境内金融期货市场引入SPAN保证金的体系设计

The Introduction of SPAN Margin Call System into China Financial Futures Market

当前境内金融期货市场仅上市交易期货类产品,保证金制度采取单向大边的组合收取方式。随着境内市场加快研究推出期权类产品,为了更有效的管理风险,需要改进现有的保证金制度。从境外成熟衍生品市场来看,在期货与期权多产品并存的情况下普遍使用以SPAN为代表的高级形态投资组合保证金收取模式。本文借鉴境外市场经验,结合境内市场实际情况,详细分析了境内金融期货市场对SPAN的需求以及实施SPAN面临的问题,提出了引入SPAN的体系设计,努力构造一套符合境内市场特点的SPAN保证金系统,从而更好的度量期权产品上市后的投资组合风险,促进市场健康稳定发展。

Domestic financial futures market has only listed on futures products, and the margin system unilaterally takes larger margin. Since domestic market accelerates the introduction of options products, there exists the need to improve the margin system so as to manage the risk more efficiently. Meanwhile there are both options products and futures products listed on foreign mature derivatives market and SPAN is the most widely used margin system. This paper analyzes the demand for SPAN as well as the implementation of SPAN, based on foreign markets experiences and domestic market realities. This research proposes a systematic design of introducing SPAN into domestic marke to develop a localized SPAN which is suitable for the long-term development of domestic futures market.