| Article 5 |
With the Computerized Negotiation System, trading hours are 9 a.m. to 1:30 p.m. for outright transactions and 9 a.m. to 1:30 p.m. and 2 p.m. to 3 p.m. for designated-bond repo-style transactions; the service hours for the Comparison System are 1:30 p.m. to 4 p.m.
As required by market trading of when-issued central government bonds, the TPEx may, on the tender date of the government bonds, extend the trading hours of the Computerized Negotiation System under the preceding paragraph to 4 p.m.
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| Article 6 |
A securities firm shall quote its outright transactions and repo-style transactions in terms of yield and interest rate respectively, with a tick size of 1/10,000 of a percentage point; provided, outright transactions of exchangeable government bonds shall be quoted on a price-per-hundred basis, with a tick size of 1/10,000 of a New Taiwan Dollar.
For quotes placed through the Computerized Negotiation System, quote size is one trading unit or an integral multiple thereof. An individual quote may not be placed in an amount of more than nine trading units. Except for the trading as specified in Article 6-2, a trading unit is NT$50 million par value.
For quotes placed through the Comparison System, quote size is one trading unit or an integral multiple thereof. A trading unit is NT$100,000 par value.
Where the repo-style transactions referred to in paragraph 1 are designated-bond repo-style transactions, each price quote shall simultaneously quote the interest rate for cash financing and the fee rate for bond lending.
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| Article 6-1 |
The initial dollar amount of a designated-bond repo-style transaction is the price receivable/payable calculated on the basis of the next day's reference yield or price-per-hundred of the underlying asset, and the dollar amount at maturity shall be calculated as the initial dollar amount plus cash financing interest and minus bond lending fee; for an ordinary-collateral repo-style transaction the initial dollar amount is the price receivable/payable calculated on the basis of the current day's reference yield or price-per-hundred of the underlying asset plus or minus the collateral market value adjustment amount negotiated between the two parties to the transaction.
Designated-bond repo-style transactions are divided into transaction periods of one, five, or ten business days, while ordinary-collateral repo-style transactions are divided into transaction periods of one, five, ten, or twenty business days. However, the resale date shall not fall on any day during the period from five business days before the date of repayment of principal and payment of interest for the underlying property to the date of repayment of principal and payment of interest.
The term "transaction period" in the preceding paragraph means a period beginning on the day on which the seller delivers the underlying asset to the buyer and ending on the resale date.
The asset underlying a repo-style transaction shall remain the property of the buyer until the resale date. The buyer may engage in outright sales of bonds acquired in a repo-style transaction.
Where a securities firm acquires benchmark government bonds through the EBTS in a designated-bond repo-style transaction, unless the acquisition is for the purpose of meeting short sale delivery needs, the firm shall by the transaction date place an ask quote for such bonds or otherwise place an ask quote for a designated-bond repo-style transaction in a manner consistent with Article 7, paragraph 2. However, if the securities firm already holds benchmark government bonds, it may not acquire bonds of that same issue through the EBTS in a designated-bond repo-style transaction.
The collateral market value adjustment amount referred to in paragraph 1 may not exceed 10 percent of the current day's reference yield or price-per-hundred.
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| Article 6-2 |
An outright transaction of book-entry central government bonds may be a transaction of baskets of on-the-run and off-the-run bonds, or baskets of long-term and short-term bonds, and the quote shall be placed on a long-short spread basis, with a tick size of 1/10,000.
Each trading unit of baskets of on-the-run and off-the-run bonds shall be quoted and traded in accordance with the following rules:
- A purchase of baskets of on-the-run and off-the-run bonds shall mean a purchase of on-the-run bonds with face value of NT$50 million at the last traded yield of the on-the-run bonds, and concurrently a sale of off-the-run bonds with the same maturity with face value of NT$50 million at such yield plus the quoted spread.
- A sale of baskets of on-the-run and off-the-run bonds shall mean a sale of on-the-run bonds with face value of NT$50 million at the last traded yield of the on-the-run bonds, and concurrently a purchase of off-the-run bonds with the same maturity with face value of NT$50 million at such yield plus the quoted spread.
