Dalian Commodity Exchange
To all member units:
We plan to implement the Administration Measures for Arbitrage of Dalian Commodity Exchange (hereinafter referred to as Arbitrage Administration Measures” in the near future, with the review and approval of the Council and after reporting to China Securities Regulatory Commission. The following are the matters requiring attention:
Ⅰ. As Arbitrage Administration Measures involves the revision of member system, member units are required to connect software developers to update their system.
Ⅱ. Arbitrage margin standards
Arbitrage margin standard= Max [position trading margin paid by buyers, position trading margin paid by sellers]
The trading margin of consignment done through arbitrage order during trading shall be charged according to the arbitrage margin standard at the settlement time of the previous trading day.
When a settlement is made, the positions of each contract shall be matched in inter-temporal order first, then in cross-product order, with trading code as unit. The specific matching principle is described below: different contracts shall be matched according to the time of a contract from the delivery month, and an early contract should be matched first; the positions of the same contract held by the same direction party shall be taken apart first, then matched together.
The matching results and corresponding arbitrage margin standards shall be sent to members via the member service system at the settlement time on each trading day.
Where arbitrage positions are covered, DCE shall return the trading margin for arbitrage positions first, and then charge the trading margin for the contracts with uncovered positions of these arbitrage positions.
Ⅲ. After settlement, non-futures firm members or clients, whose total arbitrage and speculative positions exceed stipulated standards, shall cover their positions by themselves on the next trading day. If the positions are not closed or the position liquidation does not conform to relevant provisions and standards, DCE may close such positions compulsorily, and the position establishment and trading of contracts with excessive positions are forbidden, but are allowed after clearing. Contracts whose positions can not be closed as stipulated in Paragraph one due to price limit, abnormal circumstances or force majeure are excluded.
Where the total arbitrage and speculative positions of non-futures firm members or clients exceed stipulated standards for two or more than two consecutive trading days, DCE will forbid the position establishment or trading of the contracts with excessive positions for three consecutive trading days from the next trading day; serious cases shall be dealt with in accordance with Measures of Dalian Commodity Exchange for Handling Violations.
Ⅳ. We shall release the specific implementation date of Arbitrage Administration Measures, based on the preparations of member units’ systems.
Ⅴ. Business contacts and their contact way
Arbitrage contacts:
Xu Yi 0411-84808609 Fu Yingwen 0411-84808572
Clearing contact:
Li Hu 0411-84808652
Technical contacts:
Fan Song 0411-84808446 Fu Donghai 0411-84807180
March 29, 2013