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6. Trade position settlement on the expiration date
(1) Index futures contracts
(a) The business hour for settling index futures contracts is 9:30 a.m. on the final settlement day.
(b) Where a clearing member has open positions for the contract spot month after the market closes on the last trading day, the TAIFEX shall, during the business hours on the final settlement day, settle the expired positions at the final settlement price and include the gain (loss) into the intra-day calculation of clearing margins.
(2) Index option contracts
(a) Query of buyer exercise list
(i) The business hours for making query are 9:30 a.m. ~ 4:00 p.m. on the expiration day.
(ii) TAIFEX will post the final settlement price and produce buyer exercise reference list at 9:30 a.m.
(iii) Futures commission merchants may make query of the aforesaid list via computer linkup after it is available until 11:00 a.m. on the same day.
(iv) Futures commission merchants should check the final buyer exercise list via computer linkup after it is available from 11:00 a.m. until 4:00 p.m., print it out and save the file.
(b) Making changes to buyer exercise reference list
(i) The business hours for this operation are 9:30 a.m. ~ 11:00 a.m. on the expiration day.
(ii) Futures commission merchants may carry out the addition to or deletion from the buyer exercise reference list during the aforesaid business hours.
(iii) Futures commission merchants may add to or delete from buyer exercise reference performance list according to customer instructions during the aforesaid business hours.
(c) Query of writer exercise assignment list
(i) The business hours for this operation are 11:00 a.m. ~ 4:00 p.m. on the expiration day.
(ii) TAIFEX will produce a writer exercise assignment list on a random basis at 11:00 a.m.
(iii) Futures commission merchants should check the aforesaid list via computer linkup after it becomes available until 4:00 p.m., print it out and save the file.
(d) Position settlement operation on the expiration date
(i) The business hours for this operation are 11:00 a.m. ~ 11:30 a.m. on the expiration day.
(ii) During the aforesaid period, the TAIFEX will carry out settlement of open positions on expired options by the final settlement price according to the final buyer exercise list, and include the gain (loss) into the intra-day calculation of clearing margins.
(iii) Clearing members may check the balance of their clearing margin account via computer linkup after the TAIFEX finishes the position settlement.
(3) Stock option contracts
(a) Notice of maturity
(i) The period for this operation is from the third business day prior to the expiration day until the expiration day.
(ii) At 8:45 a.m. the TAIFEX will produce a reference list of writers of in-the-money call options; futures commission merchants may on this basis notify such traders to purchase the underlying securities in the spot market or liquidate their open positions.
(iii) After the reference list of writers of in-the-money call options has been produced, futures commission merchants and clearing members shall query the list via computer linkup and print it out, verify it, and save the file.
(b) Application for buyer exercise and query of the call option buyer reference list
(i) The business hours for these operations are from 8:45 a.m. to 4:00 p.m. on the expiration date.
(ii) When a call option buyer applies for exercise, the futures commission merchant shall notify such trader to remit the delivery price into the segregated customer margin account before it may file an exercise report to the TAIFEX.
(iii) When a put option buyer applies for exercise, the futures commission merchant, in addition to notifying such trader to transfer the underlying securities into the TAIFEX’s segregated settlement account or carry out centralized securities depository account reporting, and to remit into the segregated customer margin account any cash price payable due to contract adjustments, before it may file an exercise report to the TAIFEX.
(iv) By 2:30 p.m., a futures commission merchant shall report via computer linkup its list of call option buyers and put option buyers applying to exercise options.
(v) At 2:30 p.m., the TAIFEX shall produce a reference list of call option buyers exercising options and a reference list of put option buyers exercising options.
(vi) From the time the reference list of call option buyers exercising options and the reference list of put option buyers exercising options become available until 4:00 p.m., futures commission merchants and clearing members shall query the lists via computer linkup and print them out, verify them, and keep them on file.
(c) Call option writer exercise assignment and list query operations
(i) The business hours for these operations are from 2:30 p.m. to 4:00 p.m. on the expiration date.
(ii) At 2:30 p.m., the TAIFEX shall produce a call option writer exercise assignment list on a random basis.
(iii) From the time the call option writer exercise assignment list becomes available until 4:00 p.m., futures commission merchants and clearing members shall query the list via computer linkup, print it out, verify it, and save the file.
