证金，外汇保证金结汇后方可用于境内原油期货资金结算......十三、中国证券监督管理委员会批准的其他境内特定品种期货交易的跨境结算业务，参照本公告办理。”
上期能源《结算细则》第二十三条规定：“人民币作为能源中心结算币种。”第七十四条规定，经能源中心批准，标准仓单、中华人民共和国财政部在境内发行的记账式国债、外汇资金（币种类别、折算方式和适用范围等由能源中心另行公布）等资产可以作为保证金。
75.
外汇兑换是否只能在存管银行办理？
结购汇必须通过境外客户保证金指定存管银行办理。会员办理结购汇时，可以先查询相关银行的实时汇率，然后选择合适的银行发送换汇申请。
76.
《结算细则》第三十九、四十条规定“当
日结算完成后，会员在能源中心的任一
内部明细账户的当日结算准备金余额低
于最低余额要求时，结算结果即视为能
源中心向会员发出的追加保证金通知，
两者的差额即为追加保证金金额。
......会员应当在下一交易日开市前补足
至结算准备金最低余额”。补充保证金
的操作在实际操作中一旦无法满足要
求如何处理？
《结算细则》第四十条规定了会员在上期能源的任一内部明细账户未补足保证金时的处理，即：如果结算准备金余额大于或者等于零的，该账户对应的会员或者境外特殊参与者不得开新仓；如果结算准备金小于零的，能源中心按照《上海国际能源交易中心风险控制管理细则》的规定进行强行平仓等处理。
77.
通过境内期货公司参与交易的境外
公司是否必须开立 专用资金托管账户？
直接委托境内期货公司进行结算（或者交易和结算）的境外交易者、境外经纪机构，必须在具有境外客户保证金存管业务资格的指定存管银行开立专用期货结算账户。
78.
境内非期货公司会员是否可以
开立外汇资金账户？
不可以。
国家外汇管理局〔2015〕35号文规定，境外交易者、境外经纪机构以及具有结算资格的期货公司或其他机构为境外交易者、境外经纪机构从事境内特定品种期货交易提供交易、结算等服务的，可以开立相应的外汇专用账户。
Clearing and Risk Management
56.
How is the daily settlement price
of an EC contract determined?
The daily settlement price of an EC contract is the volume-weighted average price of all trades in that contract executed on that trading day. For special-case situations, please refer to Articles of the INE Clearing Rules.
57.
How is the final settlement price
of an EC contract determined?
The final settlement price of an EC contract is the benchmark price for its final settlement, and is now set to the arithmetic mean value of the three SCFIS (Europe service) values published by the SSE on the last trading day of the contract and on the first and second index publication days before the last trading day. In terms of formula:
PT: The final settlement price of a containerized freight index (Europe Service) futures contract
P1: The index point value published by the Shanghai Shipping Exchange on the second index publication day before the last trading day of the contract
P2: The index point value published by the Shanghai Shipping Exchange on the first index publication day before the last trading day of the contract
P3: The index point value published by the Shanghai Shipping Exchange on the last trading day of the contract
58.
What if SSE fails to publish the
underlying index for calculating
the final settlement price of an
EC contract?
If SSE fails to publish the underlying index for calculating the final settlement price of an EC contract on time, the final settlement of the contract will be affected. In this case, INE will wait for the publication for a reasonable period. If SSE still fails to publish P1 and P2 before 3:05 p.m. Beijing time on the Wednesday of the week when they should be published, or fails to publish P3 before 3:30 p.m. Beijing time on the day when it should be published, INE may determine P1, P2, and P3 based on market conditions and announce them to the market on a timely basis.
59.
What risk control measures will be
taken if the cumulative price
change in an EC contract reaches
a certain percentage (but does not
trigger a continuous limit-locked
market)?
If the cumulative price change (denoted as N) in an EC contract reaches 18% over 3 consecutive trading days (denoted as D1-D3), or 24% over 4 consecutive trading days (denoted as D1-D4), or 30% over 5 consecutive trading days (denoted as D1-D5), INE may, in view of market conditions, take one or a combination of measures stipulated by Article 9 of the Risk Management Rules of the Shanghai International Energy Exchange, and report to the CSRC in advance. The measures include: (1) require additional trading margin from some or all of the Members and/or OSPs on long and/or short position, at the same or different rates of margin rates; (2) limit the withdrawal of funds by some or all of the Members; (3) suspend the opening of new positions for some or all of the Members and/or the OSPs; (4) adjust the price limit, but not to be over 20% up or down; (5) require the liquidation of positions by a prescribed deadline; (6) exercise forced position liquidation; and/or (7) take other measures INE deems necessary.
60.
