| 1 |
Legal basis
The legal basis is Article 44-9, paragraph 4 of the Operating Rules of the Taiwan Futures Exchange Corporation.
|
| 2 |
Purpose of calculation
"Accumulated New Taiwan dollar realized gains" shall be reported daily in order to accurately state and control the actual daily after-market amount of New Taiwan dollars ("NT Dollars") held in the account of each offshore overseas Chinese, foreign national, or mainland area investor, which may not exceed the limit set by the foreign exchange authority.
|
| 3 |
Method of calculation
The method of calculating "accumulated NT Dollar realized gains" for reporting by offshore overseas Chinese, foreign nationals, and mainland area investors is as follows:
- Formula for calculation:
Reported "accumulated NT Dollar realized gains" (A) = (Current day) accumulated NT Dollar realized gains or losses (B) ± deposits/withdrawals of the current day－ (current day) amount of losses on open futures positions － (current day) initial margin requirement for open positions － extra margin collected pursuant to the "extra margin collection indicator."
- Explanation:
- Reported "accumulated NT Dollar realized gains" (A) refers to the actual NT Dollar amount held by offshore overseas Chinese, foreign nationals, and mainland area investors, and reported daily to the foreign exchange authority. Reported amounts may be positive or negative.
- (Current day) accumulated NT Dollar realized gains or losses (B) = (previous day) balance ± (current day) net gains or losses on offset futures positions ± (current day) option premium receipts or payments ± (current day) gains or losses on execution at maturity － (current day) transaction fees － (current day) futures transaction taxes.
2.1 [ (Current day) accumulated NT Dollar realized gains or losses (B) ± deposits/withdrawals of the current day (C), is the "current day balance" in the customer trade report of the futures commission merchant, after totaling is carried over to the next day.
2.2 (Current day) net gains or losses on offset futures positions: gains or losses on futures trades after closing out trades in same-month contracts of the same futures product.
2.3 (Current day) option premium receipts or payments: the balance of receipts and payments of premiums on options traded.
2.4 (Current day) gains or losses on execution at maturity: including the gains or losses on execution of futures and options upon expiry. For settlement of futures at maturity, gains or losses are calculated based on the difference between the final settlement price and the initial purchase (or sale) price (stock futures are calculated by using the final settlement price to calculate the value of the contracted underlying security). When an option is exercised and settled at maturity, realized gain or loss is calculated as the spread between the final settlement price and the strike price.
2.5 (Current day) transaction fees: Transaction fees related to futures trading.
2.6 (Current day) futures transaction taxes: tax amounts payable pursuant to the provisions of the Futures Transaction Tax Act.
- Deposits/withdrawals of the current day shall mean the sum of the following receipts and payments of funds:
- (Current day) foreign exchange settlement amount.
- (Current day) amount of transfers between the domestic and foreign futures trading customer margin accounts of the same futures commission merchant.
- (Current day) amount of transfers with customer margin accounts of other future commission merchants.
- (Current day) amount of transfers of surplus cash margin and premiums between futures trading accounts.
- (Current day) amount of transfers with designated accounts for receipt/payment of funds for international cooperative products.
International cooperative products shall mean New Taiwan Dollar denominated futures trading contracts listed on a foreign futures exchange, under a cooperation agreement entered into between the TAIFEX and the foreign futures exchange with the competent authority's approval.
3-1 (Current day) foreign exchange settlement amount: When NT Dollars are converted to a TAIFEX-announced foreign currency, the amount of that settlement shall be stated as a deduction; when foreign currency is converted to NT Dollars, the amount of that settlement shall be stated as an addition.
When the accumulated NT Dollar realized gains and losses are negative (i.e., there is a realized loss), the time and amount of the settlement shall be handled as set out in the appended "Details of Foreign Exchange Settlements for Accumulated NT Dollar Realized Losses by Offshore Overseas Chinese, Foreign Nationals, and Mainland Area Investors."
- (Current day) amount of losses on open futures positions:
Current day amount of losses on open futures positions: the amount of "Floating gains or losses on open futures positions" listed in daily trade reports; if that amount is a negative value, it shall be a deduction from accumulated NT Dollar realized gains.
- (Current day) initial margin requirement for open positions:
Initial margin requirements for open positions include the following:
5.1 The initial margin requirement for open long or short futures positions.
5.2 Initial margin requirements for open options positions: the combined margin required for short positions and combination positions.
- (Current day) accumulated NT Dollar realized gains or losses (B) plus or minus deposits/withdrawals of the current day, i.e., (C), is the "current day balance" given in the customer trade report of the futures commission merchant, and is carried over to the following day; (current day) losses on open futures positions and (current day) initial margin requirements for open positions are adjusted daily on a marked-to-market basis.
|