【中英文对照版】大连商品交易所结算管理办法(2022修订）.docx

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1、大连商品交易所结算管理方法第一章总那么第一条为规范大连商品交 易所（以下简称交易所）的期货 结算行为，保护交易当事人的合 法权益和社会公众利益，防范和 化解期货市场风险，根据大连 商品交易所交易规那么，制定本 方法。第二条结算是指根据交易 结果和交易所有关规定对会员 交易保证金、盈亏、手续费、交 割货款及其它有关款项进行计 算、划拨的业务活动。大连商品交易所结算管理方法(2022修订)Measures for Clearing Management of Dalian CommodityExchange (2022Revised)发布部门：大连商品交易所发文字号：大连商品交易所公告(2022)

2、 50号发布日期:2022. 07. 12实施日期:2022. 07. 29效力级别：地方规范性文件法规类别：期货交易Issuing Authority： Dalian Commodity ExchangeDocument Number： No.50 2022 of the Dalian Commodity ExchangeDate Issued： 07-12-2022Effective Date： 07-29-2022Level of Authority： Local Regulatory DocumentsArea of Law： Futures TradingMeasures for C

3、learing Management of DalianCommodity ExchangeChapter I General ProvisionsArticle 1 The Measures for Clearing Management of Dalian Commodity Exchange (the Measures) are formulated pursuant to the Trading Rules of Dalian Commodity Exchange for the purposes of standardizing the futures clearing activi

4、ties within Dalian Commodity Exchange (the Exchange), protecting the lawful rights and interests of the parties to the trading and the interests of the public, and preventing and mitigating the futures market risks.Article 2 The clearing means the business activities of calculation and transfer of t

5、he Members trading margin, profit and loss, commission, delivery payment and any other relevant payments on the basis of the trading results and the applicable rules of the Exchange.会员接受境外特殊参与者 委托结算、接受境外中介机构委 托交易结算的，会员相应的受托 结算内部明细账户的结算准备 金最低余额由交易所另行通知。会员结算准备金最低余额 应当以人民币自有资金缴纳。第三十三条交易所根据会 员当日结算准备金余额中

6、的货 币资金局部，以不低于中国人民 银行公布的相应币种的同期银 行活期存款利率计算利息，交易 所对具体执行利率进行公示并 在每年的3月、6月、9月和12 月下旬将利息支付给会员。具体 执行利率由交易所确定、调整并 公布。第三十四条交易保证金是 指会员在交易所专用结算账户 中确保合约履行的资金，是已被 合约占用的保证金。当买卖双方 成交后，交易所按持仓合约价值 的一定比率收取交易保证金。标准仓单交到交易所后，与 其所示数量相同的最近交割月 份卖持仓交易保证金在结算时 不再收取。黄大豆2号、鸡蛋等 品种期货业务细那么另有规定的， 适用其规定。Where a Member is engaged to

7、 conduct clearing by an OSP or is engaged to conduct trading and clearing by an Overseas Intermediary, the requirements for the minimum clearing deposit of the Members corresponding internal subsidiary ledger for the clearing entrustment shall be notified by the Exchange separately.The minimum balan

8、ce of the clearing deposit of a Futures Company Member shall be paid in CNY with the Members own funds.Article 33 The Exchange shall calculate the interest based on the portions of the monetary funds of the balance of the clearing deposits of the then-current day at a rate no less than the same-peri

9、od bank current-deposit interest rate in the corresponding currency published by the Peoples Bank of China. The Exchange shall publicly announce the specific strike rate and shall pay the interest to the Member respectively within the monthly last third of March, June, September and December of each

10、 year. The specific interest rate shall be determined, adjusted and announced by the Exchange.Article 34 The trading margin means the funds deposited by the Members in the Exchanges dedicated settlement account which are used to guarantee the contractual performance, and it is the margin occupied by

11、 the contract. After the transaction is concluded between the seller and the buyer, the Exchange will collect the trading margin at a certain percentage of the open interest value.After the standard warehouse receipts are delivered to the Exchange, the trading margins of the selling positions of the

