加密货币可以作为衍生品抵押品。当它的价格下跌时会发生什么？

The CFTC has updated its guidance on tokenized customer-fund investments and blockchain records, putting the focus back on the rules that already let some futures intermediaries take crypto as margin. A fall in the token’s price sets off several different calculations. The crucial distinctions are whose asset it is, which haircut applies, and who must fill a shortfall.

Summary The CFTC updated its crypto activity FAQs on September 24, 2026, addressing 2 subjects: tokenized investments and blockchain records.

February’s Staff Letter 26-05 lets qualifying intermediaries count certain customer crypto as margin under specified conditions.

The staff letter requires at least a 20% haircut for most non-stablecoin crypto in specified intermediary calculations.

A $100,000 token position subject to a 20% haircut starts with $80,000 of recognized value.

The earlier FAQ gives clearinghouses discretion to set initial-margin haircuts and review them at least monthly.

The Commodity Futures Trading Commission has updated its crypto activity FAQs as regulated derivatives firms work with tokenized assets and digital records.

The agency’s September 24 release says the latest additions address investments of customer funds in tokenized forms of permitted investments and blockchain recordkeeping. It points back to the March 20 FAQs, Staff Letter 25-39 on tokenized collateral and Staff Letter 26-05 on digital assets accepted as customer margin. The announcement does not say that September 24 created an unrestricted new right to pledge any token against any derivatives trade. The collateral permission, and its conditions, predate the new release.

The CFTC’s existing crypto guidance was covered by crypto.news in March. Its practical question has become more urgent as firms put digital assets into structures usually associated with cash and government securities. Suppose a customer posts bitcoin against a futures position and bitcoin falls while the futures position loses money. A mark on the coin and a mark on the trade occur together. The first reduces the value of security available to the account; the second raises what the account needs.

The regulatory papers separate these movements. Staff Letter 26-05 concerns what a futures commission merchant, or FCM, may count while evaluating a customer account and segregated funds. A derivatives clearing organization, or DCO, sets its own haircut for assets accepted as initial margin under separate rules. A 20% charge on an intermediary’s proprietary bitcoin inventory is a third issue. Applying one number to all three would give the reader a false answer.

September’s FAQ update is narrower than the collateral headlines

CFTC Release 9303-26 names the Market Participants Division, Division of Market Oversight and Division of Clearing and Risk as the staff groups publishing the update. The release specifies two matters: tokenized versions of investments already permitted for customer funds and use of blockchain technology to satisfy recordkeeping requirements. It traces the FAQ series to March 20, 2026. That chronology is the first check on claims circulating about a new collateral rule.

The original March FAQs explicitly say an FCM may not invest customer funds in payment stablecoins under Regulation 1.25 merely because it can accept a qualifying stablecoin as customer margin. An FCM may, under Staff Letter 26-05, place its own payment stablecoins into segregated customer accounts as residual interest. These are different sources of funds and different transactions. Buying tokens with segregated customer cash is not interchangeable with receiving a customer’s token as a margin deposit.

The distinction carries into the September update. A tokenized form of an investment already permitted under Regulation 1.25 is a question about the wrapper on an eligible underlying asset. It is not a general license for an intermediary to use customer cash to buy bitcoin or a payment stablecoin. Without the full text of the updated FAQ attached to the CFTC’s public release as reviewed for this feature, the release supports only its stated scope. We do not attribute new haircut values or new eligibility categories to yesterday’s update.

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An agency staff FAQ is not an amendment to every CFTC rule. Staff Letter 26-05 is a no-action position: the Market Participants Division says it will not recommend enforcement against an FCM acting within specified conditions. It does not repeal the customer segregation provisions of the Commodity Exchange Act, and it does not promise that a DCO will accept every coin. The original letter was issued following a request by Coinbase Financial Markets and was reissued on February 6, 2026, to clarify that a national trust bank may qualify as a payment stablecoin issuer for its purposes.

The CFTC’s latest tokenization comments show the policy context. Chairman Michael Selig has discussed round-the-clock markets and tokenized collateral; an agency’s interest in those markets does not eliminate the ordinary margin test. A clearinghouse still has to decide whether a proposed collateral asset has sufficiently low credit, market and liquidity risk for its clearing program.

The customer owns the token, but its recognized value can move

A futures customer places margin with an FCM, which carries the customer’s trading account. Federal segregation rules require the intermediary to account for customer property separately from the firm’s own assets. Staff Letter 26-05 lets an FCM count certain non-security digital assets, including payment stablecoins, when determining whether the customer account is undermargined and performing specified segregation calculations, provided it follows the letter’s conditions.

The FCM does not simply copy the wallet’s displayed market value into those calculations. For a payment stablecoin it determines fair market value and applies a haircut under its risk policies. For other qualifying digital assets the letter calls for a haircut of at least 20% for the specified calculations, subject to the letter’s particular exception for collateral and a position both based on and denominated in the same asset. The FCM’s relevant valuation or a clearing organization or trading venue’s measure may differ depending on the calculation. The text matters more than a slogan that bitcoin is accepted at 80 cents on the dollar everywhere.

Here is a deliberately simple illustration, not a report of an actual account. A customer posts bitcoin worth $100,000, and the relevant FCM calculation applies a 20% haircut. Recognized value is $80,000. If bitcoin’s spot value then falls by 15% to $85,000 and the haircut remains 20%, recognized value becomes $68,000. The haircut alone did not jump; market value fell. The account has lost $12,000 of recognized collateral value without a single bitcoin leaving custody.

