| Article 1 |
These Standards are drafted pursuant to Article 50, paragraph 2 of the Futures Trading Act.
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| Article 2 |
The TAIFEX collects clearing margins from clearing members pursuant to Article 5-2. Clearing margins may be paid in the form of cash, or in securities publicly announced by the TAIFEX as eligible to be posted as collateral.
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| Article 2-1 |
The securities mentioned in the preceding Article shall meet the definition in Article 6 of the Securities and Exchange Act, and shall be within the following scope:
- Stocks that are the underlying securities of TAIFEX single stock futures contracts and stock option contracts, beneficial certificates of exchange-traded funds issued by securities investment trust enterprises ("ETF beneficial certificates"), and offshore ETF beneficial certificates, fund shares, or investment units offered and sold in Taiwan by offshore fund managers or institutions appointed by the offshore fund managers in accordance with the Regulations Governing Offshore Funds ("offshore ETF beneficial certificates").
- Component shares of the FTSE TWSE Taiwan 50 Index, and beneficial certificates of the Yuanta/P-shares Taiwan Top 50 ETF.
- Book-entry central government bonds.
- International bonds under Article 3 of the GTSM Rules Governing Management of Foreign Currency Denominated International Bonds.
The TAIFEX shall make public announcements of any additions or deletions to the scope of securities eligible to be posted as collateral to pay margins under the preceding paragraph in accordance with the TAIFEX Procedures for Addition and Deletion of Securities Eligible to Be Posted as Collateral to Pay Margins.
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| Article 2-2 |
The total ceilings on securities, excluding book-entry central government bonds, posted as collateral to pay margins are as follows:
- Ten percent of the total number of the TWSE (or GTSM) listed issued shares or beneficial units of each type of stock, ETF beneficial certificate, or offshore ETF beneficial certificate.
- Twenty percent of the total face value issued of each type of international bond.
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| Article 2-3 |
When the TAIFEX conducts operations in relation to posting securities to pay margin collateral, the calculation of the haircut rates and net collateral value of the securities is as follows:
- For stocks, ETF beneficial certificates, and offshore ETF beneficial certificates, the net collateral value shall be calculated by applying a 30 percent haircut rate, if during the trading session, to the market opening reference price of the securities on the current day, or if after market closing, to the closing price of the securities on the current day.
- For book-entry central government bonds, the net collateral value shall be calculated by applying a 5 percent haircut rate to the market price which is the weighted average price-per-hundred for the preceding business day on the electronic bond trading system as disclosed by the GTSM, or to the theoretical value if no market price is available.
- For international bonds, the collateral value shall be calculated by applying a haircut rate of 10 percent to the market price which is the weighted average price-per-hundred for the preceding business day on the electronic bond trading system as disclosed by the GTSM, or to the market price of the most recent trade date if no market price is available for the preceding business day.
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| Article 2-4 |
A clearing member conducting operations in relation to the posting of securities as margin collateral shall be subject to the requirement that the ratio of collateral securities to the total clearing margin requirement may not exceed 50 percent.
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| Article 3 |
The TAIFEX collects clearing margin based on the gross margining method, except for specified position combinations and futures spread positions as per regulations. Contract positions held in different trading accounts may not be offset, except for those held by futures dealers.
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| Article 4 |
The clearing margin for a stock index futures contract shall be the futures index multiplied by the value of each index point multiplied by the risk coefficient.
The term "risk coefficient" as used in the preceding paragraph is calculated based on the movement of a stock index expressed in points within a certain period, anti-procyclicality, and other possible factors, with at least a 99 percent confidence interval to cover two-day index price variation.
The collection of margin under paragraph 1 for a contract quoted in New Taiwan Dollars shall be in units of NT$1,000, and amounts less than NT$1,000 shall be automatically rounded upward to NT$1,000; the collection of margin for a contract quoted in US Dollars shall be in units of US$100, and amounts less than US$100 shall be automatically rounded upward to US$100.
The clearing margin for Mini-TAIEX Futures Contracts and Mini-TAIEX Flexible Futures Contracts is calculated at one-fourth the clearing margin for TAIEX Futures Contracts. The clearing margin for Mini Electronics Sector Index Futures Contracts is calculated at one-eighth the clearing margin for Electronics Sector Index Futures Contracts. The clearing margin for Mini Finance Sector Index Futures Contracts is calculated at one-fourth the clearing margin for Finance Sector Index Futures Contracts. The provisions of paragraphs 1 and 3 do not apply to any of the above four contracts.
The method for calculating clearing margin for futures contract spread positions shall be separately prescribed by the TAIFEX.
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| Article 4-1 |
In addition to the premium, in the calculation of clearing margins for stock index option contracts, the calculation of the risk coefficient is based on the price volatility of the underlying stock index within a certain period, anti-procyclicality, and other possible factors, with at least a 99 percent confidence interval to cover two-day premium price variation. The method of calculation shall be separately prescribed by the TAIFEX.
