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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 
Categories: Market Supervision > Regulation of Securities Firms
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.