| Article 1 |
These Trading Rules are specially prescribed to uphold the trading order of the FTSE/TWSE Taiwan 50 Index Futures Contract (the "Contract") on the Taiwan Futures Exchange Corporation (TAIFEX) so as to safeguard the secure and fair trading of the Contract.
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| Article 2 |
Futures commission merchants that engage in trading of the Contract shall observe these Rules in addition to the Futures Exchange Act and applicable laws and regulations. Matters on which these Rules are silent shall be handled in accordance with the applicable bylaws and rules, public announcements, and circulars of the TAIFEX.
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| Article 3 |
The Contract is abbreviated as "Taiwan 50 Futures" with ticker symbol "T5F."
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| Article 4 |
The underlying instrument of the Contract is the FTSE/TWSE Taiwan 50 Index (the "underlying index"). The calculation formula, component stocks, base period, adjustment, and other relevant matters of the underlying index shall be as determined by the Taiwan Stock Exchange Corporation (TWSE).
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| Article 5 |
The value of each contract is NT$500 multiplied by the Taiwan 50 Futures Index.
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| Article 6 |
The minimum unit of price fluctuation (tick) in trading orders for the Contract shall be one index point. Each tick shall have a value of NT$500.
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| Article 7 |
Prior to the deadline for settlement, a futures trader may settle rights and obligations under a contract by selling or buying back on the TAIFEX centralized exchange market part or all of the volume originally bought or sold.
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| Article 8 |
The trading hours for the Contract are 8:45 am to 1:45 pm on regular trading days of the TWSE. On the last trading day of the month in which the Contracts reach expiration, the trading hours are 8:45 am to 1:30 pm. However, if the TAIFEX has made other provisions, those provisions shall govern.
When for any reason the TWSE announces a halt of trading prior to market opening of the Contract, or when other factors influence trading of the Contract, trading of the Contract may be halted; when the TWSE announces a halt of trading during trading hours of the Contract, trading of the Contract will still continue. As necessary, however, the TAIFEX may announce a halt of trading based on the current situation, and report the halt to the competent authority for recordation on the next business day.
When the TWSE changes its trading hours, or when other factors influence trading of the Contract, or in response to a suggestion by a futures industry association or the National Federation of Futures Industry Associations, the TAIFEX may change the trading hours for the Contract after reporting to the competent authority for approval.
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| Article 9 |
Delivery months for the Contract shall be the spot month and the next two calendar months, and the three nearest of the quarter months of March, June, September, and December, for a total of six periods, listed and traded concurrently. The last trading day for contracts of any delivery month shall be the third Wednesday of the month in which such contract reaches expiry; trading of contracts in the expiration month shall cease at close of market on the last trading day, and the last trading day shall be the final settlement day for the contracts in the expiration month.
If the last trading day referred to in the preceding paragraph falls on a holiday, or if trading may not proceed on that day due to a force majeure event, or if the TAIFEX has made other provisions, the next following business day shall be the last trading day.
The next business day following the last trading day of a contract in the expiration month shall be the day of initial trading for contracts in the new delivery month.
The TAIFEX may change the delivery months, initial trading days, final trading days, and final settlement days referred to in the preceding three paragraphs when it deems necessary after reporting to and obtaining approval from the competent authority.
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| Article 10 |
Trading orders for the Contract 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 referred to in the preceding paragraph shall be determined in accordance with the following provisions:
- 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 contract, then the price difference between the settlement price of the nearest -month contract and the settlement price of the distant-month 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 nearest-month contract and the above price difference will be taken as the daily settlement price of the distant-month contract.
- When a daily settlement price cannot be determined under the preceding four subparagraphs, or the settlement price determined thereby is obviously unreasonable, the settlement price shall be set by the TAIFEX.
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| Article 12 |
The daily price limit shall be the settlement price of the preceding business day plus or minus 10 percent.
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| Article 13 |
The final settlement price of the Contract shall be set based on the simple average price of the underlying index during 30 minutes before market close on the final settlement day as provided by the TWSE. If the TWSE postpones market closing or matching, the TAIFEX may extend the aforementioned 30-minute sampling time.
