Qualifying Central Counterparty (QCCP) Disclosure
- Qualifying Central Counterparty (QCCP) Status
On 25 November 2020 TAIFEX has been granted recognition as a qualifying CCP (QCCP) for its Clearing Services for Exchange-Traded Derivatives by the Financial Supervisory Commission (FSC). This recognition ensures that bank Clearing Participants and bank clients of Clearing Participants under FSC’s regulatory remit will benefit from low capital risk weightings for exposures to TAIFEX.
- Principles for Financial Market Infrastructure (PFMI) Disclosure Report
This report was prepared, under the prudential supervision by the regulator on an ongoing basis, by TAIFEX from the perspective of a central counterparty (CCP) for Taiwan’s futures market and OTC derivatives market. This report provides detailed information demonstrating TAIFEX’s compliance with the “PFMI: Disclosure Framework and Assessment Methodology” published by the CPSS-IOSCO in December 2012.
Please find TAIFEX’s PFMI disclosure report in the link below.
https://www.taifex.com.tw/file/taifex/eng/eng9/TAIFEX_PFMI_ Disclosure_Report.pdf - Default Fund Exposures
According to “Methods for calculating Bank’s regulatory capital and Risk Weighted Assets” part two standardized approach and internal ratings-based approach to credit risk- “Annex 3 Capital Charge for Counterparty Credit Risk”, TAIFEX must make a calculation of KCCP, DFCMpref ,DFCCP on quarterly basis and provide information to clearing members in calculating their capital requirement for the default fund. Relevant information can be found as follows.
- FCMs on line reporting system
Clearing members can login FCMs on line reporting system to inquire KCCP, DFCMpref and DFCCP via function 13-5-18 Default fund exposures inquiry.
- TAIFEX quarterly discloses KCCP(Disclosure Reference 4.2.1)、DFCMpref(Disclosure Reference 4.1.4) and DFCCP(Disclosure Reference 4.1.1) on CPMI-IOSCO Quantitative Disclosure.
- FCMs on line reporting system
- Qualifying Central Counterparty (QCCP) Status
Since 9 June 2022, TAIFEX has been recognized as a qualifying CCP (QCCP) for its OTC Derivatives Clearing Services by the Financial Supervisory Commission (FSC). For an OTC derivatives contract that was executed between two market participants, once it is submitted to a CCP for clearing, it will be replaced by two bilateral contracts between each of the original counterparties and the CCP. If the CCP is a QCCP like TAIFEX, then the counterparties’ trade exposures to the QCCP or TAIFEX can be subject to a risk weight of 2%, according to the “capital requirements for bank exposures to central counterparties” announced by the Banking Bureau of the FSC. Therefore, TAIFEX’s QCCP status can effectively reduce its members’ and market participants’ regulatory capital requirements and effectively improve their capital efficiency and international competitiveness.
- Principles for Financial Market Infrastructure (PFMI) Disclosure Report
This report was prepared, under the prudential supervision by the regulator on an ongoing basis, by TAIFEX from the perspective of a central counterparty (CCP) for Taiwan’s futures market and OTC derivatives market. This report provides detailed information demonstrating TAIFEX’s compliance with the “PFMI: Disclosure Framework and Assessment Methodology” published by the CPSS-IOSCO in December 2012.
Please find TAIFEX’s PFMI disclosure report in the link below.
https://www.taifex.com.tw/file/taifex/eng/eng9/TAIFEX_PFMI_ Disclosure_Report.pdf - Default fund exposures
According to regulations of Part II, Standardized Approach and Internal Ratings-Based Approach to Credit Risk and Annex III, the Method for the Calculation of the Capital Charge for Counterparty Credit Risk of the “Methods for Calculating Bank’s Regulatory Capital and Risk-weighted Assets,” TAIFEX must make a calculation of the KCCP, the DFCMpref, and the DFCCP on a quarterly basis and provide information to its clearing members for calculation of their capital requirements for the default fund. Relevant information is detailed below.
- CPMI-IOSCO Quantitative Disclosure
Following the 25 July 2022 launch of the TAIFEX OTC derivatives clearing service, TAIFEX will disclose the KCCP(Disclosure Reference 4.2.1)、DFCMpref (Disclosure Reference 4.1.4) and DFCCP(Disclosure Reference 4.1.1) on a quarterly on its website. Please refer to the following link for more information.
- CPMI-IOSCO Quantitative Disclosure