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Basis for adoption
These Directions are adopted pursuant to Point 6 of the Taiwan Futures Exchange Operational Key Points of Clearing and Settlement for Futures Commission Merchants and Clearing Members.
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Operations for exchange of expiring TAIFEX NT Dollar Denominated Gold Futures Contracts and Gold Options Contracts for spot gold registered for trading on the Taipei Exchange (TPEx)
- Announcement of advance payments of spot prices
- By 4:30 p.m. on the last trading day for an NT Dollar Denominated Gold Futures Contract or Gold Options Contract, the TAIFEX will announce in advance the advance payment of spot price to be paid for exchange of the expiring contract for the underlying spot gold that is registered for trading on the TPEx ("TPEx traded spot gold").
- The calculation basis shall be the current-day daily settlement price for the NT Dollar Denominated Gold Futures Contract and the exercise price (strike price) for the Gold Options Contract.
- Handling by futures commission merchants (FCMs) and clearing members of traders' applications for conversion of expiring contracts to spot gold
- The business hours for this operation are 4:30 p.m. to 5:30 p.m. on the last trading day.
- An FCM or clearing member shall instruct a buyer trader that intends to acquire spot gold (a buyer [holder] of an NT Dollar Denominated Gold Futures Contract, or a call option buyer or put option seller [writer] of a Gold Options Contract), or a seller trader that intends to sell TPEx traded spot gold the seller trader holds in advance (a seller of an NT Dollar Denominated Gold Futures Contract, or a call option seller or put option buyer of a Gold Options Contract), to apply to the FCM or clearing member by 5:30 p.m. for conversion of the relevant expiring contract to the underlying spot gold, and shall also obtain the details of the buyer trader's trading account for the underlying TPEx traded spot gold receivable, or obtain the details of the seller trader's transfer of the underlying TPEx traded spot gold.
- The FCM or clearing member shall instruct the buyer trader to transfer to its customer margin account the amount of the advance payment of spot price as announced by the TAIFEX.
- The FCM or clearing member shall instruct the seller trader to transfer the underlying TPEx traded spot gold to the segregated account opened by the TAIFEX with the Taiwan Depository & Clearing Corporation (TDCC).
- Reporting by FCMs and clearing members of traders' applications for conversion of expiring contracts to spot gold
- The business and query hours for this operation are 4 p.m. to 6:30 p.m. on the last trading day.
- By 5:30 p.m., an FCM or clearing member shall report to the TAIFEX a trader's application for conversion of an expiring contract to the underlying spot gold.
- The FCM or clearing member shall report to the TAIFEX the details of the buyer trader's trading account for the underlying TPEx traded spot gold receivable, or the details of the seller trader's transfer of the underlying TPEx traded spot gold.
- The FCM or clearing member shall transfer the amount of the advance payment of spot price, as paid by the buyer trader by 5:30 p.m., to the clearing margin account designated by the TAIFEX. If the transfer of the payment or the reporting is not completed by 5:30 p.m., the buyer trader's application for conversion of the expiring contract to the underlying spot gold shall be invalid.
- The FCM or clearing member shall instruct the seller trader to transfer the underlying TPEx traded spot gold by 5 p.m. to the segregated account opened by the TAIFEX with the TDCC. If the reporting is not completed by 5:30 p.m., the seller trader's application for conversion of the expiring contract to the underlying spot gold shall be invalid.
- Starting from 5:30 p.m., the TAIFEX will, based on the details of traders' applications for conversion of expiring contracts to underlying spot gold as reported by FCMs and clearing members, generate a list of invalid applications and a list of successful applications with respect to buyer traders' and seller traders' applications for conversion of expiring contracts to underlying spot gold. The TAIFEX will also, based on the details of buyer traders' advance payments of spot prices and seller traders' transfers of spot gold, generate a list of advance payments of spot prices by buyer traders and a list of transfers of underlying TPEx traded spot gold by seller traders.
- After the generation of the lists of invalid and successful applications with respect to buyer traders' and seller traders' applications for conversion of expiring contracts to underlying spot gold as well as the list of advance payments of spot prices by buyer traders and the list of transfers of underlying TPEx traded spot gold by seller traders, and by no later than 6:30 p.m., an FCM or clearing member shall query for the relevant lists online and carry out the necessary printout, accuracy check, and record-keeping operations.
