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Taiwan Stock Exchange Corporation Rules Governing the Electronic Filing of Capital Adequacy Ratio Financial Statement by Securities Firms  CH

Amended Date: 2014.08.28
1     These rules are established for the purposes of setting a system for the electronic filing of capital adequacy ratio financial statement by securities firms.
2     The applicable targets for these rules are the securities firms in operation. These rules shall not apply to securities brokers concurrently operated by a financial institution, nor do these rules apply to Taiwanese branches of foreign securities firms which had been approved by the competent authority to be exempted from reporting of capital adequacy ratio.
3     Securities firms' electronic filing of capital adequacy ratio financial statement by securities firms shall be conducted pursuant to these rules. For matters not provided under these rules, the Operating Rules of the Taiwan Stock Exchange Corporation or other relevant regulations, as the case may be, shall govern.
4     The financial statements of capital adequacy ratio referred to in these rules are the ones which need to be separately reported to TWSE via the internet in accordance to their respective nature pursuant to Article 26 of the Operating Rules of the Taiwan Stock Exchange Corporations.
    Where simple calculation method is adopted as the calculation method for the capital adequacy ratio, the following items shall be used.
  1. Summary table of capital adequacy ratio.
  2. Summary calculation form for capital adequacy ratio.
  3. Calculation form for Tier 1 capital.
  4. Calculation form for Tier 2 capital.
  5. Calculation form for deductions from capital.
  6. Calculation form for market risk equivalents.
  7. Details for government bonds.
  8. Details for New Taiwan Dollar-dominated bond issued by international development banks.
  9. Details for listed/OTC companies' corporate bonds or financial bonds.
  10. Details for other bonds.
  11. Details for listed stocks (satisfied the patterns for "akin to cross-shareholdings" and "similar to participation in the business operation").
  12. Details for listed stocks (ordinary listed stocks other than the aforementioned "akin to cross-shareholdings" and "similar to participation in the business operation").
  13. Details for over-the-counter shares (satisfied the patterns for "akin to cross-shareholdings" and "similar to participation in the business operation").
  14. Details for over-the-counter shares (ordinary listed stocks other than the aforementioned "akin to cross-shareholdings" and "similar to participation in the business operation").
  15. Details for emerging stocks (satisfied the patterns for "akin to cross-shareholdings" and "similar to participation in the business operation").
  16. Details for emerging stocks (ordinary listed stocks other than the aforementioned "akin to cross-shareholdings" and "similar to participation in the business operation").
  17. Details for shares other than listed or OTC stocks obtained on a firm commitment basis.
  18. Details for shares subject to control.
  19. Details for hedging position resulting from issuance of call (put) warrants and options (index and stocks).
  20. Calculation form for domestic futures.
  21. Details for convertible corporate bonds and corporate bonds with warrants.
  22. Details for convertible corporate bonds.
  23. Details for call (put) warrant (purchase of call (put) warrants issued by others) and share subscription warrants.
  24. Calculation form for beneficial certificates.
  25. Calculation form for Short-Term Bills.
  26. Details for firm commitment contracts (from execution date to pay date).
  27. Details for non-hedging positions (for a single listed stock) from issuance of call (put) warrants.
  28. Details for non-hedging positions (for mixed lots of listed stock) from issuance of call (put) warrants.
  29. Details for interest rate derivatives and bond derivatives.
  30. Details for convertible bond asset swaptions (the Delta risk equivalents).
  31. Details for convertible bond asset swaptions (the Gamma and Vega risks equivalents).
  32. Details for index options and stock options (for naked position - long call (put)).
  33. Details for index options and stock options (for naked position - short call (put)).
  34. Details for index options and stock options (for combination position).
  35. Details for OTC option (the Delta risk equivalents).
  36. Details for OTC option (the Gamma and Vega risks equivalents).
  37. Details for credit derivatives.
  38. Details for other New Taiwan Dollar-dominated financial products.
  39. Details for foreign government bonds.
  40. Details for foreign currency bonds issued by international development banks.
  41. Details for bonds issued, guaranteed or underwritten by foreign central government or central bank, which has an external credit rating between A+ and BBB-.
