| Article 1 |
These Rules are specially promulgated to maintain orderly trading of Taiwan Stock Exchange Banking and Insurance Sector Index Futures Contracts ("the Contracts") at the Taiwan Futures Exchange Corporation ("TAIFEX") and ensure security and fairness in trading of the Contracts.
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| Article 2 |
Futures commission merchants ("FCMs") that engage in trading of the Contracts shall observe these Rules in addition to the Futures Trading Act and applicable laws and regulations. Matters on which these Rules are silent shall be handled in accordance with the bylaws and rules, public announcements, and circulars of the TAIFEX.
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| Article 3 |
The Chinese code for the Contracts is "Chin Jung Ch'i Huo [in Chinese characters]"; the English code for the Contracts is "TF."
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| Article 4 |
The underlying of the Contracts is the Taiwan Stock Exchange Banking and Insurance Sector Stock Index ("the Index"). Standards in relation to the index calculation formula, sample stocks, base periods, and adjustments thereto shall be as prescribed by the Taiwan Stock Exchange Corporation (TWSE).
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| Article 5 |
The value of each Contract shall be 1,000 New Taiwan Dollars multiplied by the banking futures index.
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| Article 6 |
The minimum unit of price fluctuation ("tick") in trading orders for the Contracts shall be 0.2 index points. Each tick shall have a value of 200 New Taiwan Dollars.
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| Article 7 |
A futures trader may conclude rights and obligations under a contract prior to the delivery deadline by selling or buying back at the TAIFEX centralized exchange all or part of the volume of contracts originally bought or sold.
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| Article 8 |
The trading hours for the Contracts 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 Contracts, or when other factors influence trading of the Contracts, trading of the Contracts may be halted; when the TWSE announces a halt of trading during trading hours of the Contracts, trading of the Contracts will 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 Contracts, 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 Contracts after reporting to the competent authority for approval.
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| Article 9 |
Delivery months for the Contracts 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 date 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 report to and approval from the competent authority.
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| Article 10 |
Buy and sell orders for the Contracts will be matched automatically by computer. Matching shall be done by call auction at market opening, and then by continuous trading 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 as 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.
- If a daily settlement price cannot be determined under the preceding four subparagraphs, or if the settlement 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 limits for the Contracts shall be 10 percent above and 10 percent below the settlement price of the preceding business day.
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| Article 13 |
The final settlement price of the Contracts 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 Contracts, with the futures traders 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 |
An FCM engaging in brokerage trading of the Contracts shall, prior to accepting an order, first collect a sufficient trading margin based on the aggregate total of the brokerage trading orders, and from the date of the trades until the expiry of the settlement period shall mark to market on a daily basis the equity in the position held by the client based on the daily settlement price and credit the aggregate total to the balance of the margin fund account of the client.
When the balance in a client's margin account is lower than the required maintenance margin, the FCM shall immediately notify the client to deposit within a specified time sufficient cash funds to cover the difference between the balance in the margin account and the total amount of the trading margins required for the client's open positions. If a client fails to make the deposit within the prescribed time limit, the FCM may offset the client's position on the client's behalf.
The trading margin and the maintenance margin referred to in the preceding two paragraphs may not be lower than the publicly announced TAIFEX standard for the initial margin and the maintenance margin.
The initial margins and maintenance margins publicly announced by the TAIFEX shall be calculated by multiplication of the clearing margins calculated in accordance with the TAIFEX Standards and Methods for Receipt of Clearing Margins by the 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 plus the total open positions in TAIFEX Mini Taiwan Stock Exchange Finance Sector Index Futures Contracts, after translation by the one-to-four contract scale, held on the same side of the market by the futures trader, shall not in combination 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 outstanding volume, whichever is higher, of the Contracts plus the Mini Taiwan Stock Exchange Finance Sector Index Futures Contracts after translation by the one-to-four contract scale, with the benchmark set at 5 percent thereof for natural persons and 10 percent thereof for juristic persons. 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 outstanding 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 TAFIEX 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 Contracts held by an omnibus account 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 may apply to the TAIFEX for relaxation of the limits on positions when based on hedging requirements.
In addition to conforming to the provisions of this article, the limits on open positions in the Contracts 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 termination of listing of the Contracts as enumerated in Article 32 of the TAIFEX Operating Rules, the TAIFEX shall make a public announcement 30 days prior to the implementation date, with the exception of termination of the Index licensing agreement by the Index compiling institute, which results in suspension of trading or delisting of the Contracts.
All open positions shall be liquidated by the implementation date for the suspension of trading or delisting. Any positions still open on the implementation date will be settled at the settlement price of the trading day preceding the 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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