Intraday Profit & Loss Trial Balance
| Purpose | For market financial security, TAIFEX performs profit & loss trial balance calculations on an intraday basis during regular trading session and after-hours trading session, enabling TAIFEX to monitor the status of a clearing member’s margin during trading hours. If the remaining margin balance of a clearing member is below the margin requirement, TAIFEX issues an intraday margin call to the member . |
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| Timeframe for calculating intraday profit & loss | TAIFEX executes intraday mark-to-market processing during trading hours at several periods throughout the business day (9:30 a.m. to 9:40 a.m., 11:00 a.m. to 11:10 a.m., and 12:30 p.m. to 12:40 p.m., and 3:00 p.m. to 3:10 p.m.) to calculate required margins for clearing members.
TAIFEX calculates the profit & loss on the balance of the open positions of all clearing members during the trading period. Profits & losses are classified as either transaction profits & losses or position profits & losses. On the final settlement day, the settlement profit & loss is incorporated into the profits & losses calculation. |
| Position / profit & loss calculations | To monitor the profit and loss and margin balance of each clearing member, TAIFEX calculates the intraday profit and loss based on the market prices. In addition, the profit and loss calculation for those products exempted from liquidation on behalf of a principal in the after-hour session is performed at the opening reference price. |
| Prices for trial balance calculation | TAIFEX does not actively notify clearing members of the prices used in its intraday profit & loss calculations, but accepts queries concerning those prices from clearing members. |
| Special circumstances | In volatile markets, TAIFEX may carry out multiple intraday profit & loss calculations based on market prices, and may also calculate profits & losses based on specified prices in order to reduce market risk by understanding the profit & loss status of clearing members and controlling their position risks in advance. If intraday profit & loss calculations show that a clearing member has insufficient margin, the deficit must be made up within the timeframe specified by TAIFEX. (For details, please refer to the “Intraday Margin Calls” section.) |
| Margin call procedures
(flow chart) |
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