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Article 1     These Rules are specially prescribed to maintain orderly trading of the MSCI Taiwan Stock Index SM Futures contract ("the Contract") at the Taiwan Futures Exchange Corporation ("TAIFEX"), so as to ensure secure and fair trading of the Contract.
Article 2     Futures commission merchants that engage in trading of the Contract shall observe these Trading Rules in addition to the Futures Trading Act and applicable acts and regulations. Matters on which these Trading Rules are silent shall be handled in accordance with the applicable bylaws and rules, public announcements, and circulars of the TAIFEX.
Article 3     The Contract is abbreviated as "MSCI Taiwan Index SM Futures" with the ticker symbol "MSF".
Article 4     The underlying index of the Contract is the MSCI Taiwan Index SM (the "underlying index"). The calculation formula, component stocks, base period, adjustments thereto, and other relevant matters of the underlying index shall be as determined by Morgan Stanley Capital International Inc.
    The Contracts are not sponsored, endorsed, sold or promoted by Morgan Stanley Capital International Inc. (“MSCI”), any affiliate of MSCI, or any other party involved in, or related to, making or compiling any Indexes (the “MSCI Parties”). The Contracts have not been passed on by any of the MSCI Parties as to their legality or suitability with respect to any person or entity. None of the MSCI Parties guarantees the originality, accuracy and/or completeness of the underlying index or any data included therein. None of the MSCI Parties makes any express or implied warranties, and expressly disclaim all warranties of merchantability and fitness for a particular purpose or use with respect to the Contract, the underlying index or any data included therein. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages, claims, losses or expenses relating to any futures or options contracts or the underlying index, including, without limitation, any such damages, claims, losses or expenses caused by any errors or delays in calculating or disseminating the underlying index. None of the MSCI parties has any obligation to take the needs of the issuers of the Contracts, the owners of the Contracts, or the Exchange into consideration in determining, composing or calculating the Indexes. None of the MSCI Parties is responsible for or has participated in determining the timing, prices, or quantities of the Contracts to be issued or in determining or calculating the equation by which the Contracts are settled.
    The underlying index of the Contract is the MSCI Taiwan Index SM (the "underlying index"). The calculation formula, component stocks, base period, adjustments thereto, and other relevant matters of the underlying index shall be as determined by Morgan Stanley Capital International Inc.
    The Contracts are not sponsored, endorsed, sold or promoted by Morgan Stanley Capital International Inc. (“MSCI”), any affiliate of MSCI, or any other party involved in, or related to, making or compiling any Indexes (the “MSCI Parties”). The Contracts have not been passed on by any of the MSCI Parties as to their legality or suitability with respect to any person or entity. None of the MSCI Parties guarantees the originality, accuracy and/or completeness of the underlying index or any data included therein. None of the MSCI Parties makes any express or implied warranties, and expressly disclaim all warranties of merchantability and fitness for a particular purpose or use with respect to the Contract, the underlying index or any data included therein. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages, claims, losses or expenses relating to any futures or options contracts or the underlying index, including, without limitation, any such damages, claims, losses or expenses caused by any errors or delays in calculating or disseminating the underlying index. None of the MSCI parties has any obligation to take the needs of the issuers of the Contracts, the owners of the Contracts, or the Exchange into consideration in determining, composing or calculating the Indexes. None of the MSCI Parties is responsible for or has participated in determining the timing, prices, or quantities of the Contracts to be issued or in determining or calculating the equation by which the Contracts are settled.
Article 5     The value per contract is US$100 multiplied by the MSCI Taiwan Index SM Futures index.
Article 6     The minimum unit of price fluctuation (tick) in trading order for the Contract shall be 0.1 index points. Each tick shall have a value of US $10.
Article 7     Prior to closing of the last trading day, a futures trader may settle rights and obligations under the contracts by selling or buying back on the TAIFEX centralized exchange market part or all of the volume originally bought or sold.
Article 8     The trading days of the Contract are the business days of the Taiwan Stock Exchange. The trading hours for the Contract are 8:45 am to 1:45 pm. On the last trading day of the month in which a Contract expires the trading hours shall be 8:45 am to 1:30 pm. However, when business on the Taiwan Stock Exchange is suspended for any reason or trading of the Contract is affected by any other factor, the TAIFEX may announce a temporary suspension of trading based on the circumstances at the time, and shall promptly report the suspension to the Competent Authority for recordation.
    The TAIFEX may change the trading days and trading hours referred to in the preceding paragraph after reporting to the competent authority and obtaining its approval.
Article 9     Delivery months for the Contract shall be the spot month and the next calendar month, and the three nearest of the quarter months of March, June, September, and December, for a total of five 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 expiration; trading of contracts reaching expiration shall cease at close of market on the last day of trading, and the last trading day shall be the final settlement day for the expiring contract.
    If the last trading day referred to in the preceding paragraph falls on a holiday or if trading cannot proceed on that day due to a force majeure event, the next following business day shall be the last trading day.
    The business day after the last trading day of an expiring contract shall be the initial trading date for contracts in the new delivery month.
    The TAIFEX may change the delivery months, initial trading days, final trading days, and final clearing days referred to in the preceding three paragraphs when it deems necessary after reporting to and receiving approval from the competent authority.
Article 10     Trading orders for the Contract are automatically matched by computer. Matching is carried out by call auction at the opening of market, and then by continuous matching during market hours.
