The Guarantee Fund is a risk-mutualization financial resource jointly contributed by
Clearing Members. Its total amount is determined through stress testing. The size of
the Guarantee Fund is designed to cover the default of the two Clearing Members with the
largest credit exposure in extreme but plausible market conditions.
The Risk Reserve is established by the Exchange to provide financial guarantees for the normal
operations of the financial futures market to cover losses arising from risks unforeseeable to
the Exchange. Pursuant to the Measures for the Administration of Futures Exchanges, the Risk
Reserve is: (1) provisioned from and in proportion to the exchange fees received by CFFEX;
and (2) deposited in a segregated account and subject to separate accounting.
CFFEX implements daily mark-to-market. After daily market closes, the Exchange uses the
settlement price to clear all contracts held by each Clearing Member for the profits and losses,
option premium, trading margin, exchange fees, taxes and other expenses. Then the Exchange
transfers the net balance of receivables and payables by adding it to or deducting it from
Clearing Members’ clearing reserves accordingly.
Designated Depository Banks Management
CFFEX currently keeps cash margin at multiple Designated Depository Banks. CFFEX adopts stringent
eligibility criteria on Designated Depositary Banks, and monitors and manages their credit,
liquidity and operational risks.
Physical Delivery Management
CGB futures are subject to physical delivery. CFFEX offers DvP and ordinary delivery mode for CGB
futures depending on the infrastructure of the depositories. Depository services for CGBs involved
in delivery shall be provided by CGB depositories in accordance with their rules and policies.
Intra-Day and End-Of-Day Risk Control
CFFEX has established the daily fund monitoring and early warning system. CFFEX monitors the intraday
and end-of-day funds adequacy of all Clearing Members to control the potential liquidity
risk and credit risk.