What risk control measures will be
taken if an EC contract triggers a
same direction limit-locked market?
If a same direction limit-locked market exists on the last 5 trading days (and D1 falls on one of these 5 trading days), trading is permitted until the final settlement. The risks of any other same direction limit-locked market will be managed in accordance with INE’s existing risk control rules on limit-locked market.
61.
How is the position limit of
EC contracts designed?
To prevent investors from using their capital strength to manipulate the open interest and thus influence futures trading prices, and to achieve different purposes at different periods of trading, INE imposes different relative and absolute position limits on EC contracts. The specific limits at different periods of trading are as follows:
Note: The open interest and the position limits in the table are counted by either long or short positions.
62.
Is a trading limit set for
EC contracts?
To control market risks, Non-FF Members, OSNBPs, and Clients may not open more than 1,000 lots on an EC contract in a single day from the date of listing.
63.
How is high-frequency trading
regulated for EC contracts?
INE will charge order submission fees for Clients whose message amount (the number of trading orders such as order placement and order cancellation) and order to trade ratio (OTR) reach a certain threshold on EC contracts.
Below are the order fee rates for the EC contract:
Notes: MA = total number of trading orders such as order placement, order cancellation, and request for quote; OTR= (MA / number of executed orders) – 1. If the number of executed orders is 0, it would be treated as 1 for calculating OTR. MA includes order placement and cancellation resulting from fill-or-kill (FOK) orders and fill-and-kill (FAK) orders.
64.
Will market makers be introduced
to the EC market?
INE will introduce market makers to the EC market to provide liquidity.
65.
What happens if the underlying
index is not published for three
consecutive weeks or is
terminated?
If the underlying index is not published for three consecutive weeks or is terminated, INE may, subject to the INE Risk Management Rules and the approval of its Board of Directors, take the following emergency measures to mitigate risks and announce an abnormal situation has occurred: adjusting the market opening and closing time, suspending trading, terminating trading, adjusting the price limit, raising the margin requirement, requiring the liquidation of positions by a prescribed deadline, carrying out forced liquidation, suspending funds withdrawals, carrying out forced position reduction, and restricting trading, among others.
66.
What risk control measures will be
taken if significant uncontrollable
factors in the spot market or
underlying index occurs?
During the trading of the containerized freight index (Europe Service) futures, in case that war, social instability, natural disasters, significant uncontrollable risks of underlying index or other factors are having or are going to have a significant impact on the trading of containerized freight index (Europe Service) futures, the CEO of the Exchange may take emergency measures such as adjusting the opening and closing time of the market, suspending or terminating trading. Upon settlement on the relevant day when the trading is terminated, the Exchange may liquidate positions of all or part of the containerized freight index (Europe Service) futures contract months based on the settlement price of the immediately preceding trading day.
67.
What measures will INE take when
the underlying index is corrected?
To maintain an orderly futures market, the INE Delivery Rules provides that, after 3:30 p.m. Beijing time on the last trading day of an EC contract, the final settlement price for the contract as determined by INE rules is not subject to further adjustment.
68.
How to perform currency exchange
for trading EC contracts?
EC contracts are priced and settled in RMB. Overseas traders and overseas brokers may post margin in RMB or directly in USD, but USD-denominated margin can be used for clearing purposes only after it is exchanged into RMB.
For overseas traders and overseas brokers, the purchase and sale of RMB must be based on the actual results of their trades in EC contracts, and may only be performed for payments in connection with such trades, such as for settling profits and losses, paying transaction fees, making or receiving delivery payment, and depositing additional cash funds for clearing purposes.
69.
For overseas traders, how are fund
transfers handled for EC contracts?
EC contracts are classified as a Specified Domestic Product. According to PBC’s Announcement [2015] No. 19 and SAFE’s Circular Huifa [2015] No. 35 and related Q&As, overseas investors and overseas brokers may transfer offshore RMB or USD to onshore bank accounts to trade Specified Domestic Products. These funds will be deposited in dedicated accounts under closed-loop management, and may not be used for any purpose other than the trading of Specified Domestic Products. Fund transfers should comply with the scope of payments and receipts prescribed by relevant policies.
70.
For risk management purposes,
will the positions held by
subsidiaries of the same parent
company be managed separately
or be aggregated and managed
on a net basis?
Long and short positions under each entity’s trading code are subject to the position limits set out in applicable rules, and are calculated separately without netting. Additionally, if several entities are not linked by actual control relationship, their positions will be managed separately; if the entities are linked by actual control relationship, non-FF Members and OSNBPs are required to report accounts linked by actual control relationship to INE, while clients should do so with CFMMC. INE obtains information about these accounts from CFMMC, and aggregates and manages relevant positions accordingly.
