| Article 1 |
These Trading Rules are prescribed to maintain orderly trading of "10-Year Government Bond Futures Contracts" ("the Contracts") on the Taiwan Futures Exchange ("TAIFEX") in order to ensure security and fairness in trading of the Contracts.
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| Article 2 |
In addition to conformance with the Futures Trading Act and related laws and regulations, futures commission merchants that trade the Contracts shall do so in accordance with these Trading Rules. Matters not provided for in these Trading Rules shall be governed by the bylaws and rules, public announcements, and circulars of the TAIFEX.
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| Article 3 |
The Chinese ticker symbol for the Contracts is "Shih Nian Ci Gong Jhai Ci Huo [in Chinese characters]" and the English ticker symbol is "GBF" (short for "Government Bond Futures").
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| Article 4 |
The underlying instrument of the Contracts is 10-year government bonds having a face value of NT$5 million and coupon rate of 3%.
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| Article 5 |
Unless other provisions require cash settlement, the Contracts shall be settled by physical delivery of bonds. Only those bonds announced by the TAIFEX may be used for delivery.
The announced bonds, as referred to in the preceding paragraph, shall meet each of the following conditions:
- The bonds are ROC book entry central government bonds.
- The bonds were issued with a repayment period of ten years, or were reopened with an original repayment period of ten years.
- The date of maturity of the bonds is not less than eight years and six months and not more than 10 years from the settlement date of the Contracts;
- Interest on the bonds is paid once a year.
- Principal is paid back in one lump sum upon maturity.
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| Article 6 |
The Contracts shall be quoted per $100 face value of underlying bond. The minimum fluctuation in the quoted price shall be 0.5, which generates a price change of 250 NTD.
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| Article 7 |
Traders may sell or buy part of or all positions originally bought or sold on TAIFEX before the closing of the last trading day of the Contracts, to settle their rights and obligations.
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| Article 8 |
The trading days of the Contracts are the same as the operating days of the electronic bond trading system of the GreTai Securities Market. The trading hours are 8:45 a.m. to 1:45 p.m.; trading hours for a Contract on the last trading day of the delivery month are 8:45 a.m. to 12:00 noon. In case said system is shut down on a regular business day or there are other circumstances that affect the trading of the Contracts, TAIFEX may announce a halt in trading according to the circumstances at the time.
The aforesaid trading hours and trading days are subject to change with the approval of the competent authority.
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| Article 9 |
The delivery months of the Contracts shall be the next three quarter months in March, June, September and December cycle from the spot month, where all series are listed and traded at the same time; the last trading day of the Contracts shall be the second Wednesday of the delivery month, and the second business day following which shall be the settlement day.
Where the last trading day falls on a holiday or trading cannot take place on the last trading day due to force majeure, the nearest next trading day shall the last trading day.
The first business day following the expiration of a contract shall be the first trading day of a new listed contract.
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| Article 10 |
Orders for the Contracts are automatically matched by computer. Matching is carried out by call auction at the opening of market, and then by continuous matching during market hours.
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| Article 11 |
Open positions held by traders are marked-to-market daily after market close based on the daily settlement price published by the TAIFEX.
The daily settlement price of the preceding paragraph shall be determined as follows:
- It shall be the volume-weighted average price of all trades during the last minute before market close.
- If there is no trade price during the last minute before market close on the current day, the average of the highest unexecuted bid and lowest unexecuted ask quoted as of market close shall be taken as the daily settlement price.
- When there is no quoted bid price, the lowest quoted ask price shall be taken as the daily settlement price; when there is no quoted ask price, then the highest quoted bid price shall be taken as the daily settlement price.
- When there is no quoted bid nor ask price for a distant-month futures contract, then the price difference between the settlement price of the spot-month futures contract and the settlement price of the distant-month futures contract on the previous business day shall be taken as the basis of calculation, whereby the sum of the current day's settlement price of the spot-month futures contract and the above price difference will be taken as the daily settlement price of the distant-month contract.