Each trading unit of baskets of long-term and short-term bonds shall be quoted and traded in accordance with the following rules:
- A purchase (or sale) of baskets of 10-year bonds and 5-year bonds shall mean a sale (purchase) of on-the-run 10-year bonds with face value of NT$50 million at the last traded yield of the on-the-run 10-year bonds, and concurrently a purchase (sale) of on-the-run 5-year bonds with face value of NT$100 million at such yield minus the quoted spread.
- A purchase (or sale) of 20-year bonds and 10-year bonds shall mean a purchase (sale) of on-the-run 10-year bonds with face value of NT$100 million at the last traded yield of the on-the-run 10-year bonds, and concurrently a sale (purchase) of on-the-run 20-year bonds with face value of NT$50 million at such yield plus the quoted spread.
The term "on-the-run bonds" as used in this Article means the most recent issue of book-entry central government bonds of each maturity, which are separately marked on the system with 02Y, 05Y, 10Y, and 20Y to conform to their maturity at 2 years, 5, years, 10 years and 20 years; "off-the-run bonds" mean the book-entry central government bonds with the same maturity in the two issues preceding the on-the-run bonds, and which are marked on the system with 01 and 02.
The term "last traded yield" in paragraphs 2 and 3 mean the latest quote for which the counterparties number over 70 on the same day in the TPEx Electronic Bond Trading System, and that has been executed.
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| Article 7 |
To place a quote, a securities firm shall enter all information required on the EBTS interface screen for each item. The EBTS will then confirm accepted quotes sequentially through a transmission system. The same applies to any change made thereto.
The TPEx will, at 1:40 p.m. each day, compile statistics on current-day net long positions in benchmark government bonds taken by each securities firm on the Computerized Negotiation System, and the EBTS will quote such positions for sale in designated-bond repo-style transactions with the conditions of anonymity, zero interest rate, and one business day maturity. Notwithstanding the foregoing, a securities firm may change a quoted interest rate; where it has already sold bonds of that issue by price negotiation at its business premises, or where a demand for performance so requires, it also may change or cancel a sell quote by 2 p.m. by annexing relevant substantiating documentation.
Once quotes placed in accordance with paragraphs 1 and 2 are executed through the EBTS, the execution details will be confirmed sequentially via a transmission system. The TPEx may, via the Internet and through an information enterprise, publicly disclose information regarding the six best buy and sell quotes on the Computerized Negotiation System and the name of the entity providing each such quote, together with the prevailing execution prices. Nevertheless, where a securities firm provides quotes anonymously, the TPEx will disclose only the quotation information.
The information enterprise referred to in the preceding paragraph shall duly enter into a Contract for Supply and Use of Trading Information with the TPEx.
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| Article 8 |
A securities firm may in its sole discretion provide quotation to or execute a transaction with a selected trading counterparty, except that a transaction may not be executed between the head office and a branch unit, or between two branch units of a securities firm.
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| Article 9 |
With the exception of quotes in transactions under Article 6-2, which shall be firm quotes, when a securities firm conducts outright transactions through the Computerized Negotiation System, each quote shall first be identified as either a firm quote or a nominal quote and then be executed as follows:
- Where a trading order is provided with a firm quote, the transaction is executed upon execution confirmation by another securities firm.
- Where a quote is a nominal quote, upon confirmation by another securities firm, the securities firm that made the original quote may respond within 20 seconds as to whether the transaction is executed. Where the securities firm that made the original quote confirms execution of the transaction, the transaction is thereupon promptly executed; where it confirms non-execution of the transaction, or where no response is made within 20 seconds, the transaction is deemed not executed, and the EBTS will cancel the quote directly. Nevertheless, the other securities firm may cancel its confirmation at any time before the securities firm that made the original quote has responded as to whether the transaction is executed.
A securities firm may ask another securities firm to provide a quote. The quote provided in response by the other securities firm is a firm quotation, and is executed as follows:
- Where the securities firm that asked for the quotation confirms within 20 seconds the execution of the transaction at the price quoted by such other securities firm, the transaction is thereupon promptly executed.
- The securities firm that provides the quotation may cancel its quotation at any time before the securities firm that asked for the quotation has confirmed the execution of the transaction.
For designated-bond repo-style transactions carried out by a securities firm through the Computerized Negotiation System, each such quote is a firm quotation and is promptly executed upon the confirmation of execution by the other securities firm. Notwithstanding the foregoing, transactions to which any of the following circumstances applies cannot be executed:
- Where the cumulative unexpired balance of repo-style transactions of an individual issue of bonds amounts to more than one-half of the total balance of such bond issue, the EBTS will suspend confirmation and execution by securities firms of quotes for such bond issue.