Article 11     Equity in positions held by traders of the Contract shall be calculated each day after close of the market based on the daily settlement price published by the TAIFEX.
    The daily settlement price referred to in the preceding paragraph shall be set in accordance with the following provisions:
  1. It shall be the volume-weighted average price of all trades in the one minute period before market close.
  2. When on a given day there is no trade price in the one minute period before market close, the daily settlement price for that day shall be the average of the highest quoted bid price and the lowest quoted ask 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 and ask price for distant-month futures contracts, then the price differential between the settlement price of current-month futures contracts and the settlement price of the given futures contracts on the previous business day shall be taken as the basis of calculation, with the settlement price for the current day to be the sum of the price differential and the current day's settlement price of the current-month futures contracts.
  5. If a current-day settlement price cannot be determined by any of the methods in subparagraphs 1 to 4, or if the settlement price yielded is obviously unreasonable, the settlement price shall be set by the TAIFEX.
Article 12     The daily price limit of the Contract shall be the settlement price of the preceding trading day plus or minus seven percent.
Article 13     The final settlement price of the Contract shall be set based on the simple arithmetic mean price of the underlying index during the last 30 minutes of trading hours before market close of the Taiwan Stock Exchange on the final settlement day, as provided by Reuters. The method for calculation of the final settlement price shall be separately prescribed by the TAIFEX.
Article 14     The Contract shall be settled in cash, with the futures trader delivering or receiving the net amount of the price differential in cash on the final settlement day based on the final settlement price.
Article 15     Prior to accepting an order to buy or sell the Contract, a futures commission merchant shall collect from the principal a sufficient trading margin based on the total quantity ordered, and from the day of the transaction until the expiry of the settlement period shall mark to market on a daily basis the equity in the position held by each principal based on the daily settlement price, and count it in the calculation of the principal's margin account balance.
    If the balance in the principal's margin account falls below the maintenance margin level, the futures commission merchant shall immediately notify the principal to deposit in cash the difference between the margin account balance and the required margin for all open positions within a prescribed time period. If the principal fails to deposit the margin within the prescribed time limit, the futures commission merchant may proceed to liquidate the principal's positions.
    The trading margin and the maintenance margin referred to in the preceding two paragraphs shall not be lower than the initial margin and maintenance margin requirements announced by the TAIFEX.
    The initial margins and maintenance margin announced by the TAIFEX shall be based on the clearing margin calculated according to the TAIFEX Standards and Methods for Receipt of Clearing Margins plus a percentage prescribed by the TAIFEX.
    Payment and receipt of the margins referred to in paragraphs 1 and 2 may be effected in New Taiwan Dollars in accordance with the agreement between the client and the futures commission merchant. The futures commission merchant shall conduct the required currency conversions in accordance with the Regulations Governing the Reporting of Foreign Exchange Receipts and Disbursements or Transactions prescribed by the Central Bank of China.
Article 16     The combined total volume of open long or short same-side positions in the Contract held at any time by a trader may not exceed the limit standards publicly announced by the TAIFEX.
    Every three months or as occasioned by market conditions, the TAIFEX will announce the applicable position limit standards under the preceding paragraph, according to the below-listed levels, based on the daily average trading volume or open volume, whichever is higher, of the Contract for that period, with the benchmark set at 5 percent thereof for natural persons and 10 percent thereof for institutional investors:
  1. When the benchmark is less than 1,000 contracts, the position limit shall be the benchmark rounded down to the nearest integral multiple of 100 contracts.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. The position limit shall be no lower than 300 contracts for natural persons and 1,000 contracts for institutional investors.
    The aggregate total of a futures proprietary merchant's open positions in the Contract shall be limited to three times the institutional investor limit as given in paragraph 2.
    When the TAIFEX examines the applicable position limit levels, if the increase or decrease in the daily average trading volume or open 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 standard may be held until the expiration date of the contract; provided, no new position may be added until the lowered limit standard has been complied with.
    The combined aggregate of open positions in the Contracts held in omnibus accounts are not subject to the limits in paragraph 2.
    Institutions may apply for an increase in position limit on trading accounts for hedging purposes.
    In addition to conforming to the provisions of this article, the limits on open positions in the Contract held by futures traders shall also conform to the Taiwan Futures Exchange Corporation Regulations Governing Surveillance of Market Positions.
Article 17     Futures commission merchants shall limit the size of orders they accept for the Contract to no more than 100 contracts per order.
    When necessary, the TAIFEX may make appropriate adjustments to the limit applied to the volume of individual trade orders under the preceding paragraph in view of market trading conditions.
Article 18     Where any circumstance exists requiring suspension of trading or de-listing of the Contract as enumerated in Article 31 of the Operating Regulations of the Taiwan Futures Exchange Corporation, the TAIFEX shall make a public announcement 30 days before implementation. If MSCI stops compiling the MSCI Taiwan IndexSM or ceases authorizing the TAIFEX to use the index, the TAIFEX shall, after obtaining approval from the regulatory authorities, make public announcement of suspension of trading or de-listing of the Contract.
    All open positions shall be liquidated by the announced implementation date of suspension of trading or de-listing. Any positions still open on the implementation date will be settled at the settlement price for the trading day immediately preceding the implementation date.
Article 19     These Trading Rules and any amendments hereto shall be implemented following ratification by the competent authority.