- 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
Margining Requirement for Single Stock Futures=Futures Price × Multiple of Contract × Margin Rate
The futures price during the after-hours trading session is calculated based on the daily settlement prices from the previous regular trading session. If single stock futures contract adjustments take effect during the after-hours trading session, the margin is calculated based on the opening reference price for the current trading session.
Group | Clearing Margin Rate | Maintenance Margin Rate | Initial Margin Rate |
---|---|---|---|
Group 1 | 10.00% | 10.35% | 13.50% |
Group 2 | 12.00% | 12.42% | 16.20% |
Group 3 | 15.00% | 15.53% | 20.25% |
For single stock futures with risk parameters greater than 15%, TAIFEX will round up the actual computation result to the nearest hundredth and the rounded value will be used for clearing margin level. The maintenance margin and initial margin level will be calculated by adding a required mark up to the clearing margin level.
Position Description | Margin Requirements | Remarks |
---|---|---|
Buy 1 single stock futures contract and sell 1 single stock futures contract | Margin required for 1 single stock futures contract(depending on which one's margin requirement is higher) |
|
Position Description | Margin Requirements | Remarks |
---|---|---|
Buy 1 single stock futures contract with 2,000 shares of underlying security (or buy 20 single stock futures contract with 100 shares of underlying security) and sell 1 call equity option | Margin Required for 1 single stock futures contract with 2,000 shares of underlying security (or for 20 single stock futures contract with 100 shares of underlying security) + premium for equity option |
|
Sell 1 single stock futures contract with 2,000 shares of underlying security (or sell 20 single stock futures contract with 100 shares of underlying security) and sell 1 put equity option |
Margining Requirement for Single Stock Futures=Futures Price × Multiple of Contract × Risk coefficient
The calculation of the risk coefficient of margins for futures contracts is based on the price movements of the underlying spot within a certain period, anti-procyclicality and other possible factors with at least a 99 percent confidence interval to cover two-day price variation.
Position Description | Margin Requirements | Remarks |
---|---|---|
Buy 1 single stock futures contract and sell 1 single stock futures contract | Margin required for 1 single stock futures contract(depending on which one's margin requirement is higher) |
|
Position Description | Margin Requirements | Remarks |
---|---|---|
Buy 1 single stock futures contract with 10,000 shares of underlying security (or buy 10 single stock futures contract with 1,000 shares of underlying security) and sell 1 call equity option | Margin Required for 1 single stock futures contract with 10,000 shares of underlying security (or for 10 single stock futures contract with 1,000 shares of underlying security) + premium for equity option |
|
Sell 1 single stock futures contract with 10,000 shares of underlying security (or sell 10 single stock futures contract with 1,000 shares of underlying security) and sell 1 put equity option |