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| Article 4-2 |
In addition to the premium, in the calculation of clearing margins for single-stock option contracts, the calculation of the risk coefficient is based on the price movement of the underlying security within a certain period, anti-procyclicality, and other possible factors, with at least a 99 percent confidence interval to cover two-day premium price variation. The method of calculation shall be separately prescribed by the TAIFEX.
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| Article 4-3 |
(Deleted)
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| Article 4-4 |
The clearing margin for a commodity futures contract shall be the futures price multiplied by the contract size multiplied by the risk coefficient.
The term "risk coefficient" as used in the preceding paragraph is calculated based on the price movement of the futures contract within a certain period, anti-procyclicality, and other possible factors, with at least a 99 percent confidence interval to cover two-day price variation.
For the collection of margins under paragraph 1, for futures contracts for which the price is quoted in US dollars, the margin shall be in units of US$10, and any amount less than US$10 shall be automatically rounded up to US$10; for futures contracts for which the price is quoted in NT dollars, the margin shall be in units of NT$1,000, and any amount less than NT$1,000 shall automatically be rounded up to NT$1,000.
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| Article 4-5 |
In addition to the premium, in the calculation of clearing margins for commodity option contracts, the calculation of the risk coefficient is based on the price volatility of the underlying commodity over a period of time, anti-procyclicality, and other possible factors, with at least a 99 percent confidence interval to cover two-day premium price variation. The method of calculation shall be separately prescribed by the TAIFEX.
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| Article 4-6 |
The clearing margin for a single-stock futures contract is the futures price multiplied by the contract multiplier multiplied by the risk coefficient.
The risk coefficient of the preceding paragraph is a value calculated with reference to the price volatility of the underlying securities over a given period of time, anti-procyclicality, and other factors, such that two-day price volatility will be covered to at least a 99 percent confidence level. The method of calculation shall be separately prescribed by the TAIFEX.
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| Article 4-7 |
The clearing margin for a forex futures contract is the futures price multiplied by the contract size multiplied by the risk coefficient.
The risk coefficient of the preceding paragraph is a value calculated with reference to the price volatility of the futures contract over a given period of time, anti-procyclicality, and other factors, such that two-day price volatility will be covered to at least a 99 percent confidence level.
The collection of margins prescribed in paragraph 1 shall be in units of CNY100 for futures contracts quoted in Renminbi, and amounts less than CNY100 shall be automatically rounded upward to CNY100; in units of US$10 for futures contracts quoted in US Dollars, and amounts less than US$10 shall be automatically rounded upward to US$10; in units of JPY1,000 for futures contracts quoted in Japanese Yen, and amounts less than JPY1,000 shall be automatically rounded upward to JPY1,000.
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| Article 4-8 |
(Deleted)
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| Article 5 |
If the difference between the current clearing margin level and the level calculated daily according to the provisions of Article 4 or Article 4-4 for a stock index futures contract or commodity futures contract reaches 10 percent or more, or when necessary based on market conditions, the TAIFEX may adjust the collection level of the clearing margin and round upwards in accordance with paragraph 3 of Article 4 or paragraph 3 of Article 4-4.
The clearing margin for a stock index option contract according to the provisions of Article 4-1 may be adjusted when the movement of the amount derived by multiplying the underlying futures index by the value of each index point by the risk coefficient that is used, in addition to the premium, in calculating the margin reaches 10 percent or more, or when necessary based on market conditions. For contracts quoted in New Taiwan Dollars it shall be calculated in units of NT$1,000, with any portion less than NT$1,000 unconditionally rounded up to NT$1,000; for contracts quoted in US Dollars it shall be calculated in units of US$100, with any portion less than US$100 rounded up to US$100.
The clearing margins for Mini-TAIEX Futures Contracts and Mini-TAIEX Flexible Futures Contracts, Mini Electronics Sector Index Futures Contracts, and Mini Finance Sector Index Futures Contracts are adjusted simultaneously in tandem with any adjustment to the clearing margins for TAIEX Futures Contracts, Electronics Sector Index Futures Contracts, and Finance Sector Index Futures Contracts respectively; the adjusted amount shall be governed by paragraph 4 of Article 4; the provisions of paragraph 1 do not apply to it.
The clearing margin for a commodity option contract according to the provisions of Article 4-5 may be adjusted when the movement of the amount derived by multiplying the underlying commodity price by the contract size by the risk coefficient that is used, in addition to the premium, in calculating the margin reaches 10 percent or more, or when necessary based on market conditions. It shall be calculated in units of NT$1,000, with any portion less than NT$1,000 unconditionally rounded up to NT$1,000.
For a single-stock futures contract with beneficial certificates as its underlying securities, the amount of the clearing margin calculated daily under Article 4-6 may be adjusted when its movement reaches 10 percent or more, or when necessary based on market conditions. It shall be calculated in units of NT$1,000, with any portion less than NT$1,000 unconditionally rounded up to NT$1,000.
