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Title: Taiwan Futures Exchange Corporation Trading Rules for TAIFEX USD/JPY FX Futures Contracts
Date: 2016.10.17 ( Announced )
Date: 2017.04.06 ( Amended )

Article Content

 
Article 1     These Rules are specially adopted to maintain orderly trading of TAIFEX USD/JPY FX Futures Contracts ("the Contracts") on Taiwan Futures Exchange (TAIFEX), to ensure security and fairness in trading of the Contracts.
Article 2     In carrying out trading of the Contracts, futures commission merchants shall observe these Rules in addition to the Futures Trading Law and relevant regulations, the Operating Rules, public announcements, and circulars of TAIFEX.
Article 3     The English name of the Contracts is abbreviated as "USD/JPY FX Futures," and their trading code is "XJF."
Article 4     The underlying of the Contracts is the USD/JPY exchange rate. The value of each contract is 20,000 US dollars.
Article 5     Quotes for the Contracts are in units of 1 US dollar. When quoted in Japanese yen, the smallest unit of price fluctuation (tick size) is 0.01 yen. The value of each tick is 200 yen.
Article 6     A trader, prior to market close on the last trading day, may sell or repurchase all or a part of the original number of contracts bought or sold in order to close out the rights and obligations of the Contracts.
Article 7     Trading days for the Contracts are the same as bank business days. Trading hours are as follows:
  1. Regular trading session: 8:45 a.m. to 4:15 p.m. The trading hours for a contract of a given expiration month on the relevant last trading day shall be from 8:45 am to 2:00 p.m.
  2. After-hours trading session: 5:25 p.m. to 5:00 a.m. of the following day.
    If banking enterprises for any reason suspend operations, however, or other factors hinder trading of the Contracts, then TAIFEX, on the basis of circumstances at the time, may declare a temporary halt to trading and report the matter to the competent authority for recordation on the following business day.
    TAIFEX may change the trading days and trading hours of paragraph 1 after reporting to and receiving approval from the competent authority.
Article 8     Delivery months for the Contracts are the four consecutive quarterly months (March, June, September, and December) listed and traded concurrently. The last trading day for contracts of a particular delivery month is the third Wednesday of the expiry month of the contract. Trading of contracts at expiry will halt at the close of the regular trading session on the last trading day, and the last trading day is the final settlement day for a contract at expiry.
    If any of the following circumstances occurs on the last trading day, then the next business day shall be the last trading day, provided that TAIFEX may adjust that date in view of circumstances:
  1. The last trading day falls on a TAIFEX holiday, or trading cannot proceed due to a force majeure event.
  2. The mid rate of WM/Reuters Intraday Spot Rates for USD/JPY at 2:00PM Taipei Time is not produced due to national holidays in major financial centers.
  3. There are other factors that affect the trading or settlement of the Contracts.
    The trading in contracts of the new delivery month shall begin from the regular trading session on the business day following the last trading day of an expiring contract.
    TAIFEX may change the delivery months, first trading days, last trading days, and final settlement days of the preceding three paragraphs as it deems necessary after reporting to and receiving approval from the competent authority.
Article 9     Buy and sell orders for the Contracts, unless otherwise provided, will be matched automatically by computer. Matching is done by call auction at market opening, followed by continuous trading during market hours.
Article 10     Open positions held by traders are marked to market daily after the close of the regular trading session based on the daily settlement price published by the TAIFEX.
    The daily settlement price of the preceding paragraph is set according to the trading information of the regular trading session and the following provisions:
  1. The price is the volume-weighted average transaction price of all trades during the last minute before market close.
  2. When there is no transaction price during the last minute before market close on the given day, the average of the highest unexecuted bid and lowest unexecuted ask prices quoted at market close will be taken as the daily settlement price.
  3. When there is no quoted bid price, the lowest quoted ask price will be taken as the daily settlement price; when there is no quoted ask price, the highest quoted bid price will be taken as the daily settlement price.
  4. When there is neither a quoted bid price nor quoted 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 will be used as the basis of calculation, by adding that price difference to the current day's settlement price for the spot-month futures contract to obtain the daily settlement price of the distant-month contract.
  5. If a daily settlement price cannot be determined on the basis of subparagraphs 1 to 4, or if the settlement price determined on that basis is obviously unreasonable, then the settlement price will be set by TAIFEX.
Article 11     The price limit for each trading session of the Contracts is 7 percent above and 7 percent below the daily settlement price of the preceding regular trading session. TAIFEX may adjust the daily price limit of the Contracts as it deems necessary based on market conditions.
Article 12     The final settlement price of the Contracts is set at the mid rate of WM/Reuters Intraday Spot Rates for USD/JPY at 2:00PM Taipei time on the last trading day and rounded to 2 decimal places.