(d) Centralized securities depository account reporting and cash price calculation and collection operations for call option writers and put option buyers
(i) The business hours for these operations are from 2:30 p.m. to 3:30 p.m. on the expiration date.
(ii) By 3:30 p.m., futures commission merchant shall report to the TAIFEX via computer linkup the centralized securities depository accounts of the call option writers and put option buyers for the deliverable underlying securities; the TAIFEX, based on the account reported by the futures commission merchant, shall notify the centralized securities depository enterprise to carry out remittance of the underlying securities. The futures commission merchant shall notify call option writers to remit into the segregated customer margin account on the same day any cash price payable due to contract adjustments.
(iii) Futures commission merchants shall collect from call option writers who are unable to deliver the underlying securities the price required to perform cash settlement; the calculation method thereof is as follows:
Cash settlement price ＝ closing price of the underlying securities on the expiration date × the percentage publicly announced by the TAIFEX after ratification by the competent authority × the number of shares of the shortfall deliverable
In the event that the contract expiration date is an ex-rights trading day of the underlying securities, the closing price of the underlying securities on the expiration date shall be adjusted as follows:
Adjusted closing price of the underlying securities on the expiration day ＝ closing price of the underlying securities on the expiration day × closing price of the underlying securities on the preceding business day ／ opening reference price of the underlying securities on the ex-rights trading day
(e) Query of outcome of transfers of underlying securities by call option writers and put option buyers
(i) The business hours for this operation are 8:45 a.m. to 4:00 p.m. on the business day next following the expiration day.
(ii) At 8:45 a.m., the TAIFEX will produce an itemized statement of the outcome of transfers of deliverable underlying securities by call option writers and put option buyers.
(iii) From the time the itemized statement of the outcome of transfers of deliverable underlying securities by call option writers and put option buyers becomes available until 4:00 p.m., futures commission merchants and clearing members shall query the statements via computer linkup and print them out, verify them, and keep them on file.
(f) Put option trader exercise and assignment list query operations
(i) The business hours for this operation are 9:00 a.m. to 4:00 p.m. on the business day next following the expiration day.
(ii) At 9:00 a.m. the TAIFEX will produce a put option buyer exercise list based on the outcome of delivery of underlying securities by put option buyers, and shall assign put option writers by a random method and produce a put option writer exercise assignment list.
(iii) From after the put option trader exercise and exercise assignment list has been produced until 4:00 p.m., futures commission merchants and clearing members shall query the list via computer linkup and print it out, verify it, and save the file.
(g) Call option trader cash settlement list and call option buyer receivable underlying securities list query operations
(i) The business hours for this operation are 9:00 a.m. to 4:00 p.m. on the business day next following the expiration day.
(ii) At 9:00 a.m., the TAIFEX will produce a call option writer cash settlement list based on the outcome of delivery of underlying securities by call option writers, and shall assign call option buyers by a random method and produce a call option buyer cash settlement list and receivable underlying securities list.
(iii) From the time the call option buyer and writer cash settlement lists and the call option buyer receivable underlying securities list become available until 4:00 p.m., futures commission merchants and clearing members shall query the lists via computer linkup, print them out, verify them, and keep them on file.
(h) Delivery price and cash settlement collection/payment
(i) The business hours for this operation are 10:00 a.m. to 4:00 p.m. on the business day next following the expiration day.
(ii) At 10:00 a.m. the TAIFEX shall carry out operations for clearing member collection/payment of the below sums, and incorporate them into the calculation of the amount of clearing member margin equity:
i. Delivery prices payable by call option buyers and put option writers; delivery prices receivable by call option writers and put option buyers;
ii. Cash prices payable by call option writers and put option buyers due to contract adjustments; cash prices receivable by call option buyers and put option writers due to contract adjustments;
iii. Cash settlement prices payable by call option writers; cash settlement prices receivable by call option buyers.
(iii)_ Clearing members may query the balance of their clearing margin via computer linkup from 10:00 a.m. to 4:00 p.m.
(i) Reporting by futures commission merchants of trader default
Where any of the following events occurs with respect to a trader, the futures commission merchant shall report to the TAIFEX in accordance with the Guidelines for Futures Commission Merchants in Reporting Default by Principals:
(i) A call option writer is unable to complete delivery of the underlying securities, and fails to pay the cash settlement price in accordance with regulations;
(ii) A call option writer fails to pay a required cash price arising from contract adjustment;
(iii) A put option writer fails to pay a delivery price.