For a single-stock option contract with beneficial certificates as its underlying securities, the clearing margin under Article 4-2, may be adjusted when the movement of the amount derived by multiplying the underlying security price by the strike price multiplier by the risk coefficient that is used, in addition to the premium, in calculating the margin reaches 10 percent or more, or when necessary based on market conditions. It shall be calculated in units of NT$1,000, with any portion less than NT$1,000 unconditionally rounded up to NT$1,000.
If the difference between the current clearing margin level and the level calculated daily according to the provisions of Article 4-7 for a forex future contract reaches 5 percent or more, or when necessary based on market conditions, the TAIFEX may adjust the collection level of the clearing margin and round upwards in accordance with Article 4-7, paragraph 3.
The procedures for adjusting the clearing margin for a single-stock futures contract with stock as its underlying security and a single-stock option contract with stock as its the underlying security shall be separately prescribed by the TAIFEX.
An adjustment to the level of a clearing margin by the TAIFEX pursuant to the provisions of this article shall be implemented after the close of trading of the next regular trading session following the announcement date.
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| Article 5-1 |
When the clearing margins of individual contracts require adjustment due to revision of contract specifications, the TAIFEX may reset the clearing margins in accordance with Articles 4 to 4-7 for implementation from the date the revised contract specifications take effect.
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| Article 5-2 |
The TAIFEX calculates and collects required margin from clearing members based on the Standard Portfolio Analysis of Risk (SPAN) method. The parameters of that method shall be set and adjusted according to the following provisions:
- Price scan range
The price scan range measures, within a specified confidence interval, the maximum possible price risk for each futures and options contract on the following two trading days. The method for setting each contract's price scan range is as follows:
- Futures contracts:
The price scan range for each futures contract shall be set based on the clearing margin calculation method for the given futures contract as prescribed in these Standards.
- Stock index option contracts:
Set based on the price scan range of the futures contract for the same underlying index multiplied by a percentage of the contract value.
- Single-stock option contracts:
Set based on the price scan range of the futures contract for the same underlying security multiplied by a percentage of the contract value. Where there is no futures contract for the same underlying security, it will be set based on its clearing margin's risk margin (if the underlying security is a stock, then 'A' value = price of the underlying securities × a% × number of shares of the subject securities; if the underlying security is a beneficial certificate, then "A" value = price of the underlying securities × number of beneficial units of the underlying securities × risk coefficient).
Adjustment of the price scan range of individual contracts shall be subject mutatis mutandis to the method for adjusting the margin of individual contracts.
- Commodity option contracts:
Set based on the price scan range of the futures contract for the same underlying commodity multiplied by a percentage of the contract value.
- Extreme move multiplier and extreme move covered percentage
The extreme move multiplier measures, under conditions of extreme market movement, the multiplier of the price movement of the underlying assets of the individual contract relative to the price scan range.
The extreme covered percentage measures, under conditions of extreme market movement, the percentage of loss that can be covered by the required margin.
- Extreme move multiplier: 3
- Extreme covered percentage: 32 percent
The method for adjusting these two parameters shall be separately prescribed by the TAIFEX.
- Volatility scan range
A value is estimated based on the variation in volatility of the individual option contract's underlying (for stock index options, the underlying index; for single-stock options, the underlying securities; for commodity options, the underlying commodity) and other relevant factors during a period of time, with at least a 99.7 confidence interval to cover two-day price variation. The calculation method shall be separately prescribed by the TAIFEX.
When the variation in this parameter's value as calculated by the TAIFEX each day reaches 10 percent relative to the current value, the TAIFEX may adjust it.
- Intermonth spread charge
A value set based on the variation in price of different delivery months of contracts of the same commodity group and related factors. The method for calculating this value shall be separately prescribed by the TAIFEX.
The method for adjusting this parameter shall be separately prescribed by the TAIFEX.
- Intercommodity spread credit rate and contract value consumption ratio
Values set based on the correlation coefficients between commodity groups and other possible factors. The calculation methods shall be separately prescribed by the TAIFEX.
When the variation in these two parameters' values as calculated by the TAIFEX each day reaches 10 percent relative to the current value, the TAIFEX may adjust them.
- Short option minimum charge
A value based on the price scan range of the individual options contract and related factors. The calculation method shall be separately prescribed by the TAIFEX.
The method for adjusting this parameter shall be separately prescribed by the TAIFEX.
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| Article 6 |
The TAIFEX may adjust the level of clearing margins for certain contracts if the amount of clearing margins calculated in accordance with these Standards is not appropriate due to special circumstances. Such adjustment shall be effective upon announcement.
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| Article 7 |
These Standards and any amendments to them shall take force after they have been submitted to the competent authority for approval.
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