Now assume the relevant margin requirement for the futures position stays at $75,000. Before the bitcoin move, $80,000 of recognized collateral exceeds the requirement by $5,000. After the move, $68,000 leaves a $7,000 shortfall. The gap changed by $12,000. If the position itself simultaneously loses $10,000, the economic pressure becomes more severe, but the precise cash call depends on the account’s other balances, settlement, portfolio margin and the FCM’s rules. The illustration deliberately holds those factors fixed to show one moving part at a time.

It follows that a 20% haircut is not an insurance policy against a 20% fall. Starting with $100,000, a 20% haircut gives $80,000 of credit. If spot subsequently drops 25%, the asset is worth $75,000 and its value after the same haircut is $60,000, a $20,000 decline in recognized credit. The ratio applies to the new price each time. Calling the initial discount a guarantee would obscure the mechanics of margin calls.

The hypothetical can be run in the other direction to see what would invalidate the concern. If the token price is flat, the recognized collateral value stays at $80,000 under the fixed 20% assumption; a fall in the trader’s futures position could still create a margin deficit. If the futures position earns enough to offset a decline in the pledged token, the combined account may remain above its required margin even as the bitcoin collateral loses value. The public letter does not allow an outsider to infer a margin call from a token price alone. Account equity, product exposure and the firm’s house margin are needed.

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Nor is the haircut necessarily static. The 20% in the letter is a minimum for the specified non-stablecoin FCM calculations, not a cap. If the FCM’s risk policy required 30%, a $100,000 holding would initially count as $70,000. After a 15% decline in the asset price, it would count as $59,500. Changing the assumed discount from 20% to 30% while holding the post-decline price at $85,000 would reduce recognized value by another $8,500. A fall in spot and an increase in the discount can therefore compound; whether a firm changes its policy in a real episode requires its actual rules or an announcement, neither of which follows from the CFTC letter alone.

The same caution applies to a payment stablecoin that moves below its intended peg. The letter instructs a firm to use fair market value and its risk policy, with an appropriate haircut, when counting a payment stablecoin. A token trading at 98 cents does not retain one dollar of regulatory collateral value merely because its issuer promises redemption at par. The recognized amount would depend on the policy’s treatment of market price, redemption access and the relevant haircut. It would be wrong to use the 2% proprietary capital charge as an automatic discount on a customer’s stablecoin margin: the figure addresses the firm’s own position in a different calculation.

The letter has a narrower exception when a customer posts a non-stablecoin digital asset to support a contract both based on and denominated in that same asset. For the permitted offset against the deficit in that specific contract, the applicable clearing organization or foreign clearing organization’s haircut alone may govern. The exception does not turn that asset into universal collateral for every unrelated contract. For an account holding more than one kind of derivatives exposure, the FCM must still apply the relevant requirements to the exposures outside the exception.

The clearinghouse sets a separate haircut

The March CFTC FAQs answer the DCO question directly. A clearinghouse may accept crypto assets, including qualifying payment stablecoins, as initial margin if the assets meet Regulation 39.13(g)(10), which limits accepted assets to those with minimal credit, market and liquidity risks. Regulation 39.13(g)(12) makes the DCO responsible for setting haircuts that account for those risks, including stressed market conditions, and for reassessing them at least monthly.

No universal CFTC clearinghouse bitcoin haircut appears in that answer. A venue might apply a larger discount, restrict a coin, impose concentration limits or decline it under its risk rules. The FCM’s treatment of a customer’s margin and the DCO’s treatment of collateral posted to the clearinghouse operate at different links in the chain. An individual can see a token in an FCM account without the clearinghouse necessarily holding that same token as its own initial margin. The FCM may satisfy clearing obligations in another accepted form.

The easiest error is to import the 20% proprietary capital charge from Question 6 of the March FAQ into Question 8 about a DCO’s initial-margin haircut. Question 6 says the CFTC staff would not object if an FCM used a minimum 20% capital charge for its own inventory positions in bitcoin or ether, and 2% for its own payment stablecoins. Those are regulatory net-capital deductions on the firm’s property. Question 8 requires the DCO to choose its own haircut for initial margin. Question 1 separately tells the FCM how to treat customer property using the conditions in Staff Letter 26-05.

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Three percentages might happen to coincide in one arrangement. They still come from different rules and belong to different balance sheets. The comparison is especially relevant when an FCM tries to meet a shortfall with its own stablecoins. Staff guidance permits proprietary qualifying payment stablecoins as residual interest in a segregated customer account but does not permit the firm to substitute proprietary bitcoin or ether for that purpose. The 2% capital charge on proprietary stablecoin holdings is a separate firm-level cost.

The market for tokenized funds supplies a related example. A fund share represented on a blockchain can carry the legal and economic rights of a conventional eligible fund share, yet the speed of moving a token is only one part of its margin value. Fund redemption terms, ownership records, settlement restrictions and who can receive the shares remain relevant. The CFTC’s tokenized-collateral guidance focuses on equivalence of rights, not merely on whether a blockchain transaction confirms quickly.

Franklin Templeton’s tokenized BENJI fund shares illustrate how a fund token can sit inside securities and custody structures even while its ownership record uses a blockchain. Whether any such share is accepted in a particular derivatives margin program depends on that program’s rules. The existence of a token and a large pool of underlying government assets does not show that a DCO has approved it as collateral.

A falling price reaches three balance sheets

When a customer’s bitcoin collateral declines, the customer faces the first exposure: it must keep its account adequately margined under the firm’s and venue’s rules. A deficit can lead to a call for more collateral, reduced positions or liquidation under the applicable agreements. An FCM that serves as intermediary must monitor its own exposure and keep customer segregation intact. The clearinghouse monitors its members and the assets it accepts as initial margin. They are linked, but their duties are not identical.