12、 latest delivery month which is of the amount equal to such receipts will not be collected upon settlement. Where the detailed rules of No. 2 soybean, eggs or other futures products stipulate otherwise, such stipulation shall prevail.第三十五条各品种合约的 交易保证金收取标准按交易所 保证金制度有关规定执行。第三十六条期货公司会员 向结算交割委托人收取的保证 金属

13、于结算交割委托人所有，应 当存放于会员保证金专用账户， 以备随时交付保证金及有关费 用。期货公司会员除按照中国 证监会的规定为结算交割委托 人向交易所交存保证金、进行交 易结算外，严禁将保证金挪作他 用。第三十七条期货公司会员 向结算交割委托人收取的交易 保证金不得低于交易所向会员 收取的交易保证金。第三十八条 交易所根据会 员当日成交合约数量或者成交 合约金额收取交易手续费。交易 所可以针对不同品种、合约、交 易类型、交易量和持仓量等制定 不同的交易手续费标准。交易所可以根据下单、撤单 的笔数或手数等收取申报费等 费用。交易手续费、申报费等费用 标准由交易所另行规定，交易所 可以根据市场情况

14、对费用收取 方式和收取标准进行调整。Article 35 The standards for collection of the trading margins of any and all product contracts shall be subject to the applicable provisions of the Exchanges trading margins rules.Article 36 The margins collected by the Futures Company Members from the Principals for Clearing and

15、Delivery shall belong to the Principals for Clearing and Delivery. Such margin shall be deposited in the Members dedicated margin account for payment of the margins and the relevant costs from time to time.The Futures Company Members shall not use the margins for any purpose other than depositing of

16、 the margins to the Exchange and conducting of the trading clearing for the Principals for Clearing and Delivery pursuant to the rules of CSRC.Article 37 The margins which are collected by the Futures Company Members from the Principals for Clearing and Delivery and the clients shall be no less than

17、 the trading margins which are collected by the Exchange from the Members.Article 38 The Exchange will charge the trading commissions on the basis of the quantity, or amount, of the concluded contracts of ihe then-currenl day for the Members. The Exchange may formulate different standards of trading

18、 commissions in connection with the different products, contracts, trading types, trading volume and open interests.The Exchange may collect the order fee and other fees based on the number of the order placements or cancellations.The standards of trading commission, order fee and other fees shall b

19、e separately prescribed by the Exchange. The Exchange may adjust the methods and standards of collecting such fees based on the market situation.交易所可以对会员应交纳 的交易手续费进行减收，减收方 案由交易所另行制定并根据市 场情况进行调整。第三十九条交易所实行当 日无负债结算制度。当日无负债结算制度是指 每日交易结束后，交易所按当日 结算价结算所有合约的盈亏、交 易保证金及手续费等费用，对应 收应付的款项实行净额一次划 转，相应增加或减少会员的结算

20、 准备金。第四十条期货合约当日结 算价是指某一期货合约当日成 交价格按照成交量的加权平均 价。当日无成交价格的，其合约 的当日结算价按照以下方法确 定：（一）假设合约当日有买、卖双 方委托报价的，以最高买报价、 最低卖报价与该合约上一交易 日的结算价三者居中的一个价 格作为合约的当日结算价；（二）假设合约出现涨（跌）停 板单边无连续报价的，以该停板 价格作为合约的当日结算价；The Exchange may reduce the trading commissions payable by the Members, the schemes of which shall be separatel

21、y formulated and adjusted based on the market situation by the Exchange.Article 39 The Exchange implements mark-to-market mechanism.Mark-to-market means that by the end of the daily trading, the Exchange shall settle the profits and losses, trading margins, commissions and other costs for all the co

22、ntracts based on the settlement price of the then-current day and allocate the net amounts of the accounts receivable and payable so as to appropriately increase or decrease the Members clearing deposits.Article 40 The then-current settlement price means, in respect of a certain futures contract, th

23、e weighted average price of the then-current trade price on the basis of the trading volume. In case of no trade price on the then-current day, the then-current settlement price of the contract shall be determined as per the following methods:(1) in case there exist quotations respectively on behalf

24、 of the seller and the buyer, the middle one of the highest bid price, the lowest offer price and the settlement price of the immediately previous trading day for such contract shall be the then-current settlement price of the contract;in case of onc-dircction non-continuous quotations upon occurren