- If a daily settlement price cannot be determined under subparagraphs 1 to 4 or if the price determined thereunder is obviously unreasonable, then the settlement price shall be set by the TAIFEX.
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| Article 12 |
The daily price limit of the Contracts shall be 簣NT$3 of the previous day's settlement price.
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| Article 13 |
The final settlement price of the Contracts shall be determined by the volume-weighted average of transaction prices in the last fifteen minutes before closing on the last trading day; if there are less than 20 transactions in the last 15-minute interval, the volume-weighted average of the last 20 transactions of the day, excluding the two highest and two lowest transaction prices, shall be the final settlement price; if there are less than 20 transactions on that day, the volume-weighted average of actual transactions of the day shall be the final settlement price.
If there are no transactions on the last trading day or if the aforesaid price is apparently unreasonable, TAIFEX will determine the final settlement price.
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| Article 14 |
Traders selling the Contracts shall deliver the bonds specified in Article 5 herein on the final settlement day. The delivery price shall be the final settlement price multiplied by the conversion factor of the bond plus accrued interest and after having deducted aggregate tax on the accrued interest.
Traders buying the Contracts shall pay cash price calculated by the delivery price in the preceding paragraph multiplied by the face value of underlying bonds and divided by 100.
The conversion factor, accrued interest, and aggregate tax on the interest referred to in the first paragraph hereof shall be announced by TAIFEX.
Settlement of the Contracts shall be handled in accordance with point 6 of the TAIFEX Operational Key Points of Clearing and Settlement for Futures Commission Merchants and Clearing Members.
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| Article 15 |
When accepting the order to buy or sell the Contracts, futures commission merchants shall ask the customer to deposit the required margin based on the total quantities ordered, and calculate daily from the day of transaction up to the time of contract delivery the interest of positions held by each customer based on the daily settlement price, and combine it with customer's margin account balance. When the customer's margin balance falls below the level of maintenance margin, the futures commission merchant shall immediately notify the customer to pay in cash the difference between his margin account balance and the required margin for all open positions within a prescribed time period.
If the customer fails to comply accordingly, the futures commission merchant may proceed to liquidate the customer's positions.
The trading margin and maintenance margin specified in the foregoing two paragraphs shall not be lower than the initial margin and maintenance margin requirements announced by TAIFEX.
The initial margin and maintenance margin announced by TAIFEX shall be based on the clearing margin calculated according to TAIFEX Criteria and Collecting Methods Regarding Clearing Margins plus a percentage prescribed by TAIFEX.
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| Article 16 |
The total open positions in the Contracts held on either the long or short side of the market at any time by a futures trader shall meet the following requirements, which may be adjusted by TAIFEX according to market conditions:
- One thousand (1000) contracts for any single delivery month.
- Two thousand (2,000) contracts for all delivery months combined.
The ceiling on the total open positions in the Contracts that a futures dealer may hold shall be three times the position limit for a trader. The position in the nearest month contract, however, may not exceed the limit prescribed in subparagraph 1 of the preceding paragraph.
Institutional investors may apply to TAIFEX for easing of position limits if based on hedging needs.
The open positions of traders shall also be subject to the TAIFEX Rules Governing Market Position Monitoring Operation in addition to the provisions set forth herein.
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| Article 17 |
Except as otherwise provided, an FCM engaging in proprietary or brokerage trading of the Contracts shall be subject to a limit of 100 contracts on the quantity of each trading quote.
The TAIFEX may adjust the limit on the quantity of trading quotes set out in the preceding paragraph in view of market trading conditions.
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| Article 18 |
Where the Contracts must stop trading or be unlisted due to any of the conditions stipulated in Article 31 of the Operating Rules of Taiwan Futures Exchange Corporation, TAIFEX shall make public announcement to the effect thirty (30) days before implementation.
In such event, all open positions shall be settled before the implementation day for cessation of trade or termination of listing as announced. All open positions not settled before the aforesaid implementation day shall be settled based on the settlement price on the previous trading day before the day of implementation.
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| Article 19 |
The Trading Rules herein, and any subsequent amendments, shall be implemented following the approval of the competent authority.
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