  42. Details for Foreign currency bonds issued, guaranteed or underwritten by bank or bills finance company, which has rated above investment grade by external credit rating.
  43. Details for bonds which have satisfied certain credit ratings.
  44. Details for other currency bonds (including beneficial securities of securitization assets, asset-based securities, real estate asset trust (REAT) beneficiary securities).
  45. Details for foreign stocks.
  46. Details for futures.
  47. Details for convertible corporate bonds, bonds with warrants, exchangeable corporate bonds.
  48. Details for call (put) warrants.
  49. Details for beneficial certificates.
  50. Details for Short-Term Bills.
  51. Details for firm commitment contracts (from execution date to pay date).
  52. Details for foreign interest rate and foreign bond derivatives.
  53. Details for convertible bond asset swaptions (the Delta risk equivalents).
  54. Details for convertible bond asset swaptions (the Gamma and Vega risks equivalents).
  55. Details for options (for naked position) (long call (put)).
  56. Details for options (for naked position) (short call (put)).
  57. Details for options (for combination position).
  58. Details for foreign derivatives for hedging transactions.
  59. Details for equity options and structured products (the Delta risk equivalents).
  60. Details for equity options and structured products (the Gamma and Vega risks equivalents).
  61. Details for credit derivatives.
  62. Details for other foreign currency financial products.
  63. Summary calculation form for foreign exchange risk equivalents.
  64. Summary statement for foreign exchange risk.
  65. Foreign exchange risk- foreign currency assets/liabilities in the balance sheet.
  66. Foreign exchange risk- details for forward positions.
  67. Foreign exchange risk- details for exchange rate options (Delta position).
  68. Foreign exchange risk - details for Gamma and Vega risks of options related to exchange rate (include gold).
  69. Summary calculation form for trading counterparty's risk equivalents.
  70. Calculation form for margin transaction accounts.
  71. Details for bills and bonds purchased under resell agreements, bills and bonds sold under repurchase agreements (BBSR), securities borrowing transaction (negotiated transaction) of central government bonds.
  72. Details for guaranteed liabilities.
  73. Details for interest rate derivatives and bond derivatives.
  74. Details for options and other derivatives.
  75. Details for transaction amount of brokerage trading of securities.
  76. Details for the four days accumulated transaction amount of brokerage trading of securities in foreign exchange market.
  77. Details for values of various open future contracts with clients.
  78. Details for convertible bond asset swaptions.
  79. Details for index options and stock options.
  80. Details for securities borrowing and landing (negotiated lending) transaction.
  81. Details for outsourced hedging trades of structured products.
  82. Details for borrowing or lending money in connection with securities business.
  83. Details for OTC options.
  84. Details for credit derivatives.
  85. Details for other trading positions.
  86. Calculation form for the operational risk equivalents.
    Where advanced calculation method is adopted as the calculation method for the capital adequacy ratio, the following items shall be used.