    If for any reason the fixing rate of the preceding paragraph is not announced before TAIFEX executes procedures for settlement at expiration, or if the final settlement price so determined is obviously unreasonable, then the final settlement price will be determined by TAIFEX referring to the market USD/JPY exchange rates published through major financial information systems.
Article 13     The Contracts 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 14     A futures commission merchant engaging in brokerage trading of the Contracts, prior to accepting an order, shall first collect a sufficient trading margin based on the aggregate total of the brokerage trading order, and from the date of the trade until the expiry of the settlement period, shall mark to market on a daily basis the balance of equity in the position held by each client based on the daily settlement price, and credit the aggregate total to the balance of the margin account of the client.
    When the balance in a principal's margin account is lower than the required maintenance margin, the futures commission merchant shall immediately notify the principal 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 principal's open positions. If a principal fails to make the deposit within the prescribed time limit, the futures commission merchant may offset the positions on the principal'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 margin and maintenance margin announced by TAIFEX shall be based on the clearing margin calculated according to the Taiwan Futures Exchange Corporation Methods and Standards for Receipt of Clearing Margins plus a percentage prescribed by TAIFEX.
    Payment/receipt of the principal's margins referred to in paragraph 1 and paragraph 2 may be in New Taiwan Dollars or in a foreign currency publicly announced by TAIFEX, as stipulated between the principal and the futures commission merchant, with the futures commission merchant acting as foreign exchange settlement agent. The futures commission merchant shall conduct the required exchange settlements in accordance with the Regulations Governing the Declaration of Foreign Exchange Receipts and Disbursements or Transactions prescribed by the Central Bank of China.
Article 15     The total open positions that a trader holds in the Contracts at any time on either the long or short side of the market may not exceed the limits publicly announced by TAIFEX.
    Every three months, or as occasioned by market conditions, TAIFEX will announce the applicable position limit standards under the preceding paragraph, according to the levels given below, based on the higher of the daily average trading volume or the open position volume of the Contracts during that period, with the benchmark set at 5 percent thereof for individuals and 10 percent thereof for institutional investors. However, the lowest position limit shall be 1,000 contracts for individuals, and 3,000 contracts for institutional investors:
  1. When the benchmark is 1,000 or more contracts, the position limit is the benchmark rounded down to the nearest integral multiple of 200 contracts.
  2. When the benchmark is 2,000 or more contracts, the position limit is the benchmark rounded down to the nearest integral multiple of 500 contracts.
  3. When the benchmark is 5,000 or more contracts, the position limit is the benchmark rounded down to the nearest integral multiple of 1,000 contracts.
  4. When the benchmark is 10,000 or more contracts, the position limit is the benchmark rounded down to the nearest integral multiple of 2,000 contracts.
    The position limit for a proprietary trader or a market maker for the Contracts shall be three times the position limit for an institutional investor set out in paragraph 2. TAIFEX, however, may adjust this limit for market makers for the Contracts as it deems necessary in view of market conditions.
    When TAIFEX examines the applicable position limit levels, if the increase or decrease in the daily average trading volume or open position volume for the period, as compared to that at the time of the previous adjustment, does not exceed 2.5 percent, no adjustment will be made even if the level for adjustment has been reached.
    Any raising of a position limit will take effect from the regular trading session on the business day following the TAIFEX announcement date. Any lowering of a position limit will take effect from the regular trading session on the business day following the expiration of the next-nearest month contract that is already listed on the announcement date, provided that TAIFEX may adjust the date according to circumstances.
    When a 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 that no new position may be added until the lowered limit has been complied with.
    Total open positions in the Contracts held in an omnibus account are not subject to the limits of paragraph 2, with the exception of undisclosed omnibus accounts, which are subject to the limits for institutional investors.
    An institutional investor may apply to TAIFEX for a position limit increase based on hedging needs.
    In addition to the provisions of this article, the limits on open positions in the Contracts held by traders shall also conform to the Taiwan Futures Exchange Corporation Rules Governing Surveillance Of Market Positions.
Article 16     Unless otherwise provided, a futures commission merchant engaging in proprietary or brokerage trading of the Contracts shall be subject to a limit of 100 contracts per order.
    TAIFEX may make appropriate adjustments to the limit on the quantity of trading quotes in the preceding paragraph in view of market trading conditions.
Article 17     Where any circumstance under Article 31 of the Operating Rules of the Taiwan Futures Exchange Corporation requires suspension of trading or delisting of the Contracts, TAIFEX shall make a public announcement 30 days prior to implementation.
    All open positions shall be liquidated by the announced implementation date for the suspension of trading or termination of listing. Any positions still open on the implementation date will be settled at the settlement price of the trading day preceding the implementation date.
Article 18     These Rules shall be implemented following the approval of the competent authority. The same provision applies to subsequent amendments.