- Assignment and generation of lists for conversion of expiring contracts to spot gold and calculation of exercise-for-spot prices
- The business and query hours for this operation are 8:30 a.m. to 4 p.m. on the final settlement day for NT Dollar Denominated Gold Futures Contracts and on the expiration date for Gold Options Contracts.
- Starting from 8:30 a.m., the TAIFEX will initiate a random assignment process based on the lesser of the positions of the buyers and sellers applying for conversion of the relevant expiring contracts to the underlying spot gold (or based on the seller positions, if the positions are equal in number between the buyers and sellers applying for conversion of the relevant expiring contracts to the underlying spot gold) and generate a list of spot gold deliverable by seller traders and a list of spot gold receivable by buyer traders. The TAIFEX will also calculate the conversion-to-spot prices for conversion of the relevant expiring contracts to the underlying TPEx traded spot gold (the calculation basis shall be the final settlement price for an NT Dollar Denominated Gold Futures Contract and the exercise price for a Gold Options Contract) and generate a list of prices payable by buyer traders and a list of prices receivable by seller traders.
- With respect to traders that do not get assigned for their contracts, the TAIFEX will generate a list of buyer traders with unassigned contracts and seller traders with unassigned contracts. The TAIFEX will also, if applicable, return the underlying TPEx traded spot gold transferred by the relevant seller traders and generate a list of spot gold returned to seller traders with unassigned contracts.
- After the generation of the list of spot gold deliverable by seller traders, the list of spot gold receivable by buyer traders, the list of prices payable by buyer traders, the list of prices receivable by seller traders, the list of buyer traders with unassigned contracts and seller traders with unassigned contracts, and the list of spot gold returned to seller traders with unassigned contracts, and by no later than 4 p.m., an FCM or clearing member shall query for the relevant lists online and carry out the necessary printout, accuracy check, and record-keeping operations.
- Price collection/payment
- The business and query hours for this operation are 8:40 a.m. to 4 p.m. on the final settlement day for NT Dollar Denominated Gold Futures Contracts and on the expiration date for Gold Options Contracts.
- Starting from 8:40 a.m., the TAIFEX will make transfers based on the differences between the conversion-to-spot prices and the advance payments of spot prices with respect to conversion of the relevant expiring NT Dollar Denominated Gold Futures Contracts to the underlying spot gold.
- The TAIFEX will complete the collection/payment procedure for the conversion-to-spot prices payable by buyer traders and the conversion-to-spot prices receivable by seller traders with respect to conversion of the relevant expiring NT Dollar Denominated Gold Futures Contracts and Gold Options Contracts to the underlying spot gold and include the amounts in the calculation of the clearing margin equities of the clearing members.
- If a buyer trader is unable to furnish a cash amount to pay the conversion-to-spot price, the clearing member shall pay the insufficient amount for the buyer trader.
- By no later than 4 p.m., a clearing member shall query for its clearing margin equity online and carry out the necessary printout, accuracy check, and record-keeping operations.
- Transfer of spot gold receivable by buyer traders
- The business and query hours for this operation are 8:40 a.m. to 4 p.m. on the final settlement day for NT Dollar Denominated Gold Futures Contracts and on the expiration date for Gold Options Contracts.
- After completing the collection/payment procedure for the relevant prices, and starting from 8:40 a.m., the TAIFEX will generate a transfer list of spot gold receivable by buyer traders and notify the TDCC to transfer the underlying TPEx traded spot gold in the TAIFEX's segregated account to the trading accounts designated by the buyer traders.
- If a buyer trader's conversion-to-spot price is paid by the clearing member, the clearing member shall report its trading account for handling spot gold transactions, and the TAIFEX will notify the TDCC to transfer the relevant spot gold in the TAIFEX's segregated account to the trading account as reported by the clearing member.
- After the generation of the transfer list of spot gold receivable by buyer traders, and by no later than 4 p.m., an FCM or clearing member shall query for the list online and carry out the necessary printout, accuracy check, and record-keeping operations.
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