| Summary: | 碩士 === 銘傳大學 === 金融研究所碩士在職專班 === 90 === Regarding the risk management to FCMs, due to the characteristic of our trading rules on domestic futures market, which is that the FCMs have to collect enough margin from their customers before a trade can be done; it means that the FCMs are taking less credit risks. Meanwhile, as the FCMs are restricted to specific investment tools/items and limits/amounts, efficient use of fund is simply not possible. On the other hand, the FCMs are facing less market risks as compared to the banks and security firms. However, under the tremendous pressure of global competition, liberalization and uncertainties, it is critical for the FCMs to broaden their business scope. To reach out to the goal, we have to restructure/set up a more flexible futures market, make sure that the FCMs could be able to use their own capital much more efficiently, and further widen their business range. By carrying out the above goal, we could have more confidence in controlling the business risks of the FCMs and achieve better market oversight.
Based on the objective to encourage a more flexible use of the FCMs’ capital, and sort out a direction for the relevant regulation, this report has made a comparison on current regulations on the use of capital by domestic banks, securities firms and FCMs. In additional, a proper capital rating formula was formulated as an example on the calculation of FCMs financial data. A comparison to that of the security firms has been made, too.
RAROC is one of the powerful indices to evaluate the profit ability of an enterprise. RAROC takes the risk factors into account at the time of calculating the reward rate, so that it can truly represent the relationship between the risk factors and the reward rate of an enterprise, especially the enterprises in the high-risk derivative market. This report modified the self─made formula based on the futures financial data of the FCMs to calculate their reward rates. Hope that a balance of reward, risk and capital efficiency of a FCM Could be achieved.
Hereby is the conclusion of this report：
1.The average ANC Ratio of the FCMs is far higher than the
minimum requirement set by the regulator, thus the minimum
set is not as meaningful.
2.ANC Ratio rule could not reveal enough to show the exact risk
level that FCMs is facing.
3.A suitable Capital Adequacy Rule for the FCMs is necessary.
4.It is suggested that the Capital Adequacy Ratio by using The
Basle Capital Accord (Ⅱ) and the security firms would be a
good reference for that of the FCMs.
5.Special attention should be paid to the operational risks of
the FCMs. We shall also keep on developing better relevant
measuring technique.
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