(j) Reporting of the centralized securities depository accounts of call option buyers and put option writers
(i) The business hours for this operation are from 9:00 a.m. to 12:00 noon on the business day next following the expiration date.
(ii) Before 12:00 noon, futures commission merchants shall report to the TAIFEX via computer linkup the centralized securities depository accounts of call option buyers and put option writers.
(iii) Where a put option writer has failed to pay a delivery price, the futures commission merchant shall report the centralized securities depository account for handling the underlying securities.
(k) Remittance of underlying securities receivables of call option buyers and put option writers
(i) The business time for this operation is 12:00 noon on the business day next following the expiration day.
(ii). At 12:00 noon the TAIFEX will remit the underlying securities into the centralized securities depository accounts of call option buyers and put option writers.
(4) 10-Year Government Bond Futures Contracts
(a) Opening of the clearing member book-entry bond settlement account
(i) A clearing member shall open a book-entry bond settlement account at the clearing bank designated by the TAIFEX and report the account information to the TAIFEX, for purposes of handling book-entry bond remittance operations.
(b) Calculation of equity for expired positions
(i) The business time for this operation is 12:30 p.m. to 4 p.m. on the last trading day.
(ii) After market closing on the last trading day, the TAIFEX calculates the equity for clearing members' open positions for that delivery month based on the final settlement price. The amount of the gain or loss is included in the intra-day calculation of the clearing margin equity of clearing members.
(iii) Beginning from 12:30 p.m., clearing members shall query the amount of their clearing margin equity by computer operation, and print them out, verify them, and keep them on file.
(c) Futures commission merchants and clearing member transfer and reporting procedures for bond settlement by sellers
(i) The business time for this operation is from 9 a.m. to 3 p.m. on the business day next following the last trading day.
(ii) Futures commission merchants and clearing members shall instruct sellers to transfer the bonds deliverable for settlement into the book-entry bond settlement account of the TAIFEX by 3 p.m. and, after obtaining the itemized statement of the transfer of the bonds for settlement, report to the TAIFEX via computer linkup. If the seller is unable to complete the transfer, the futures commission merchant or clearing member shall instruct it to provide proof of settlement capability.
(d) Futures commission merchant and clearing member payment procedures for price settlement by buyers
(i) The business time for this operation is from 9 a.m. to 3 p.m. on the business day next following the last trading day.
(ii) Futures commission merchants and clearing members shall instruct buyers to remit the price into their segregated customer margin account by 3 p.m. based on the settlement prices publicly announced by the TAIFEX for deliverable bonds of each series. If the buyer is unable to complete payment of the price, the futures commission merchant or clearing member shall instruct it to provide proof of payment capability.
(e) Futures commission merchant and clearing member account reporting procedures for bonds receivable by buyers for settlement
(i) The business time for this operation is from 8:45 a.m. to 4 p.m. on the business day next following the last trading day.
(ii) Futures commission merchants and clearing members shall report to the TAIFEX via computer linkup by 4 p.m. the book-entry bond accounts for bonds receivable by buyers for settlement.
(f) Futures commission merchant and clearing member remittance and reporting procedures for handling of bond settlement for sellers who have provided proof of settlement capability
(i) The business time for this operation is from 9 a.m. to 1:30 p.m. on the second business day following the last trading day.
(ii) Futures commission merchants and clearing members shall notify sellers who have provided proof of settlement capability to transfer the bonds for settlement into the TAIFEX book-entry bond settlement account by 1:30 p.m., and obtain itemized statements of transfer of the bonds for settlement from the sellers. If a seller is unable to complete the transfer, the futures commission merchant or clearing member shall instruct it to remit the price, based upon the cash settlement price publicly announced by the TAIFEX, into its segregated customer margin account. The method for determining the cash settlement price shall be handled as provided in (k).
(iii) Futures commission merchants and clearing members shall report itemized statements of transfers of bonds for settlement by sellers to the TAIFEX via computer linkup by 1:30 p.m.
(g) Futures commission merchant and clearing member procedures for handling of settlement price payment for buyers who have provided proof of settlement capability
(i) The business time for this operation is from 9 a.m. to 1:30 p.m. the second business day following the last trading day.
