Clearing
- Exchange Traded Derivatives Clearing
- Clearing Members
- Clearing Mechanism
- Clearing Mechanism Developing History
- Clearing Mechanism
- Clearing Process
- Intraday Profit & Loss Trial Balance
- Daily Settlement Price
- Formula for Calculating Final Settlement Prices
- Clearing Margin Accounts
- Position Management
- Safeguard System
- Products exempted and not exempted from liquidation on behalf of a principal in the after-hour session
- Notice for Foreign Currency Denominated Contracts Settlement
- Margining
- Market Information
Clearing
Margin Calculation
- Initial margin
- TAIFEX calculates the initial margins for the cleared transactions of clearing members' proprietary account and each client account respectively during the intraday and the end of each business day to cover the expected loss of net present value changes over the certain period at a 99.5% confidence interval based on the changes of interest and exchange rates in last five years and the expected loss given TAIFEX's chosen stress period.
- The certain period of the preceding paragraph refers to five business days for proprietary accounts of clearing members; and seven business days for client accounts of clearing members.
- Liquidity risk margin
- TAIFEX may require additional liquidity risk margin for the cleared transactions of clearing members' proprietary account and each client account respectively when the change in net present value as a result of a basis point change in interest rates or exchange rates, or notional amount, is in excess of the threshold that TAIFEX sets for the corresponding maturities.
- The threshold and the level of liquidity risk margin for the corresponding maturities of the preceding paragraph will be determined by TAIFEX according to the bid/ask spreads and relevant information provided by clearing members as required by TAIFEX.
- Additional margins for holidays
- TAIFEX may require additional margin for cleared transactions to cover risks arising from potential fluctuation in international financial markets during long holidays.
- The corresponding methods will be announced by TAIFEX before the holidays.
- Variation margin (VM)/ Mark-to-market difference (MTM)
- The change of the net present value of the Collateralized-To-Market (CTM) transaction is the variation margin (VM)
- The change of the net present value of the Settled-To-Market (STM) transaction is the mark-to-market difference (MTM)
- Intraday variation margin or mark-to-market difference is treated as the adjustment for the initial margin.
- End-of-day variation margin or mark-to-market difference is treated as the settlement amount for the following business day.
- Variation margin and the mark-to-market difference calculation
- Intraday variation margin/mark-to-market difference at Day T
=NPV based on the intraday valuation at Day T
- NPV based on the end-of-day valuation at Day T-1 - End-of-day variation margin/mark-to-market difference at Day T
= NPV based on the end-of-day valuation at Day T
- NPV based on the end-of-day valuation at Day T-1
- Intraday variation margin/mark-to-market difference at Day T
- When TAIFEX calculates the net present value of cleared transactions at the end of the day, if the following business day is the coupon payment date or settlement date for the cleared transaction, the present value of the coupon or settlement amount on the following business day discounted to the calculation date will be added or deducted from the net present value.
- For cleared transactions newly established on the day, the net present value on the previous business day is zero.
