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6 Trade position settlement on the expiration date
(1) Index futures contracts
(a) The business hours for settling index futures contracts are from 2:30 p.m. to 5 p.m. on the final settlement day.
(b) Where a clearing member has open positions for the contract spot month after the market closes on the last trading day, the TAIFEX shall, during the business hours on the final settlement day, settle the expired positions at the final settlement price and include the gain (loss) into the intra-day calculation of clearing margins.
(2) Index option contracts
(a) Query of buyer exercise list
(i) The business hours for making query are 2:30 p.m. ~ 5:00 p.m. on the expiration day.
(ii) TAIFEX will post the final settlement price and produce buyer exercise reference list at 2:30 p.m.
(iii) Futures commission merchants may make query of the aforesaid list via computer linkup after it is available until 03:30 p.m. on the same day.
(iv) Futures commission merchants should check the final buyer exercise list via computer linkup after it is available from 03:30 p.m. until 5:00 p.m., print it out and save the file.
(b) Making changes to buyer exercise reference list
(i) The business hours for this operation are 2:30 p.m. ~ 3:30 p.m. on the expiration day.
(ii) Futures commission merchants may carry out the addition to or deletion from the buyer exercise reference list during the aforesaid business hours.
(iii) Futures commission merchants may add to or delete from buyer exercise reference performance list according to customer instructions during the aforesaid business hours.
(c) Query of writer exercise assignment list
(i) The business hours for this operation are 3:30 p.m. ~ 5:00 p.m. on the expiration day.
(ii) TAIFEX will produce a writer exercise assignment list on a random basis at 3:30 p.m.
(iii) Futures commission merchants should check the aforesaid list via computer linkup after it becomes available until 5:00 p.m., print it out and save the file.
(d) Position settlement operation on the expiration date
(i) The business hours for this operation are 3:30 p.m. ~ 5:00 p.m. on the expiration day.
(ii) During the aforesaid period, the TAIFEX will carry out settlement of open positions on expired options by the final settlement price according to the final buyer exercise list, and include the gain (loss) into the intra-day calculation of clearing margins.
(iii) Clearing members may check the balance of their clearing margin account via computer linkup after the TAIFEX finishes the position settlement.
(3) Stock option contracts
(a) Query of buyer exercise list
(i) The business hours for this operation are 2:30 p.m. ~ 5:00 p.m. on the expiration day.
(ii) The TAIFEX shall post the final settlement price and produce a buyer exercise reference list at 2:30 p.m.
(iii) Futures commission merchants may check the aforesaid list via computer linkup after it becomes available until 3:30 p.m.
(iv) Futures commission merchants shall check the final buyer exercise list via computer linkup after it is available from 3:30 p.m. until 5:00 p.m., print it out and save the file.
(b) Making posts or deletions to buyer exercise reference list
(i) The business hours for this operation are 2:30 p.m. ~ 3:30 p.m. on the expiration day.
(ii) Futures commission merchants may add or delete traders information on the buyer exercise reference list during the aforesaid business hours.
(iii) Futures commission merchants may add to or delete from buyer exercise reference list according to trader instructions during the aforesaid business hours.
(c) Query of writer exercise assignment list
(i) The business hours for this operation are 3:30 p.m. ~ 5:00 p.m. on the expiration day.
(ii) TAIFEX shall perform writer exercise assignment and produce a writer exercise assignment list on a random basis at 3:30 p.m.
(iii) Futures commission merchants shall check the writer exercise assignment list via computer linkup after it is available until 5:00 p.m., print it out and save the file
(d) Position settlement operation on the expiration date
(i) The business hours for this operation are 3:30 p.m. ~ 5:00 p.m. on the expiration day.
(ii) During the aforesaid period, the TAIFEX will carry out settlement of open positions on expired options by the price difference between the value of the underlying assets calculated based on the final settlement price, and the exercise value according to the final buyer exercise list, and include the gain/loss from option exercise into the calculation of clearing margins of the same day.
(iii) Clearing members may check the balance of their clearing margin account via computer linkup after the TAIFEX finishes the position settlement.
(4) 10-Year Government Bond Futures Contracts
(a) Opening of the clearing member book-entry bond settlement account
(i) A clearing member shall open a book-entry bond settlement account at the clearing bank designated by the TAIFEX and report the account information to the TAIFEX, for purposes of handling book-entry bond remittance operations.
(b) Calculation of equity for expired positions
(i) The business time for this operation is 12:30 p.m. to 4 p.m. on the last trading day.
(ii) After market closing on the last trading day, the TAIFEX calculates the equity for clearing members' open positions for that delivery month based on the final settlement price. The amount of the gain or loss is included in the intra-day calculation of the clearing margin equity of clearing members.
(iii) Beginning from 12:30 p.m., clearing members shall query the amount of their clearing margin equity by computer operation, and print them out, verify them, and keep them on file.