(ii) Futures commission merchants and clearing members shall instruct buyers who have provided proof of settlement capability to remit the payment for settlement into their segregated customer margin accounts with the futures commission merchant or clearing member by 1:30 p.m., based upon the settlement prices publicly announced by the TAIFEX for the individual bond series.
(h) Assignment of receivable bonds for settlement and calculation of settlement price
(i) The business time for this operation is from 2 p.m. to 4 p.m. on the second business day following the last trading day.
(ii) From 2 p.m. the TAIFEX shall produce a list of bonds deliverable by sellers for settlement based upon the quantity of bonds for settlement transferred by sellers, and then by a random method produce a list assigning bonds to buyers for settlement, and calculate the settlement prices, and produce lists of settlement prices payable by buyers and receivable by sellers.
(iii) Futures commission merchants and clearing members shall, from the time that the list of bonds deliverable for settlement by sellers, the list of bonds assigned to buyers for settlement, and the list of settlement prices payable by buyers and the list of settlement prices receivable by sellers have been produced until 4 p.m., query the lists via computer linkup, and print them out, verify them, and keep them on file.
(i) Settlement price collection/payment
(i) The business time for this operation is from 2:30 p.m. to 4 p.m. on the second business day following the last trading day.
(ii) Futures commission merchants and clearing members shall deposit prices payable for settlement into the segregated clearing margin account designated by the TAIFEX by 2:30 p.m.
(iii) Beginning from 2:30 p.m., the TAIFEX shall carry out collection/payment procedures for settlement prices payable by buyers and receivable by sellers, and include it in calculating the amount of clearing margin equity of clearing members.
(iv) Beginning from 2:30 p.m., clearing members shall query the amount of their clearing margin equity via computer linkup, and print it out, verify it, and save the file.
(j) Transfer of bonds receivable by buyers for settlement
(i) The business time for this operation is from 2:30 p.m. on the second business day following the last trading day.
(ii) After completing the collection/payment of settlement prices, the TAIFEX shall produce a transfer list for bonds receivable by buyers for settlement, and notify the clearing banks to transfer the bonds for settlement from the TAIFEX's book-entry bond settlement account into the sellers' book-entry bond accounts.
(iii) Where a buyer has not paid the settlement price, the clearing member shall report its book-entry bond settlement account for handling bond settlement. The TAIFEX will then notify the clearing bank to transfer the bonds for settlement from the TAIFEX book-entry bond settlement account into the book-entry bond settlement account reported by the clearing member.
(iv) After the transfer lists of bonds receivable by buyers for settlement have been produced, futures commission merchants and clearing members shall query the lists via computer linkup, and print them out, verify them, and keep them on file.
(k) Handling of insufficient bonds for settlement
(i) The business time for this operation is from 2 p.m. to 4 p.m. on the second business day following the last trading day.
(ii) When the TAIFEX encounters insufficient bonds for settlement, beginning from 2 p.m. it shall calculate cash settlement prices based upon the amount of the insufficiency, and produce lists of cash settlement prices receivable by buyers and payable by sellers.
(iii) By 2:30 p.m., futures commission merchants and clearing members shall deposit cash settlement prices payable into the segregated clearing margin account designated by the TAIFEX.
(iv) Beginning from 2:30 p.m., the TAIFEX shall carry out procedures for collection/payment of cash settlement prices by clearing members, and include it in calculating the amount of clearing margin equity of clearing members.
(v) Beginning from 2:30 p.m., clearing members shall query the amount of their clearing margin equity via computer linkup, and print it out, verify it, and save the file.
(vi) The method for determining the cash settlement price is as follows:
i. After comparison of the theoretical futures price calculated for the last trading day's cheapest-to-deliver bond and the final settlement price for 10-year government bond futures contracts, the cash settlement price shall be the higher of the two.
ii. TAIFEX shall separately adopt methods for determining the cheapest-to-deliver bond and calculating its theoretical futures price.
(l) Procedures for futures commission merchants reporting default by traders
Where any of the following circumstances applies to a trader, the futures commission merchant shall report to the TAIFEX in accordance with the TAIFEX Guidelines for Futures Commission Merchants in Reporting Default by Principals:
(i) Failure by a buyer to pay the settlement price;
(ii) Inability by a seller to complete delivery of the securities for settlement, and furthermore failure to pay the cash settlement price in accordance with regulations.