  1. Summary table of capital adequacy ratio.
  2. Summary calculation form for capital adequacy ratio.
  3. Declaration form for Tier 1 capital.
  4. Declaration form for Tier 2 capital.
  5. Declaration form for Tier 3 capital.
  6. Declaration form for deductions from capital.
  7. Deduction details for eligible capital tools of financial related enterprises.
  8. Summary table of the market risk equivalents.
  9. Summary table of interest rate risk equivalents.
  10. Interest rate - summary for general market risk (maturity method).
  11. Interest rate - details for general market risk (maturity method).
  12. Interest rate - summary for general market risk (duration method).
  13. Interest rate - details for general market risk (duration method).
  14. Interest rate - summary for specific risk.
  15. Interest rate - details for specific risk.
  16. Summary table of equity securities risk equivalents.
  17. Equity securities - calculation form for general market risk.
  18. Equity securities - summary for specific risk (by country).
  19. Equity securities- details for specific risk.
  20. Details for investment portfolio of highly liquid and fully dispersed investments.
  21. Details for arbitrage positions in spot and futures.
  22. Equity securities - calculation form (simplified approach) for interest rate risk of derivatives.
  23. Summary for foreign exchange risk (include gold) equivalents.
  24. Summary calculation form for foreign exchange risk positions.
  25. Foreign exchange risk- foreign currency assets/liabilities in the balance sheet.
  26. Foreign exchange risk- details for forward positions.
  27. Foreign exchange risk- details for exchange rate options (Delta position).
  28. Calculation form for positions in gold.
  29. Summary for product risk equivalents.
  30. Product risk- details for simplified approach.
  31. Product risk- details for maturity ladder approach.
  32. Options (simplified approach)- calculation form for market risk equivalents.
  33. Options (Delta-plus approach) - calculation form for the Gamma Vega market risk equivalents.
  34. Exceptional concentration risk type 1 (cost/book value ratio)
  35. Exceptional concentration risk type 2 (similar to participation in the business operation)
  36. Exceptional concentration risk type 3 - (akin to cross shareholding)
  37. Calculation form for over-limit of exceptional concentration risk.
  38. Summary table for credit risk equivalents.
  39. Calculation form for credit risk equivalents of repurchase agreements (applicable for single haircut).
  40. Calculation form for credit risk equivalents of repurchase agreements (applicable for multiple haircut).
  41. Calculation form for credit risk equivalents of repurchase agreements (applicable for net settlement agreement).
  42. Summary for credit risk equivalents of margin transaction account (comprehensive approach).
  43. Margin transaction account (simple approach).
  44. Summary for borrowing or lending money in connection with securities business (comprehensive approach) - guaranteed by the securities purchased by the client (T + 5 type).
  45. Summary for borrowing or lending money in connection with securities business (comprehensive approach) - guaranteed by the securities held by the client (semiannual type).
  46. Borrowing or lending money in connection with securities business (simple approach).
  47. Calculation form for OTC derivatives trading counterparty's credit risk equivalents.
  48. Summary for general trading counterparty risk in brokerage trading (comprehensive approach).
  49. General trading counterparty risk in brokerage trading (simple approach).
  50. Concentration risk of trading counterparty in brokerage trading.
  51. Brokerage trading - trading counterparty risk for futures and options.
  52. Four days accumulated transaction amount of brokerage trading of securities in foreign exchange market.
  53. Calculation form for credit risk equivalents of on-balance-sheet transactions.
  54. Calculation form for credit risk equivalents of off-balance-sheet transactions.
  55. Calculation form for credit risk equivalents of asset securitization (originator) and deductions from capital which should be included.
  56. Calculation form for credit equivalents of off-balance-sheet items (originator).
  57. (Controllable type) risk weighted assets amount for early amortization.
  58. (Uncontrollable type) risk weighted assets amount for early amortization.
  59. Calculation form for trading counterparty's credit risk equivalents in non-scheduled settlement and illustration of calculation of credit risk with delivery-versus-payment transactions.
  60. Summary calculation form of operational risk (basic indicator approach) equivalents.
  61. Operational risk (basic indicator approach) calculation form for gross profit.
  62. Operational risk (standardized approach) calculation form for equivalents.
  63. Operational risk (standardized approach) calculation form for equivalents of the years with negative values.
  64. Account item list for respective business with standardized approach.
    Where simple calculation method and advanced calculation method are adopted as the calculation method for capital adequacy ratio, the securities firms shall print out the following documents for separate reporting to TWSE by electronic filing.
  1. Summary table of capital adequacy ratio;
  2. Statement sheet with signature for honest declaration; and
  3. Relevant attachments for review.
Info
5     Securities firms reporting statements of capital adequacy ratio by electronic filing shall do so by the 10th of each month.
6     Securities firms reporting statements of capital adequacy ratio by electronic filing shall report uniformly by its headquarter.
7     The file format for securities firms reporting statements of capital adequacy ratio by electronic filing shall comply with the following format. Where simple calculation method is adopted as the calculation method for the capital adequacy ratio, the following formats shall be used.
