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Article NO. Content


Directions for Collateral Management in Fixed-price and Competitive Auction Securities Borrowing and Lending Transactions  CH

Amended Date: 2016.12.20 
Categories: Securities Exchange Market > Borrowing of Securities
6     Marking to market and collateral calls
  1. The TWSE marks securities to market each day after 3:30 p.m. to calculate the collateral maintenance ratio required for each securities borrowing transaction. Marking to market for TWSE and GTSM listed securities uses the current day closing price, except on the three business days preceding the ex-rights or ex-dividend date, when it uses the current day's closing price minus the value of the dividend, or minus the value of the right determined based on the current day's closing price.
  2. When the collateral maintenance ratio drops below the minimum collateral ratio, the TWSE shall immediately issue a collateral call through the borrower's securities firm, and the borrower shall supplement the collateral before 3:30 p.m. on the following business day to restore the collateral maintenance ratio to the required collateral level.
  3. The TWSE calculates the collateral maintenance ratio for each securities borrowing transaction after 3:30 p.m. each business day, which the securities borrower can obtain by inquiry through the borrower's securities firm. The TWSE will additionally produce a collateral call notice for any transaction with an insufficient maintenance ratio and notify the borrower's securities firm by transmission of electronic files after 4:00 p.m. the same day. Upon receipt of the collateral call notice, the securities firm shall immediately notify the borrower to allow the borrower to make a timely supplementation on the business day following TWSE notification.
  4. A borrower supplementing collateral in the form of cash, bank guarantees, or book-entry central government bonds shall submit the collateral in accordance with Points 2.2, 2.4, and 2.5 of these Directions. A submission of TWSE and GTSM listed securities for collateral supplementation will be effected by TWSE notification of the central securities depository to make an immediate transfer.