Second, the design principles of cotton yarn futures contracts

(a) close to the actual spot market, to facilitate the participation of relevant subjects.

The premise of the function of the futures market is that the design of futures contracts and rules and regulations is close to the reality of the spot market, which not only facilitates the participation of spot enterprises, but also conforms to the development trend of the industry. Zhengshang Institute conducted in-depth research on cotton yarn production, trade and consumption enterprises, carefully studied the trade habits and flow direction of cotton yarn spot market, and extensively solicited opinions and suggestions from China Cotton Textile Industry Association, relevant quality inspection institutions and futures companies. On this basis, after many arguments, the design of futures contracts and rules and regulations that meet the characteristics of cotton yarn varieties has been completed, which is as close to the reality of the spot market as possible in terms of trading targets, delivery methods, delivery methods and delivery warehouse layout, ensuring the accuracy and clarity of trading and delivery targets and facilitating the participation of relevant subjects.

(two) follow the rules of the futures market, taking into account market development and risk control.

While being close to the spot market, the design of cotton yarn futures contracts and rules should not only consider the needs of market development, attract more investors to participate, but also take into account risk control to ensure the smooth operation of the futures market. In terms of trading unit, minimum price change, daily price fluctuation limit and minimum trading margin, benchmark delivery products, delivery mode design, etc. Zheng Shang Institute fully considered the investor structure and trading habits of the futures market, and completed the design of various terms from the perspective of facilitating investors to participate in the market, which laid the foundation for effectively exerting the functions of the futures market and promoting the stable operation of cotton yarn futures trading.

(three) consistent with cotton futures, to facilitate cross-species hedging and arbitrage.

Cotton and cotton yarn belong to raw materials and raw material processing links in the cotton textile industry chain respectively, and the upstream and downstream prices are closely related, so there is a strong demand for cross-species hedging and arbitrage in the futures market. Therefore, in the design of marketing unit, minimum price change and other indicators, the relevant design of cotton yarn futures contracts is consistent with cotton futures, which not only creates conditions for hedging and arbitrage between cotton yarn futures and cotton futures, but also improves the efficiency of investment funds, facilitates investors' memory and improves the enthusiasm of market participation.

Three. Detailed explanation of cotton yarn futures contract design

(1) Trading unit: 5 tons/lot (conditional weight)

According to the principle that cotton yarn futures should be close to the actual spot market, give consideration to market development and risk control, and promote the market function, and comprehensively consider the financial strength of cotton textile enterprises, the design of existing futures varieties trading units and other factors, Zhengshang Institute set the cotton yarn futures trading unit at 5 tons/lot. The reason for this is the following：

First, it is consistent with cotton futures and facilitates cross-species arbitrage trading. Cotton and cotton yarn industries are inseparable, and prices are highly correlated. Setting the marketing unit of cotton yarn futures to be consistent with cotton futures is convenient for investors to carry out cross-species arbitrage transactions between cotton yarn futures and cotton futures, improve the efficiency of capital use, and take into account investors' trading habits.

Second, the contract value is moderate, which is convenient for investors to participate. According to the average price index of 32 kinds of carded cotton yarn published by China Cotton Textile Industry Association in recent two years, the contract value of first-hand cotton yarn futures is about 1000 yuan/ton. In China's existing futures product system, it is lower than natural natural rubber and thermal coal, but higher than cotton and sugar (see table 1), and the contract value is moderate, which is conducive to attracting investors to participate and laying a foundation for the function of the futures market.

(2) Quotation unit: Yuan (RMB)/ton

The quotation unit of RMB/ton is the same as that used in spot trading of cotton yarn, and it is also consistent with other major domestic futures varieties.

(3) Minimum floating price: 5 yuan/ton.

First, moderate price fluctuation space is conducive to the formation of continuous prices and improve the accuracy of price discovery. In the spot market of cotton yarn, the price change is generally 50 100 yuan/ton, which is related to the intermittent and low-frequency price change of spot trade. Trading in the futures market is continuous and high-frequency, and the quotation unit is too large, which is not conducive to the conclusion of transactions between buyers and sellers, and is not conducive to the formation of continuous and effective prices, which is risky for both buyers and sellers. According to the operating characteristics of the futures market and the high unit value of cotton yarn, Zhengshang Institute set the cotton yarn futures quotation unit as 5 yuan/ton, which is helpful to improve the price discovery function of the futures market and make the price discovery more accurate and sustainable. At the same time, investors' capital gains are fully considered, which is helpful to improve market liquidity and reduce transaction risks.

Secondly, keeping consistent with the minimum change price of cotton futures is one of the necessary conditions for realizing cross-variety arbitrage trading of cotton and cotton yarn in the domestic futures market at present, which is helpful to improve the efficiency of investment funds.

Third, it is consistent with the minimum change price of the relevant price index in the domestic cotton spot market (such as the price index issued by China Cotton Textile Industry Association), and it is close to the spot trading habit, which is conducive to promoting the price discovery function of the futures market and attracting spot enterprises to participate in the transaction.