(5) 30-Day Interest Rate Futures Contracts
(i) The business hour for this operation is 12:30 p.m. on the final settlement day.
(ii) Where a clearing member has open positions for the spot month after the market closes on the last trading day, the TAIFEX shall, during the business hours on the final settlement day, settle the expired positions at the final settlement price and include the gain (loss) into the intra-day calculation of clearing margins.
(6) Gold Futures Contracts and New Taiwan Dollar-denominated Gold Futures Contracts
(i) The business hour for this operation is 9:30 a.m. on the final settlement day.
(ii) Where a clearing member has open positions for the spot month after the market closes on the last trading day, the TAIFEX shall, during the business hours on the final settlement day, settle the expired positions at the final settlement price and include the gain (loss) into the intra-day calculation of clearing margins.6. Trade position settlement on the expiration date
(1) Index futures contracts
(a) The business hour for settling index futures contracts is 9:30 a.m. on the final settlement day.
(b) Where a clearing member has open positions for the contract spot month after the market closes on the last trading day, the TAIFEX shall, during the business hours on the final settlement day, settle the expired positions at the final settlement price and include the gain (loss) into the intra-day calculation of clearing margins.
(2) Index option contracts
(a) Query of buyer exercise list
(i) The business hours for making query are 9:30 a.m. ~ 4:00 p.m. on the expiration day.
(ii) TAIFEX will post the final settlement price and produce buyer exercise reference list at 9:30 a.m.
(iii) Futures commission merchants may make query of the aforesaid list via computer linkup after it is available until 11:00 a.m. on the same day.
(iv) Futures commission merchants should check the final buyer exercise list via computer linkup after it is available from 11:00 a.m. until 4:00 p.m., print it out and save the file.
(b) Making changes to buyer exercise reference list
(i) The business hours for this operation are 9:30 a.m. ~ 11:00 a.m. on the expiration day.
(ii) Futures commission merchants may carry out the addition to or deletion from the buyer exercise reference list during the aforesaid business hours.
(iii) Futures commission merchants may add to or delete from buyer exercise reference performance list according to customer instructions during the aforesaid business hours.
(c) Query of writer exercise assignment list
(i) The business hours for this operation are 11:00 a.m. ~ 4:00 p.m. on the expiration day.
(ii) TAIFEX will produce a writer exercise assignment list on a random basis at 11:00 a.m.
(iii) Futures commission merchants should check the aforesaid list via computer linkup after it becomes available until 4:00 p.m., print it out and save the file.
(d) Position settlement operation on the expiration date
(i) The business hours for this operation are 11:00 a.m. ~ 11:30 a.m. on the expiration day.
(ii) During the aforesaid period, the TAIFEX will carry out settlement of open positions on expired options by the final settlement price according to the final buyer exercise list, and include the gain (loss) into the intra-day calculation of clearing margins.
(iii) Clearing members may check the balance of their clearing margin account via computer linkup after the TAIFEX finishes the position settlement.
(3) Stock option contracts
(a) Notice of maturity
(i) The period for this operation is from the third business day prior to the expiration day until the expiration day.
(ii) At 8:45 a.m. the TAIFEX will produce a reference list of writers of in-the-money call options; futures commission merchants may on this basis notify such traders to purchase the underlying securities in the spot market or liquidate their open positions.
(iii) After the reference list of writers of in-the-money call options has been produced, futures commission merchants and clearing members shall query the list via computer linkup and print it out, verify it, and save the file.
(b) Application for buyer exercise and query of the call option buyer reference list
(i) The business hours for these operations are from 8:45 a.m. to 4:00 p.m. on the expiration date.
(ii) When a call option buyer applies for exercise, the futures commission merchant shall notify such trader to remit the delivery price into the segregated customer margin account before it may file an exercise report to the TAIFEX.
(iii) When a put option buyer applies for exercise, the futures commission merchant, in addition to notifying such trader to transfer the underlying securities into the TAIFEX’s segregated settlement account or carry out centralized securities depository account reporting, and to remit into the segregated customer margin account any cash price payable due to contract adjustments, before it may file an exercise report to the TAIFEX.
(iv) By 2:30 p.m., a fu |