(c) Futures commission merchants and clearing member transfer and reporting procedures for bond settlement by sellers
(i) The business time for this operation is from 9 a.m. to 3 p.m. on the business day next following the last trading day.
(ii) Futures commission merchants and clearing members shall instruct sellers to transfer the bonds deliverable for settlement into the book-entry bond settlement account of the TAIFEX by 3 p.m. and, after obtaining the itemized statement of the transfer of the bonds for settlement, report to the TAIFEX via computer linkup. If the seller is unable to complete the transfer, the futures commission merchant or clearing member shall instruct it to provide proof of settlement capability.
(d) Futures commission merchant and clearing member payment procedures for price settlement by buyers
(i) The business time for this operation is from 9 a.m. to 3 p.m. on the business day next following the last trading day.
(ii) Futures commission merchants and clearing members shall instruct buyers to remit the price into their segregated customer margin account by 3 p.m. based on the settlement prices publicly announced by the TAIFEX for deliverable bonds of each series. If the buyer is unable to complete payment of the price, the futures commission merchant or clearing member shall instruct it to provide proof of payment capability.
(e) Futures commission merchant and clearing member account reporting procedures for bonds receivable by buyers for settlement
(i) The business time for this operation is from 8:45 a.m. to 4 p.m. on the business day next following the last trading day.
(ii) Futures commission merchants and clearing members shall report to the TAIFEX via computer linkup by 4 p.m. the book-entry bond accounts for bonds receivable by buyers for settlement.
(f) Futures commission merchant and clearing member remittance and reporting procedures for handling of bond settlement for sellers who have provided proof of settlement capability
(i) The business time for this operation is from 9 a.m. to 1:30 p.m. on the second business day following the last trading day.
(ii) Futures commission merchants and clearing members shall notify sellers who have provided proof of settlement capability to transfer the bonds for settlement into the TAIFEX book-entry bond settlement account by 1:30 p.m., and obtain itemized statements of transfer of the bonds for settlement from the sellers. If a seller is unable to complete the transfer, the futures commission merchant or clearing member shall instruct it to remit the price, based upon the cash settlement price publicly announced by the TAIFEX, into its segregated customer margin account. The method for determining the cash settlement price shall be handled as provided in (k).
(iii) Futures commission merchants and clearing members shall report itemized statements of transfers of bonds for settlement by sellers to the TAIFEX via computer linkup by 1:30 p.m.
(g) Futures commission merchant and clearing member procedures for handling of settlement price payment for buyers who have provided proof of settlement capability
(i) The business time for this operation is from 9 a.m. to 1:30 p.m. the second business day following the last trading day.
(ii) Futures commission merchants and clearing members shall instruct buyers who have provided proof of settlement capability to remit the payment for settlement into their segregated customer margin accounts with the futures commission merchant or clearing member by 1:30 p.m., based upon the settlement prices publicly announced by the TAIFEX for the individual bond series.
(h) Assignment of receivable bonds for settlement and calculation of settlement price
(i) The business time for this operation is from 2 p.m. to 4 p.m. on the second business day following the last trading day.
(ii) From 2 p.m. the TAIFEX shall produce a list of bonds deliverable by sellers for settlement based upon the quantity of bonds for settlement transferred by sellers, and then by a random method produce a list assigning bonds to buyers for settlement, and calculate the settlement prices, and produce lists of settlement prices payable by buyers and receivable by sellers.
(iii) Futures commission merchants and clearing members shall, from the time that the list of bonds deliverable for settlement by sellers, the list of bonds assigned to buyers for settlement, and the list of settlement prices payable by buyers and the list of settlement prices receivable by sellers have been produced until 4 p.m., query the lists via computer linkup, and print them out, verify them, and keep them on file.
(i) Settlement price collection/payment
(i) The business time for this operation is from 2:30 p.m. to 4 p.m. on the second business day following the last trading day.
(ii) Futures commission merchants and clearing members shall deposit prices payable for settlement into the segregated clearing margin account designated by the TAIFEX by 2:30 p.m.
(iii) Beginning from 2:30 p.m., the TAIFEX shall carry out collection/payment procedures for settlement prices payable by buyers and receivable by sellers, and include it in calculating the amount of clearing margin equity of clearing members.
(iv) Beginning from 2:30 p.m., clearing members shall query the amount of their clearing margin equity via computer linkup, and print it out, verify it, and save the file.
(j) Transfer of bonds receivable by buyers for settlement
(i) The business time for this operation is from 2:30 p.m. on the second business day following the last trading day.
(ii) After completing the collection/payment of settlement prices, the TAIFEX shall produce a transfer list for bonds receivable by buyers for settlement, and notify the clearing banks to transfer the bonds for settlement from the TAIFEX's book-entry bond settlement account into the sellers' book-entry bond accounts.
