台灣期交所風險控管規範與交易人超額損失探討

Abstract

客戶買賣期貨合約後，若因部位的虧損而導致客戶保證金的權益總值變成負數時，則稱為超額損失。為求穩定市場，在2013年7月1日起施行期貨商風險控管新制，台灣期交所也在穩健的發展中於2017年12月7日，拿下FOW「全球年度交易所」大獎，為臺灣資本市場史上首度獲頒的交易最高榮耀。然在2018年2月6日因全球股災期貨市場跟著出現恐慌性殺盤，讓期貨商啟動代為沖銷機制；也因代為沖銷作業的執行導致違約金額擴大，根據統計，當時期貨商申報違約金就高達 13 億元，創下歷史新高紀錄。本研究首先介紹台灣期貨市場發展歷程、標準化風控辦法與近年所面臨之風險挑戰，再透過觀察國外期貨市場對市場結構與制度面的規劃，剖析目前市場機制與期貨商端作業面的問題，並給予建議與改善。

After a customer commenced trading, if the total equity of the client becomes negative due to trading loss, it is called an Over Loss. In order to stabilize the market, new risk control mechanism was implemented on July 1, 2013. After then market was in a steady development environment and Taiwan Futures Exchange even won the FOW “Global Exchange of the Year award” after an astonishing year of innovation and investment on December 7, 2017, which is the highest honor for the first time in the history of Taiwan capital market. However, on February 6, 2018, due to the devastated seeing on global stock market slumped, panic selling pressure arised in Taiwan futures market, which also triggered force close-out mechanism to be performed by futures commission merchants. The force close-out mechanism also led to the expansion of the default amount. According to the statistics announced by news media, the default amount declaired by brokers was up to 1.3 billion yuan, a record high. Firstly, this research introduces the establishment of Taiwan’s futures market, standardization of risk control mechanism and the risk challenges events faced in recent years. Secondly, via observing the market structure and rules implemented by other foreign exchnages, analyze the issues current market mechanism and futures brokers are facing and provide remediation suggestions.