71.
What are INE’s rules for hedging
and arbitrage of EC contracts?
INE manages hedging activities through a review and approval system. If a trader believes that the regular position limit is too low to meet its hedging needs, it may apply to INE for a hedging quota.
In relation to the hedging and arbitrage positions in an EC contract, the regular months are the period from the listing day to the eighth trading day before the last trading day; the nearby delivery month is the period from the seventh trading day before the last trading day to the last trading day.
For an EC contract, the application for hedging quota for regular months should be submitted between the listing day and the eighth trading day before the last trading day. No late application will be accepted.
The application for hedging quota or arbitrage quota for nearby delivery months should be submitted between the first trading day of the month before the delivery month and the fifth trading day before the last trading day. No late application will be accepted.
The hedging quota for nearby delivery months may be used in a revolving manner starting from the seventh trading day before the last trading day until the second trading day before the last trading day.
72.
Can letters of credit be posted
as margin?
Currently, INE does not accept letters of credit as margin collateral.
73.
Can OSNBPs and overseas clients
post foreign currency as margin?
OSNBPs and overseas clients can use foreign currency as margin. If foreign currency is used, the day’s CNY (RMB) central parity rate published by the China Foreign Exchange Trade System (CFETS) will be used to calculate the market value of the foreign currency. At present, INE rules state that USD is the only foreign currency accepted as margin, at a haircut of 0.05. Before market close on a given day, the market value of foreign currency is provisionally determined by the CNY central parity rate published by CFETS on the previous trading day. This value will be revised and discounted during daily clearing according to the rules above.
74.
Is it true that for OSNBPs and
overseas clients, foreign currency
can only be used as trading margin,
while all expenses and profits and
losses resulting from futures
trading must still be settled in RMB?
Yes.
As a Specified Domestic Product, EC contracts are subject to the following provisions of PBC’s Announcement [2015] No. 19:
“II. Domestic crude oil futures transactions shall be priced and settled in RMB….
“IX. A foreign trader or foreign brokerage agency may directly use foreign [currency] as the margin, and the foreign [currency] margin may not be used for the settlement of domestic crude oil futures funds until it has been settled [i.e. exchanged into RMB]….
“XIII. This Announcement shall apply, mutatis mutandis, to the cross-border settlement of transactions in other specified domestic futures products approved by the China Securities Regulatory Commission.”
In addition, Article 23 of the INE Clearing Rules provides that “the clearing currency at INE is RMB”; Article 74 provides that subject to the approval of INE, foreign exchange and assets with stable value and high liquidity, such as standard warrants and book-entry government bonds issued by the Ministry of Finance of the People’s Republic of China in the Chinese Mainland, may be used as margin collateral.”
75.
Does currency exchange for
futures trading have to be
performed at a Designated
Depository Bank?
The purchase and sale of currencies for futures trading must be completed at a Designated Depository Bank. When exchanging currencies, an INE member may check the real-time exchange rate offered by various Designated Depository Banks and choose a suitable one.
76.
Articles 39 and 40 of the INE
Clearing Rules state that, “If,
after the completion of daily
clearing, the clearing deposit
balance of any internal ledger of
a Member with the Exchange is
lower than the prescribed
minimum requirement, such
clearing result shall be deemed
as the Exchange’s margin call to
the Member, and the gap between
the two amounts shall be the
amount of additional funds
required by the margin call. …
If a deficiency still exists, the
Member shall make it up before
the market opening of the next
trading day.” What action will
INE take, if a member fails to
make up for the difference
following the margin call?
Article 40 of the INE Clearing Rules lists the actions INE will take in the event that a member fails to meet the required clearing deposit balance on any internal ledger: if the balance is zero or positive, the corresponding member or OSP will be prohibited from opening new positions; if the balance is negative, INE will carry out forced liquidation or take other necessary measures according to the INE Risk Management Rules.
77.
Is it required for an overseas
company that trades through
a domestic FF Member to open
a dedicated bank account for
futures trading?
If an overseas trader or overseas broker directly engages a domestic futures firm for clearing (or trading and clearing) services, it must open a futures settlement account at a Designated Depository Bank that is qualified to offer margin depository services for overseas clients.
78.
Can a domestic Non-FF Member
open a foreign exchange account
for trading EC contracts?
The short answer is “no.”
According to SAFE Circular Huifa [2015] No. 35, only overseas traders, overseas brokers, as well as futures firms and other institutions that are qualified to clear trades and are providing trading, clearing, and other related services to overseas traders and overseas brokers in relation to Specified Domestic Products, may open a dedicated foreign exchange account for those purposes.
以上信息仅供参考，不作为入市建议