25、ce of price limits, the price of the price limits shall be the thcn-currcnt settlement price of the contract; or（三）假设合约当日无委托报 价，或者有买或卖单方委托报价 但未出现涨（跌）停板单边无连续 报价的，以当日距无成交合约最 近的前一有成交合约作为基准 合约计算当日无成交合约结算 价：1 .假设基准合约当日结算价的 涨跌幅度（）小于等于当日无 成交合约当日的涨跌停板，那么当 日无成交合约结算价=该合约 上一交易日的结算价x （1基准 合约结算价的涨跌幅度）。2 .假设基准合约当

26、日结算价的 涨跌幅度（）大于当日无成交 合约当日的涨跌停板，那么当日无 成交合约结算价=该合约上一 交易日的结算价x （1土该合约的 当日涨跌停板幅度）。3 .假设无法找到基准合约，那么 当日无成交合约结算价=上一 交易日该合约的结算价；新合约 上市第一日假设无法找到基准合 约，那么当日无成交合约结算价二 挂牌基准价。新上市合约连续三个交易 日无成交，交易所可另行调整结 算价。(2) in case that there is no quotation on behalf of the seller and buyer, or there is onc-dircction quotation

27、on behalf of the buyer or the seller but it is not onc-dircction non-continuous quotations upon occurrence of price limits, the then-current settlement price of the contract with no transaction shall be calculated with the immediately preceding concluded contract of the contract with no transaction

28、of the then-current day as the benchmark contract:(a) in case the increase or decrease percentage of the then-current settlement price of the benchmark contract (%) is lower than or equal to the price limits of the then-current day of the contract with no transaction, the then-current settlement pri

29、ce of the contract with no transaction = the settlement price of the immediately previous trading day of the contract x (1 increase or decrease percentage of the settlement price of the benchmark contract);in case the increase or decrease percentage of the Ihen-current settlement price of the benchm

30、ark contract (%) is higher than the price limits of the Ihen-current day of the contract with no transaction, the then-current settlement price of the contract with no transaction = the then-current settlement price of the immediately previous trading day of the contract x (1 percentage of the price

31、 limits of the then-current day of the contract); or(b) in case no benchmark contract can be found, the then-current settlement price of the contract with no transaction = the settlement price of the contract on the immediately previous trading day; or in case no benchmark contract can be found on t

32、he first listing day for a new contract, the then-current settlement price of the contract with no transaction = the listing price.In case there is no transaction for a newly listed contract for three (3) consecutive trading days, the Exchange may adjust the settlement price separately.交易所进行合约、规那么调整

33、 的，对于当前无持仓且连续三个 交易日无成交的已挂牌合约，交 易所可另行调整结算价。第四十一条期货合约均以 当日结算价作为计算当日盈亏 的依据。具体计算公式如下：当日盈亏=平仓盈亏+持 仓盈亏平仓盈亏二平历史仓盈亏 +平当日仓盈亏平历史仓盈亏= （卖出平 仓价一上一交易日结算价卖 出平仓量+ E （上一交易日结 算价一买入平仓价）x买入平仓平当日仓盈亏二E （当日卖 出平仓价一当日买入开仓价）x 卖出平仓量+工（当日卖出开 仓价一当日买入平仓价）x买入 平仓量持仓盈亏=历史持仓盈亏+当日开仓持仓盈亏In case the Exchange adjusts the contracts and r

34、ules, for a listed contract that has no position currently and has no transaction for three (3) consecutive trading days, the Exchange may adjust the settlement price separately.Article 41 In respect of a futures contract, the then-current settlement price shall be the basis for calculating the prof

35、its or losses of the then-current day. The specific calculation formulas are set forth below:The profits or losses of the then-current day = The profits or losses of the liquidation + The profits or losses of the position;The profits or losses of the liquidation = the profits or losses of the liquid

36、ation of the positions of the past days + the profits or losses of the liquidation of the then-current day;The profits or losses of the liquidation of the past days = E (the selling liquidation price - the settlement price of the immediately previous trading day) x the selling liquidation quantity +

37、 L (the settlement price of the immediately previous trading day - the purchasing liquidation price) x the purchasing liquidation quantity;The profits or losses of the liquidation of the then-current day = Z (the selling liquidation price of the then-current day - the purchasing position-opening pri