  1. File format for summary table of capital adequacy ratio.
  2. File format for summary calculation form for capital adequacy ratio.
  3. File format for calculation form for Tier 1 capital.
  4. File format for calculation form for Tier 2 capital.
  5. File format for calculation form for deductions from capital.
  6. File format for calculation form for market risk equivalents.
  7. File format for details for government bonds.
  8. File format for details for New Taiwan Dollar-dominated bond issued by international development banks.
  9. File format for details for listed/OTC companies' corporate bonds or financial bonds.
  10. File format for details for other bonds.
  11. File format for details for listed stocks.
  12. File format for details for OTC stocks.
  13. File format for details for emerging stocks
  14. File format for details for shares other than listed or OTC stocks obtained on a firm commitment basis.
  15. File format for details for shares subject to control.
  16. File format for details for hedging position resulting from issuance of call (put) warrants and options (index and stocks).
  17. File format for calculation form for domestic futures.
  18. File format for details for convertible corporate bonds and corporate bonds with warrants.
  19. File format for details for convertible corporate bonds.
  20. File format for details for call (put) warrant and share subscription warrants.
  21. File format for calculation form for beneficial certificates.
  22. File format for calculation form for Short-Term Bills.
  23. File format for details for firm commitment contracts.
  24. File format for details for non-hedging positions (for a single listed stock) from issuance of call (put) warrants.
  25. File format for details for non-hedging positions (for mixed lots of listed stock) from issuance of call (put) warrants.
  26. File format for details for interest rate derivatives and bond derivatives (calculation for market risk equivalents).
  27. File format for details for convertible bond asset swaptions (the Delta risk equivalents).
  28. File format for details for convertible bond asset swaptions (the Gamma and Vega risks equivalents).
  29. File format for details for index options and stock options (for naked position - long call (put) options).
  30. File format for details for index options and stock options (for naked position - short call (put)).
  31. File format for details for index options and stock options (for combination position).
  32. File format for details for OTC option (the Delta risk equivalents).
  33. File format for details for OTC option (the Gamma and Vega risks equivalents).
  34. File format for details for credit derivatives.
  35. File format for details for other New Taiwan Dollar-dominated financial products.
  36. File format for details for foreign government bonds.
  37. File format for details for foreign currency bonds issued by international development banks.
  38. File format for details for bonds issued, guaranteed or underwritten by foreign central government or central bank, which has an external credit rating between A+ and BBB-.
  39. File format for details for Foreign currency bonds issued, guaranteed or underwritten by bank or bills finance company, which has rated above investment grade by external credit rating.
  40. File format for details for bonds which have satisfied certain credit ratings.
  41. File format for details for other currency bonds (including beneficial securities of securitization assets, asset-based securities, real estate asset trust (REAT) beneficiary securities).
  42. File format for details for foreign stocks.
  43. File format for details for futures.
  44. File format for details for convertible corporate bonds, bonds with warrants, exchangeable corporate bonds.
  45. File format for details for call (put) warrants.
  46. File format for details for beneficial certificates.
  47. File format for details for Short-Term Bills.
  48. File format for details for firm commitment contracts (from execution date to pay date).
  49. File format for details for foreign interest rate and foreign bond derivatives.
  50. File format for details for convertible bond asset swaptions (the Delta risk equivalents).
  51. File format for details for convertible bond asset swaptions (the Gamma and Vega risks equivalents).
  52. File format for details for options (for naked position) (long call (put)).
  53. File format for details for options (for naked position) (short call (put)).
  54. File format for details for options (for combination position).
  55. File format for details for foreign derivatives for hedging transactions.
  56. File format for details for equity options and structured products (the Delta risk equivalents).
  57. File format for details for equity options and structured products (the Gamma and Vega risks equivalents).
  58. File format for details for credit derivatives.
  59. File format for details for other foreign currency financial products.
  60. File format for summary calculation form for foreign exchange risk equivalents.
  61. File format for summary statement for foreign exchange risk.
  62. File format for foreign exchange risk- foreign currency assets/liabilities in the balance sheet.
  63. File format for foreign exchange risk- details for forward positions
  64. File format for foreign exchange risk- details for exchange rate options (Delta position).
  65. File format for foreign exchange risk - details for Gamma and Vega risks of options related to exchange rate (include gold).