(4) daily price fluctuation limit and minimum trading margin: a combination of 4% and 5%.

Price limit system and margin system are effective means of risk control in futures market, and the scientific design of these two systems is an important guarantee for the stable operation of the market. According to the fluctuation of spot price of cotton yarn, the upper limit and minimum trading margin of daily price fluctuation of cotton yarn contract are set at 4% and 5% respectively. The reason for this is the following：

First, the upper limit of 4% daily price fluctuation can cover 99.9% price fluctuation, and the market risk is controllable. Based on the statistical analysis of the national price indexes of 32 kinds of carded cotton yarn released by China Cotton Textile Industry Association in July 2065 438+00-2065 438+0655, the daily price fluctuation range is calculated as = [today's price-the previous day's price ]× 100%. In addition, once an abnormal situation occurs, the exchange can adjust the daily price fluctuation limit according to regulations to control the transaction.

Second, charging 5% trading margin is enough to prevent market risks. Through the analysis of the above data, we can know that the spot prices of 32 kinds of carded cotton yarns in China generally fluctuate within the range of 100 yuan/ton, and in special cases, it is around 500 yuan/ton. According to the minimum trading margin ratio of 5%, the collection of margin 1050 yuan/ton can completely cover its daytime fluctuation range. In practice, futures companies should add 2-3 percentage points to the margin ratio stipulated by the exchange, and the market risk can be controlled.

Thirdly, the daily price fluctuation limit of 4% and 5% and the minimum trading margin combination are consistent with cotton futures, which is convenient for arbitrage trading between cotton and cotton yarn varieties.

(5) Contract delivery month:1-65438+February.

First, it conforms to the continuous production characteristics of cotton yarn spot market. As an industrial product, cotton yarn has the characteristics of continuous production, and its production, consumption, trade and circulation have no obvious seasonality. Dealers generally hold a certain amount of inventory, and related enterprises have hedging needs in each month of the year. Therefore, designing all months as delivery months can provide a hedging platform that is more in line with the spot demand for related enterprises.

Second, it conforms to the practice of continuous delivery of industrial products in the domestic futures market for several months. In the domestic futures market, the delivery months of industrial products such as methanol, glass, PTA and thermal coal are mostly designed as continuous months. In the design of delivery month, cotton yarn futures are consistent with other industrial products, which is convenient for investors to understand and remember.

(6) Last trading day: the 10 trading day in the delivery month of the contract.

Cotton yarn is delivered by standard warehouse receipt. The 10 trading day in the contract delivery month is the final trading day, which is consistent with cotton, sugar, PTA, rapeseed meal, methanol, glass and other varieties, which is convenient for investors to understand and remember.

(VII) Final delivery date: the 12 trading day of the delivery month of this contract.

The delivery method of cotton yarn is physical delivery and three-day delivery, and the final delivery date is 12 trading day of the contract delivery month.

(8) delivery grade

1. benchmark delivery product: 18.5tex(32 inch count) carded cotton package single yarn (ring spinning) that meets the quality standard of cotton yarn futures delivery of Zhengshang Institute.

Taking 32 carded cotton yarns as the benchmark delivery of cotton yarn futures is in line with the development status of China's cotton textile industry: First, the price of 32 carded cotton yarns is recognized as the pricing benchmark of products of various specifications in the industry, which is conducive to better playing the price discovery function of the futures market. Second, 32 carded cotton yarn conforms to the product structure of small and medium-sized cotton textile enterprises, which accounts for the vast majority of the industry, and is conducive to better playing the hedging function of the futures market and enhancing the ability of the futures market to serve the cotton textile industry. Third, the spot market share of 32 carded cotton yarns is the largest, which can provide sufficient physical delivery and help prevent delivery risks. In 20 16, the output of 32 kinds of carded cotton yarn in China was 1 160000 tons, accounting for 18.6% of the total cotton yarn output. According to the delivery quality standard of 80%, the deliverable volume is about 930,000 tons, with a value of 654.38+095 billion yuan. Fourth, the main cotton blending components of 32 carded cotton yarns are consistent with the benchmark delivery products of cotton futures, which is conducive to enhancing the convenience of cotton yarn futures and cotton futures hedging and improving the hedging efficiency of cotton textile enterprises.

2. Delivery quality indicators of benchmark delivery products

The design principles of cotton yarn futures delivery quality standards include the following two aspects: on the one hand, it meets the trade demand of spot market and the delivery demand of futures market. The quality standard design of cotton yarn futures delivery is higher than the national standard and close to the first-class product, which can cover more than 80% of the market share of 32 domestic carded cotton yarns and meet the trade demand of the spot market. In addition, according to the output of 32 kinds of carded cotton yarn in China of 20 1 160000 tons and the average price index of 2 1000 yuan/ton, the physical delivery volume of cotton yarn futures is 930000 tons, with a value of about 195 billion yuan, which can meet the delivery demand in the futures market.