38、ce of the then-current day) x the selling liquidation quantity + X (the selling position-opening price of the then-current day - the purchasing liquidation price of the then-current day) x the purchasing liquidation quantity;The profits or losses of the position = the profits or losses of the positi

39、on of the past days + the profits or losses of the position-opening and position of the Ihen-current day;历史持仓盈亏=2 （上一日 结算价一当日结算价）义卖出历 史持仓量+ E （当日结算价一 上一日结算价）x买入历史持仓 量当日开仓持仓盈亏= （卖 出开仓价一当日结算价）x卖出 开仓量+工（当日结算价一买 入开仓价）x买入开仓量|第四十二条当日结算时的 交易保证金超过昨日结算时的 交易保证金局部从会员结算准 备金中扣划，当日结算时的交易 保证金低于昨日结算时的交易 保证金局部划入会员结算

40、准备 金。当日盈利划入会员结算准备 金，当日亏损从会员结算准备金 中扣划。手续费等各项费用、交割货 款从会员结算准备金中扣划。盈 亏、费用、货款、税金和期权权 利金等款项应当以人民币货币 资金支付。第四十三条结算准备金余 额的具体计算公式如下：The profits or losses of the position of the past days = 2 (the settlement price of the immediately previous day - the settlement price of the then-current day) x the selling qua

41、ntity of the position of the past days + (the then-current settlement price - the settlement price of the immediately previous day) x the purchasing quantity of the position of the past days;The profits or losses of the position-opening and position of the then-current day = Z (the selling position-

42、opening price - the then-current settlement price) x the selling position-opening quantity + Z (the then-current settlement price - the purchasing position-opening price) x the purchasing position-opening quantity.Article 42 In case that the portions of the trading margins upon settlement on the the

43、n-current day exceed the trading margins upon settlement yesterday, such portions shall be deducted from the Members clearing deposits. In case that the portions of the trading margins upon settlement on the then-cuiTent day are below the trading margins upon settlement yesterday, such portions shal

44、l be transfened into the Members clearing deposits. The then-current day profits shall be transfeiTed into the Members clearing deposits, the then-current day loss shall be deducted from the Members clearing deposits.The commissions and other fees as well as the delivery payments shall be deducted f

45、rom the Members clearing deposit. The profits and losses, fees, payments, taxes, premiums of options and other amounts shall be paid in CNY.Article 43 The balance of the clearing deposits shall be calculated below:当日结算准备金余额=上一 交易日结算准备金余额+上一交 易日交易保证金一当日交易保 证金+当日资产作为保证金的实 际可用金额-上一交易日资产作 为保证金的实际可用金额+当日

46、 盈亏+当日期权权利金收支+入 金一出金一手续费等资产作为保证金的实际可 用金额具体计算方法见本方法 第五章的有关规定。第四十四条交易所可以根 据市场风险和保证金变动情况， 在交易期间发出追加保证金通 知，会员应当在通知规定的时间 内补足保证金。未按时补足的， 交易所可以对其采取限制开仓、 强行平仓等风险控制措施。第四十五条结算完毕后， 会员任一内部明细账户的结算 准备金低于最低余额时，该结算 结果即视为交易所向会员发出 的追加保证金通知。交易所发出追加保证金通 知后，可以通过存管银行从会员 的专用资金账户中扣划应当追 加的保证金金额。假设未能全额扣 款成功，会员应当在下一个交易 日开市前补足

47、至结算准备金最 低余额。未补足的，按照以下方 法处理：The balance of the clearing deposit of the then-current day = the balance of the clearing deposit of the immediately preceding trading day + the trading margins of the immediately preceding trading day - the trading margins of the then-current day + the actually available

48、amount of the assets as the margins of the then-current day - the actually available amount of the assets as the margins of the immediately preceding trading day + the profits and losses of the then-current day + the revenue and expenditure of the then-current day option premium + the deposits - the

49、 withdrawals - The commissions and other fees.The detailed methods for calculation of the actually available amount of the assets as the margins are specified in the applicable provisions of Chapter V of the Measures.Article 44 The Exchange may, based on the market risks and margins changes, issue the margin call during the trading perio