  66. File format for summary calculation form for trading counterparty's risk equivalents.
  67. File format for calculation form for margin transaction accounts.
  68. File format for details for bills and bonds purchased under resell agreements, bills and bonds sold under repurchase agreements (BBSR), securities borrowing transaction (negotiated transaction) of central government bonds.
  69. File format for details for guaranteed liabilities.
  70. File format for details for interest rate and bond derivatives.
  71. File format for details for options and other derivatives.
  72. File format for details for transaction amount of brokerage trading of securities.
  73. File format for details for the four days accumulated transaction amount of brokerage trading of securities in foreign exchange market.
  74. File format for details for values of various open future contracts with clients.
  75. File format for details for convertible bond asset swaptions.
  76. File format for details for index options and stock options.
  77. File format for details for securities borrowing and landing (negotiated lending) transaction.
  78. File format for details for outsourced hedging trades of structured products.
  79. File format for details for borrowing or lending money in connection with securities business.
  80. File format for details for OTC options.
  81. File format for details for credit derivatives.
  82. File format for details for other trading positions.
  83. File format for calculation for the operational risk equivalents.
    Where advanced calculation method is adopted as the calculation method for the capital adequacy ratio, the following file formats shall be used.
  1. File format for summary table of capital adequacy ratio.
  2. File format for summary calculation form for capital adequacy ratio.
  3. File format for declaration form for Tier 1 capital.
  4. File format for declaration form for Tier 2 capital.
  5. File format for declaration form for Tier 3 capital.
  6. File format for declaration form for deductions from capital.
  7. File format for deduction details for eligible capital tools of financial related enterprises.
  8. File format for summary table of market risk equivalents.
  9. File format for summary table of interest rate risk equivalents ((1)general positions).
  10. File format for interest rate - summary for market risk equivalents ((2) option positions adopting (1) simplified approach).
  11. File format for summary for regulatory capital and exchange rate/market risk (2) option positions adopting (2) the Gamma and Vega risk in Delta plus approach.
  12. File format for interest rate - summary for general market risk (maturity method).
  13. File format for interest rate - details for general market risk (maturity method).
  14. File format for interest rate - summary for general market risk (duration method).
  15. File format for interest rate - details for general market risk (duration method).
  16. File format for interest rate - summary for specific risks.
  17. File format for interest rate - details for specific risks.
  18. File format for summary table of equity securities risk equivalents (general positions)
  19. File format for summary table of equity securities risk equivalents (option positions adopting simplified approach).
  20. File format for summary table of equity securities risk equivalents (option positions adopting the Gamma and Vega risk in Delta plus approach).
  21. File format for equity securities - calculation form for general market risk.
  22. File format for equity securities - summary for specific risks.
  23. File format for equity securities- details for specific risks.
  24. File format for details for investment portfolio of highly liquid and fully dispersed investments.
  25. File format for details for arbitrage positions in spot and futures.
  26. File format for equity securities - calculation form (simplified approach) for interest rate risk of derivatives.
  27. File format for summary for foreign exchange risk equivalents (include gold) (general positions).
  28. File format for summary for foreign exchange risk equivalents (include gold) (option positions adopting simplifiedapproach).
  29. File format for summary for foreign exchange risk equivalents (include gold) (option positions adopting Delta plus approach).
