Novice problem: there is a guarantee system for margin financing and securities lending, and there are many problems with the amount of guarantee.

Margin system is the basic system of margin trading (also known as "securities credit trading") and an important barrier for securities companies to resist the risk of credit default. The margin system includes six aspects: margin account management and transaction flow; Customer credit rating and credit limit; The selection criteria of the underlying securities for margin financing and securities lending and the conversion ratio of the securities that can be used to offset the margin; The setting of margin ratio; Maintain the setting of the guarantee ratio (referring to the ratio between the value of the investor's collateral and its margin financing and securities lending debt); Margin recovery and compulsory liquidation system.

Among them, maintaining the setting of guarantee ratio is the key factor to control the whole transaction risk. Securities companies implement the system of "marking the market day by day" in daily trading of margin financing and securities lending. When the customer's maintenance guarantee ratio drops to a specific value, the securities company will issue a notice of additional collateral in time, requiring the customer to add collateral to the account within a specified period of time, so that the maintenance guarantee ratio is higher than a specific value. The maintenance guarantee ratio of the additional notice is also called the margin recovery point (also called the "liquidation line").

In practice, it is of great significance to analyze the margin recovery point of securities credit trading: investors can judge the risk level and maximum loss they may bear; Securities companies can take compulsory liquidation measures against investors without additional collateral to ensure the realization of their financing and securities lending rights; For regulators, setting different maintenance guarantee ratios according to different market conditions can control the credit degree and risk level of the whole securities market.

China Securities Credit Trading Margin System

In August, 2006, "Detailed Rules for the Implementation of Pilot Margin Trading in Shanghai Stock Exchange" and "Detailed Rules for the Implementation of Pilot Margin Trading in Shenzhen Stock Exchange" (hereinafter referred to as "Detailed Rules") were issued, which basically established the margin system for securities credit transactions in China.

The implementation rules stipulate the following main contents: (1) the level of trading margin, and the margin ratio of margin financing and securities lending shall not be less than 50%. (2) Deposit payment method: investors can pay the deposit in cash and securities. (3) The maximum conversion rate of securities that can be used to offset the margin, such as Shenzhen Stock Exchange 100 index stocks, shall not exceed 70%. (4) Maintain the level of guarantee ratio. The detailed implementation rules stipulate that "when the customer maintains the guarantee ratio below 130%, the member shall notify the customer to add collateral within the agreed time limit". (5) Conditions for compulsory liquidation: After the margin trading starts, the securities company "marks the market day by day" and carries out "daily closing", and issues a notice of additional margin at the margin recovery point. If the customer fails to make up the collateral on schedule within two trading days (the "maintenance guarantee ratio" after the customer adds collateral shall not be less than 65,438+050%) or fails to repay the debt due, the securities company may implement compulsory liquidation according to the contract.

Deficiency and correction of "cash compulsory proportion"

According to the detailed implementation rules, the deposit paid by investors, the securities bought by financing and all the funds obtained from selling securities by margin trading are used as the overall collateral for the debts incurred by investors in the margin trading business of securities companies. Among them, although it is determined that the deposit can be offset by securities at a certain conversion rate, there is no mandatory cash ratio in the deposit. In other words, in the pilot stage of margin financing and securities lending, investors can pay all the deposits through securities conversion. In Japan and Taiwan Province Province of China, when investors use securities as collateral, they should also ensure a certain proportion of cash, that is, the customer's deposit cannot be all securities, but must contain a certain proportion of cash. The lack of "mandatory cash ratio" in the margin system of securities credit trading in China undoubtedly greatly increases the risk of securities credit trading.

As a "firewall" to prevent the risk of securities credit trading, the margin system should minimize the variability of the margin composition. However, the volatility of China's securities market is very large, and the margin system composed of securities compensation is very easy to change with the fluctuation of the stock market. Although it is convenient for investors to participate in securities credit transactions through securities, their own risk-taking ability can not be ignored. The margin system composed solely of securities conversion is easy to cause the expansion of investors' financing ability, but the margin itself is affected by the fluctuation of the stock market, which can not effectively guarantee the security of transactions and the stability of the market.

At present, securities companies can reduce the risk of margin trading between investors and securities companies by increasing the margin ratio, limiting the range of securities that can be used to offset the margin and reducing the number of conversion cases. In this way, it can not only play the convenient role of the measures to offset the security deposit, but also appropriately improve the anti-risk ability of securities companies and customers.