The calculation method under the preceding paragraph shall be separately prescribed by the TAIFEX.
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| Article 14 |
Cash settlement shall be adopted for settlement at expiry of the Contract, with the futures trader on the final settlement day making payment or taking receipt of payment of the net amount of the price differential based on the final settlement price.
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| Article 15 |
Prior to accepting an order to buy or sell the Contract, a futures commission merchant shall collect from the principal a sufficient trading margin based on the total quantities ordered, and from the day of the transaction until the expiry of the settlement period shall mark to market on a daily basis the equity in the position held by each principal based on the daily settlement price, and combine it with the principal's margin account balance.
If the balance in the principal's margin account falls below the maintenance margin level, the futures commission merchant shall immediately notify the principal to deposit in cash the difference between the margin account balance and the required margin for all open positions within a prescribed time period. If the principle fails to deposit the margin within the prescribed time limit, the futures commission merchant may proceed to liquidate the principal's positions.
The trading margin and the maintenance margin referred to in the preceding two paragraphs shall not be lower than the initial margin and maintenance margin requirements announced by the TAIFEX.
The initial margins and maintenance margin announced by the TAIFEX shall be based on the clearing margin calculated according to the TAIFEX Standards and Methods for Receipt of Clearing Margins plus a percentage prescribed by the 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 not exceed the limits publicly announced by the TAIFEX.
Every three months or as occasioned by market conditions, the TAIFEX will announce the applicable position limits under the preceding paragraph for that period, according to the below-listed levels, based on the daily average trading volume or open volume, whichever is higher, of the Contract, with the benchmark set at 5 percent thereof for a natural person and 10 percent thereof for a juristic person. However, the lowest position limit shall be 1,000 contracts for natural persons, and 3,000 contracts for institutional investors:
- When the benchmark is 1,000 or more contracts, the position limit shall be the benchmark rounded down to the nearest integral multiple of 200 contracts.
- When the benchmark is 2,000 or more contracts, the position limit shall be the benchmark rounded down to the nearest integral multiple of 500 contracts.
- When the benchmark is 5,000 or more contracts, the position limit shall be the benchmark rounded down to the nearest integral multiple of 1,000 contracts.
- When the benchmark is 10,000 or more contracts, the position limit shall be the benchmark rounded down to the nearest integral multiple of 2,000 contracts.
The position limit for a futures dealer shall be three times the position limit for a juristic person set out in paragraph 2.
When the TAIFEX examines the applicable position limit levels, if the increase or decrease in the daily average trading volume or open volume for the period, as compared to that at the time of the previous adjustment, does not exceed 2.5 percent, no adjustment shall be made even if the level for adjustment has been reached.
Any raising of the position limit will take effect from the TAIFEX announcement date. Any lowering of the position limit will take effect from the expiration of the next-nearest month contract that is already listed on the announcement date. Provided, the TAIFEX may adjust this according to circumstances.
When the position limit is lowered under the preceding paragraph, a position held by a trader prior to the effective date that surpasses the lowered limit may be held until the expiration date of the contract; provided, no new position may be added until the lowered limit has been complied with.
The total open positions in the Contract held by an omnibus accounts are not subject to the limits in paragraph 2, with the exception of undisclosed omnibus accounts, which accounts are subject to the limits for institutional investors.
A juristic institution, based on hedging needs, may apply to the TAIFEX to ease position limits.
In addition to conforming to the provisions of this article, the limits on open positions in the Contract held by futures traders shall also conform to the TAIFEX Rules Governing Surveillance of Market Positions.
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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 any circumstance exists requiring suspension of trading or de-listing of the Contract as enumerated in Article 32 of the TAIFEX Operating Rules, the TAIFEX shall make a public announcement 30 days before implementation, and all open positions shall be liquidated by the announced date of suspension of trading or de-listing. Any positions still open on the announced implementation date will be settled at the daily settlement price for the announced implementation date.
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| Article 19 |
These Rules, and any amendments hereto, will be publicly announced and implemented after approval by the competent authority.
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