  30. File format for summary calculation form for foreign exchange risk positions.
  31. File format for foreign exchange risk- foreign currency assets/liabilities in the balance sheet.
  32. File format for foreign exchange risk- details for forward positions.
  33. File format for foreign exchange risk- details for exchange rate options (Delta position).
  34. File format for calculation form for positions in gold.
  35. File format for summary for product risk equivalents (general positions).
  36. File format for summary for product risk equivalents (option positions adopting simplified approach).
  37. File format for summary for product risk equivalents (option positions adopting Delta plus approach).
  38. File format for product risk- details for simplified approach.
  39. File format for product risk- details for maturity ladder approach.
  40. File format for Options- (simplified approach) calculation form for market risk equivalents. (for naked position)
  41. File format for Options- (simplified approach) calculation form for market risk equivalents. (for hedged position)
  42. File format for Options (Delta-plus approach) - calculation form for market risk equivalents (options related to bonds and interest rate adopting maturity method).
  43. File format for Options (Delta-plus approach) - calculation form for market risk equivalents (options related to bonds and interest rate adopting duration method).
  44. File format for Options (Delta-plus approach) - calculation form for market risk equivalents (options related to equity).
  45. File format for Options (Delta-plus approach) - calculation form for market risk equivalents (options related to currency exchange).
  46. File format for Options (Delta-plus approach) - calculation form for market risk equivalents (options related to product).
  47. File format for exceptional concentration risk type 1 - (cost/book value ratio)
  48. File format for exceptional concentration risk type 2 - (similar to participation in the business operation)
  49. File format for exceptional concentration risk type 3 - (akin to cross shareholding)
  50. File format for calculation form for over-limit of exceptional concentration risk.
  51. File format for summary table for credit risk equivalents.
  52. File format for calculation form for credit risk equivalents of repurchase agreements (applicable for single haircut).
  53. File format for calculation form for credit risk equivalents of repurchase agreements (applicable for multiple haircut).
  54. File format for Repo transaction (applicable for net settlement agreement) calculation form for credit risk equivalents of repurchase agreements (applicable for net settlement agreement).
  55. File format for summary for credit risk equivalents of margin transaction account (comprehensive approach).
  56. File format for margin transaction account (simple approach).
  57. File format for summary for borrowing or lending money in connection with securities business (comprehensive approach) - guaranteed by the securities purchased by the client (T + 5 type).
  58. File format for summary for borrowing or lending money in connection with securities business (comprehensive approach) - guaranteed by the securities held by the client (semiannual type).
  59. File format for borrowing or lending money in connection with securities business (simple approach).
  60. File format for calculation form for OTC derivatives/trading counterparty's credit risk equivalents.
  61. File format for summary for general trading counterparty risk in consigned trading (comprehensive approach).
  62. File format for general trading counterparty risk in consigned trading (simple approach).
  63. File format for concentration risk of trading counterparty in brokerage trading.
  64. File format for brokerage trading - trading counterparty risk for futures and options.
  65. File format for 4 days accumulated transaction amount of brokerage trading of securities in foreign exchange market.
  66. File format for calculation form for credit risk equivalents of on-balance-sheet transactions.
  67. File format for calculation form for credit risk equivalents of off-balance-sheet transactions.
  68. File format for calculation form for credit risk equivalents of asset securitization (originator) and deductions from capital which should be included.
  69. File format for calculation form for credit equivalents of off-balance-sheet items (originator).
  70. File format for (controllable type) risk weighted assets amount for early amortization.
  71. File format for (uncontrollable type) risk weighted assets amount for early amortization.
  72. File format for calculation form for trading counterparty's credit risk equivalents in non-scheduled settlement transactions.
  73. File format for summary calculation form of operational risk (basic indicator approach) equivalents.
  74. File format for operational risk (basic indicator approach) calculation form for gross profit.
  75. File format for operational risk (standardized approach) calculation form for equivalents.
  76. File format for operational risk (standardized approach) calculation form (business accounting columns) for equivalents.
  77. File format for operational risk (standardized approach) calculation form for equivalents of the years with negative values.
  78. File format for account item for respective business with standardized approach.
8     Securities firms reporting of statements of capital adequacy ratio by electronic filing may be disciplined by TWSE in accordance of relevant regulations if engaged in deceptive or dishonest reporting or undeclared.
9     These rules shall take effect after having been submitted to and approved by the Resident of TWSE and publicly announced. Subsequent amendments thereto shall be effected in the same manner.