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Article 1     The Trading Rules herein are prescribed to uphold the trading order of “30-Day Commercial Paper Rate Futures Contract” (the “Contract”) on Taiwan Futures Exchange (“TAIFEX”) so as to safeguard trading security and fairness.
Article 2     Futures commission merchants that engage in trading of the Contract shall observe the Trading Rules herein in addition to the Futures Exchange Law and relevant regulations, bylaws and rules, public announcements and circulars of TAIFEX.
Article 3     The Contract is abbreviated as “Commercial Paper Rate Futures” with ticker symbol “CPF.”
Article 4     The underlying instrument of the Contract is 30-day financing commercial paper with a face value of NT$100 million.
Article 5     The Contract shall be quoted in percentage by 100 minus interest rate. The minimum fluctuation of the quoted price shall be 0.005, which generates a price change of 411 NTD.
Article 6     Traders may sell or buy part of or all positions originally bought or sold on TAIFEX before the closing of the last trading day of the Contract to settle their rights and obligations.
Article 7     The trading days of the Contract are the same as banking days. The trading hours are 8:45AM ~ 12:00 noon. In case banks close business on a regular banking day or there are other circumstances that affect the trading of the Contract, TAIFEX may announce halting of trading according to the circumstances.
    The aforesaid trading hours and trading days are subject to change with the approval of the competent authority.
Article 8     The delivery months of the Contract shall be spot month and the next eleven calendar months, where all series are listed and traded at the same time; the last trading day of the Contract shall be the third Wednesday of its delivery month, which is also the expiration date and final settlement date.
    Where the last trading day falls on a holiday or trading cannot take place on the last trading day due to force majeure, the nearest next trading day shall the last trading day.
    The first business day following the expiration of a contract shall be the first trading day of a new listed contract.
Article 9     Buy and sell orders for the Contract will be matched automatically by computer. Matching shall be done by call auction at market opening, and then by continuous trading during market hours.
Article 10     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 of the preceding paragraph shall be determined as follows:
  1. It shall be the volume-weighted average price of all trades during the last minute before market close.
  2. 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.
  3. 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.
  4. When there is no quoted bid nor ask price for a distant-month futures contract, then the price difference between the settlement price of the spot-month futures contract and the settlement price of the distant-month futures 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 spot-month futures contract and the above price difference will be taken as the daily settlement price of the distant-month contract.
  5. If a daily settlement price cannot be determined under subparagraphs 1 to 4 or if the price determined thereunder is clearly unreasonable, the settlement price shall be set by the TAIFEX.
Article 11     The daily price limit of the Contract shall be ±0.5 of the previous day’s settlement price.
Article 12     The final settlement price of the Contract shall be 100 minus the one-month cumulative executed rate index published by a TAIFEX-designated institution, rounded down to the nearest multiple of minimum price fluctuation.
    The aforesaid institution will be announced separately by TAIFEX.
Article 13     The contracts shall be settled by cash on net basis on final settlement day in accordance with the difference in final settlement prices.
Article 14     When accepting the order to buy or sell the Contract, futures commission merchants shall ask the customer to deposit the required margin based on the total quantities ordered, and calculate daily from the day of transaction up to the time of contract delivery the interest of positions held by each customer based on the daily settlement price, and combine it with customer’s margin account balance.
    When the customer’s margin balance falls below the level of maintenance margin, the futures commission merchant shall immediately notify the customer to pay in cash the difference between his margin account balance and the required margin for all open positions within a prescribed time period. If the customer fails to comply accordingly, the futures commission merchant may proceed to liquidate the customer’s positions.
    The trading margin and maintenance margin specified in the foregoing two paragraphs shall not be lower than the initial margin and maintenance margin requirements announced by TAIFEX.
    The initial margin and maintenance margin announced by TAIFEX shall be based on the clearing margin calculated according to TAIFEX Criteria and Collecting Methods Regarding Clearing Margins plus a percentage prescribed by TAIFEX.
Article 15     The total open positions in the Contracts on either the long or short side of the market held at any time by a futures trader shall meet the following requirements, which may be adjusted by TAIFEX according to market conditions:
  1. Five hundred (500) contracts for any single delivery month.
  2. Two thousand (2,000) contracts for all delivery months combined.
    The ceiling on the total open positions in the Contracts that a futures dealer may hold shall be three times the position limit for a trader.
    The restrictions in the foregoing paragraph do not apply to open positions in the Contract held by an omnibus account.
    Institutional investors may apply to TAIFEX for relaxation of position limits based on hedging needs.
    The open positions of traders shall also be subject to the TAIFEX Rules Governing Market Position Monitoring Operation in addition to the provisions set forth herein.
Article 16     Futures commission merchants shall accept no more than one hundred (100) lots per order.
    The aforesaid lot size limit is subject to change if deemed necessary by TAIFEX in view of the trading situation.
Article 17     Where the Contract must stop trading or be unlisted due to any of the conditions stipulated in Article 31 of the Operating Rules of Taiwan Futures Exchange Corporation, TAIFEX shall make public announcement to the effect thirty (30) days before implementation.
    In such event, all open positions shall be settled before the implementation day for cessation of trade or termination of listing as announced. All open positions not settled before the aforesaid implementation day shall be settled based on the settlement price on the previous trading day before the day of implementation.
Article 18     The Trading Rules herein shall be implemented following the approval of the competent authority. The same provision applies to subsequent amendments.