ExaminetheOptimalMarginLevelforTaiwanTreasureBondFuture

[[abstract]]臺灣期貨交易所之期貨保證金水準設定原則，是以能涵蓋當日最大可能遭遇風險部位為基準。如果期貨保證金訂定水準的過高，雖然可以減少違約風險，保障期貨交易之安全，但間接提高投資者之交易成本，進而影響市場交易活絡性；如果期貨保證金訂定的水準的過低，該保證金水準所能涵蓋風險較低，而且交易所將面臨較高的風險，影響期貨市場的交易安全，進而危及整體的金融市場。故本文應用Brennan模型、理論保證金模型及政府保證金定價模型，探討政府十年期公債利率期貨最適保證金水準。本文研究期間為2004年2月1日至2004年5月21日。實證結果為：1.Brennan運用模型求算出最小交易成本，並觀實察所求出的最小化交易成本所對應的保證金為十萬元。2.運用理論保證金模型代入債券利率期貨實際收盤價所求出之平均理論保證金為十一萬元。3.運用政府訂定保證金之模型代入債券利率期貨實際收盤價所求算出之平均保證金為十九萬元。綜合三種模型所求出之保證金水準，均比政府採用九十一年一月四日至九十一年九月十三日櫃檯買賣中心提供十年期公債殖利率收盤價資料所算出之保證金水準十九萬五千元來的低。本文研究結果發現政府發行公債利率期貨所訂之保證金水準有偏高的現象，發行後政府進行修正與本研究所求出保證金一致。[[abstract]]The principle for Taiwan Futures Exchange to set the futures margin level is based on if the greatest possible risk area on that day can be covered. Though the overestimated level of futures margin can decrease the risk of breaching the contract and guaranty the safety of futures trading, investors’ transaction cost would be increased indirectly, affecting the activeness of trading in the market. If the futures margin level is set too low, the risk area the margin level can cover will be smaller and the future exchange will face greater risk, whereas affecting the safety of trading in the futures market and endangering the entire financial market. Therefore, the current study puts efforts on the margin level adequacy for the ten-year government bond interest rate futures by applying Brennan’s model that is a theoretical model of margin requirement, to set up government bond future margin level. The period of this study is from February 1, 2004 to May 21, 2004. Consequently the empirical results of three models are as follows. First model finds that the minimum transaction cost is determined by using Brennan’s model and the margin corresponding to the minimum transaction cost is observed as NTD100 thousand. Second model finds that the average theoretical margin determined by substituting the actual closing prices of the public-bond interest rate futures into the theoretical model of margin is NTD110 thousand. Third finds that the average margin determined by applying the actual closing prices of the government bond interest rate futures into the margin requirement model is NTD190 thousand. All the levels of futures margin determined by using the above three models are lower than NTD195 thousand established by the government according to the closing prices of the ten-year government bond interest rate futures from Jan. 4, 2002 to Sept. 13, 2002 provided by OTC. In this study, a phenomenon is found that the margin levels established by the government for the government bond interest rate futures are all inclined to be much higher