- Where the cumulative unexpired balance of reverse repo transactions of an individual issue of bonds by a single securities firm amounts to more than one-tenth of the balance of a given bond issue, the EBTS will suspend confirmation and execution by securities firms of quotes for that bond issue, provided that a primary dealer in central government bonds need not observe this restriction when it carries out reverse repo transactions for purposes of meeting its settlement needs or selling government bonds it does not hold.
- A securities firm whose sell quote for a repo-style transaction remains on the EBTS after 2 p.m. may neither place a buy quote for a repo-style transaction of the same issue of bonds nor confirm execution of any repo-style transaction with another securities firm that has placed a sell quote for such bond issue.
When a securities firm uses the Computerized Negotiation System to carry out ordinary-collateral repo-style transactions, each quote is firm. Once another securities firm hits the trade button, the seller shall by 9:45 a.m. on the transaction date individually report each trading unit sold and the collateral market value adjustment. A single trading unit is limited to a single bond. Once a system check confirms there is no error, the transaction is executed.
The Computerized Negotiation System will execute each transaction one trading unit at a time.
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| Article 9-1 |
Where an error has occurred in a bid or ask quote and the transaction has been executed under Article 9, upon consent of the counterparty, the securities firm may report a correction of the error or cancellation of the transaction (hereinafter, "account change") to the TPEx by 4 p.m. on that day. Notwithstanding the foregoing, however, an account correction for an ordinary-collateral repo-style transaction shall be reported by 10 a.m. on that day.
In an account change under the preceding paragraph, both parties shall provide written substantiating documentation.
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| Article 9-2 |
If any of the following circumstances applies to a central government bond during the when-issued trading period, the EBTS will directly cancel all its when-issued transactions:
- Cancellation of issuance.
- Change in the issue date, unless because of a duly handled postponement of the issue due to a natural disaster.
- Change in the period or method for repayment of the principal.
- Change in other terms and conditions of issuance that the TPEx deems to have a material effect influence on the value of the when-issued bond.
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| Article 10 |
Securities firms using the Comparison System shall enter transaction or performance information in the format prescribed by the TPEx. The execution of a transaction is confirmed when an EBTS comparison shows a match between bid and ask data.
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| Article 11 |
The daily reference yield or price-per-hundred for book-entry central government bonds traded through the EBTS shall be calculated as follows:
- The reference yield of a bond on the first day it is traded through the EBTS is as per the coupon rate stated on the bond; however, the reference price of an exchangeable government bond on the first trading day is NT$100.
- Per the weighted average yield or price-per-hundred based on transactions for the previous business day shown in the TPEx Table of Fair Value of Bonds.
- If there is no transaction record for the previous business day: per the theoretical yield or price-per-hundred for the previous business day shown in the TPEx Table of Fair Value of Bonds.
The daily reference yield or price-per-hundred for local government bonds, corporate bonds, and financial bonds traded through the EBTS shall be calculated as follows:
- The reference yield of a bond on the date of issue is as per the coupon rate stated on the bond.
- As per the weighted average yield or price-per-hundred based on transactions through both the EBTS and price negotiations at the business premises of securities firms for the preceding business day.
- As per the reference yield or price-per-hundred for the preceding business day.
The TPEx shall calculate and publicly announce on a daily basis the reference yield or price-per-hundred referred to in the preceding two paragraphs.
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| Article 12 |
The net daily trading positions of a securities firm engaging in outright transactions through the EBTS may not exceed 60 times the net value of its reserve; the net daily trading positions of a primary dealer in central government bonds authorized by the Central Bank may not exceed 90 times the net value of its reserve. Notwithstanding the foregoing, in the case of a securities firm whose regulatory capital adequacy ratio has fallen below 200 percent in the most recent month, its net daily trading positions may not exceed 20 times the net value of its reserve.
The net value of the reserve under the preceding paragraph is calculated by the amount of reserve deposited by the securities firm less value at risk and plus trading income or less trading loss.
Where a securities firm engages in when-issued trading of a central government bond, its net trading positions on such bond shall be subject to Article 79-1 of the Trading Rules.
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