| Article 1 |
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| Article 2 |
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| Article 3 |
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| Article 4 |
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| Article 4-1 |
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| Article 4-2 |
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| Article 4-3 |
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| Article 4-4 |
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| Article 4-5 |
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| Article 5 |
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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, 4-1, 4-2, 4-3, 4-4, and 4-5 for implementation from the date the revised contract specifications take effect. |
| 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:
1. 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 trading day. The method for setting each contract's price scan range is as follows:
(1) 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.
(2) 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.
(3) Equity option contracts:
Set based on its clearing margin's risk margin ('A' value = price of the underlying securities × a% × number of shares of the subject securities).
Adjustment of the price scan range of individual contracts shall be subject mutatis mutandis to the method for adjusting the margin of individual contracts.
(4) Gold option contracts:
Set based on the price scan range of the futures contract for the same underlying gold multiplied by a percentage of the contract value.
2. 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.
(1) Extreme move multiplier: 3
(2) Extreme covered percentage: 32 percent
The method for adjusting these two parameters shall be separately prescribed by the TAIFEX.
3. 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 equity options, the underlying securities; for gold options, the underlying gold)) and other relevant factors during a period of time, with at least a 99.7 confidence interval to cover one-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.
4. Intermonth spread charge
A value set based on the variation in price of different delivery months of contracts 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.
5. 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.
6. 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.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:
1. 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 trading day. The method for setting each contract's price scan range is as follows:
(1) 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.
(2) 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.
(3) Equity option contracts:
Set based on its clearing margin's risk margin ('A' value = price of the underlying securities × a% × number of shares of the subject securities).
Adjustment of the price scan range of individual contracts shall be subject mutatis mutandis to the method for adjusting the margin of individual contracts.
(4) Gold option contracts:
Set based on the price scan range of the futures contract for the same underlying gold multiplied by a percentage of the contract value.
2. 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.
(1) Extreme move multiplier: 3
(2) Extreme covered percentage: 32 percent
The method for adjusting these two parameters shall be separately prescribed by the TAIFEX.
3. 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 equity options, the underlying securities; for gold options, the underlying gold)) and other relevant factors during a period of time, with at least a 99.7 confidence interval to cover one-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.
4. Intermonth spread charge
A value set based on the variation in price of different delivery months of contracts 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.
5. 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.
6. 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. |
| Article 6 |
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| Article 7 |
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