On the other hand, it not only represents the current situation of spot market development, but also can improve the scientific nature of futures delivery standards. The design of quality standards for cotton yarn futures delivery mainly depends on Chinese national standards (GB/T398-2008). Among them, the number of neps in 1 g and the total number of neps in 1 g are sensory inspection indexes, which are easy to make mistakes. Combined with the actual trade situation, the standard design of cotton yarn futures delivery replaces sensory inspection indicators with machine inspection indicators, that is, it replaces -50% km details, +50% km coarse knots and +200% km neps in the Hurst Bulletin. This not only conforms to the quality inspection practice of the spot market, but also represents the current market development situation, which can accurately reflect the neps and impurities contained in cotton yarn and improve the objectivity and scientificity of futures delivery standards. The delivery quality standard has been unanimously recognized by industry associations and production, consumption and trade enterprises, which can ensure the smooth operation of cotton yarn futures after listing.

3. Substitution and premium: If the foreign fiber content of cotton yarn futures meets the relevant regulations of Zhengshang Institute, it can be changed to premium delivery.

Taking the foreign fiber content as a substitute index of cotton yarn futures and setting a reasonable substitute delivery interval and discount interval can not only ensure the availability of downstream enterprises after receiving goods, but also ensure a clear futures price signal. Foreign fiber (hereinafter referred to as "foreign fiber") refers to chemical fiber, hair, plastic (9435,-135.00,-1.4 1%) film, etc. Because of its different properties from cotton fiber, it will appear on the cloth surface after weaving and dyeing, which has a great influence on the printing and dyeing quality of fabric. In actual trade, downstream enterprises have different requirements for foreign fiber content of cotton yarn according to different use requirements, and the procurement cost is also different. For example, for weaving high-end bleached grey cloth, it is generally required that the foreign fiber content of cotton yarn should not exceed 40 /20kg, that is, the cotton used to produce this batch of cotton yarn should be imported cotton and Xinjiang cotton, and the procurement cost will increase by 500- 1000 yuan/ton; When weaving mid-range dark cloth or denim, it is generally required that the foreign fiber content of cotton yarn can be controlled, that is, the cotton used to produce this batch of cotton yarn is mostly Xinjiang cotton and local cotton; For weaving low-end grey fabrics, there is no requirement for cotton yarn foreign fibers. The cotton used for production can be low-quality local cotton or noil, and the purchase price can be lowered appropriately, and most of them can be lowered by 1000 yuan/ton. Based on the above-mentioned spot characteristics, taking foreign fiber content as a substitute index of cotton yarn futures, and setting a reasonable alternative delivery interval and discount interval can prevent cotton yarn with high foreign fiber content and great harm to fabrics from flowing into the delivery link of the futures market, thus ensuring the availability of downstream enterprises after receiving goods, strengthening the quality consistency of cotton yarn in futures trading and delivery, and ensuring clear futures price signals.

4. The delivered goods have a single specification, only 32 carded cotton yarns.

Setting up a single delivery variety in cotton yarn futures is conducive to improving the certainty of delivery targets. Cotton yarn has the characteristics of "various product specifications and complicated production process". Different product specifications have different cotton yarn thicknesses, for example, 32 cotton yarns are thicker than 40 cotton yarns; Different production processes have different qualities of cotton yarn. For example, in the production of combed cotton yarn, combing process is added to remove more impurities and defects, which has the advantages of less defects, low impurities and high fiber uniformity. Different product specifications and production processes make cotton yarn have certain differences in evenness, strength, twist and impurity content, which leads to different wearability and fabric style. For example, 40 combed cotton yarns are slightly better than 32 carded cotton yarns in softness, wear resistance, drape and pilling. This also determines that cotton yarn consumption presents the characteristics of "strong personalized demand and weak substitution". For example, 32 carded cotton yarns are mostly used in weaving tools, leisure fabrics and high-grade denim. Combed cotton yarn is mostly used for weaving underwear, shirts, bedding and high-grade clothing fabrics. Based on the above attributes, setting a single delivery variety in cotton yarn futures can ensure the consistency of the receiving specifications of downstream enterprises, that is, the warehouse receipts obtained by centralized delivery in the futures market are all 32 carded cotton yarns, which strengthens the certainty of trading and delivery targets and further ensures the clarity of futures price signals.

(9) Delivery method: physical delivery.

Physical delivery is the "bridge" and "link" between the futures market and the spot market. Physical delivery system can ensure that cotton yarn futures are consistent with spot prices, which is conducive to the function of futures market.

(X) Transaction code: CY

Cottonyarn is "cotton yarn" in English. According to the principle of simplicity and easy to remember, the transaction code is "CY".

(1 1) Other clauses.

In addition to the above terms, the trading time, listed exchange and other terms are determined according to the usual practice.