(iii) Where a buyer has not paid the settlement price, the clearing member shall report its book-entry bond settlement account for handling bond settlement. The TAIFEX will then notify the clearing bank to transfer the bonds for settlement from the TAIFEX book-entry bond settlement account into the book-entry bond settlement account reported by the clearing member.
(iv) After the transfer lists of bonds receivable by buyers for settlement have been produced, futures commission merchants and clearing members shall query the lists via computer linkup, and print them out, verify them, and keep them on file.
(k) Handling of insufficient bonds for settlement
(i) The business time for this operation is from 2 p.m. to 4 p.m. on the second business day following the last trading day.
(ii) When the TAIFEX encounters insufficient bonds for settlement, beginning from 2 p.m. it shall calculate cash settlement prices based upon the amount of the insufficiency, and produce lists of cash settlement prices receivable by buyers and payable by sellers.
(iii) By 2:30 p.m., futures commission merchants and clearing members shall deposit cash settlement prices payable into the segregated clearing margin account designated by the TAIFEX.
(iv) Beginning from 2:30 p.m., the TAIFEX shall carry out procedures for collection/payment of cash settlement prices by clearing members, and include it in calculating the amount of clearing margin equity of clearing members.
(v) Beginning from 2:30 p.m., clearing members shall query the amount of their clearing margin equity via computer linkup, and print it out, verify it, and save the file.
(vi) The method for determining the cash settlement price is as follows:
i. After comparison of the theoretical futures price calculated for the last trading day's cheapest-to-deliver bond and the final settlement price for 10-year government bond futures contracts, the cash settlement price shall be the higher of the two.
ii. TAIFEX shall separately adopt methods for determining the cheapest-to-deliver bond and calculating its theoretical futures price.
(l) Procedures for futures commission merchants reporting default by traders
Where any of the following circumstances applies to a trader, the futures commission merchant shall report to the TAIFEX in accordance with the TAIFEX Guidelines for Futures Commission Merchants in Reporting Default by Principals:
(i) Failure by a buyer to pay the settlement price;
(ii) Inability by a seller to complete delivery of the securities for settlement, and furthermore failure to pay the cash settlement price in accordance with regulations.
(5) 30-Day Interest Rate Futures Contracts
(i) The business hour for this operation is 12:30 p.m. on the final settlement day.
(ii) Where a clearing member has open positions for the spot month after the market closes on the last trading day, the TAIFEX shall, during the business hours on the final settlement day, settle the expired positions at the final settlement price and include the gain (loss) into the intra-day calculation of clearing margins.
(6) Gold Futures Contracts and New Taiwan Dollar-denominated Gold Futures Contracts
(i) The business hour for this operation is 9:30 a.m. on the final settlement day.
(ii) Where a clearing member has open positions for the spot month after the market closes on the last trading day, the TAIFEX shall, during the business hours on the final settlement day, settle the expired positions at the final settlement price and include the gain (loss) into the intra-day calculation of clearing margins.
(7) Gold Option Contracts
(a) Query of buyer exercise list
(i) The business hours for this operation are 9:30 a.m. ~ 4:00 p.m. on the expiration day.
(ii) The TAIFEX shall post the final settlement price and produce a buyer exercise reference list at 9:30 a.m.
(iii) Futures commission merchants may check the aforesaid list via computer linkup after it becomes available until 11:00 a.m.
(iv) Futures commission merchants shall check the final buyer exercise list via computer linkup after it is available from 11:00 a.m. until 4:00 p.m., print it out and save the file.
(b) Making posts or deletions to buyer exercise reference list
(i) The business hours for this operation are 9:30 a.m. ~ 11:00 a.m. on the expiration day.
(ii) Futures commission merchants may add or delete traders information on the buyer exercise reference list during the aforesaid business hours.
(iii) Futures commission merchants may add to or delete from buyer exercise reference list according to trader instructions during the aforesaid business hours.
(c) Query of writer exercise assignment list
(i) The business hours for this operation are 11:00 a.m. ~ 4:00 p.m. on the expiration day.
(ii) TAIFEX shall perform writer exercise assignment and produce a writer exercise assignment list on a random basis at 11:00 a.m.
(iii) Futures commission merchants shall check the writer exercise assignment list via computer linkup after it is available until 4:00 p.m., print it out and save the file.
(d) Position settlement operation on the expiration date
(i) The business hours for this operation are 11:00 a.m. ~ 11:30 a.m. on the expiration day.
(ii) During the aforesaid period, the TAIFEX will carry out settlement of open positions on expired options based on the final settlement price according to the final buyer exercise list, and include the gain/loss from option exercise into the calculation of clearing margins of the same day.
(iii) Clearing members may check the balance of their clearing margin account via computer linkup after the TAIFEX finishes the position settlement.
(8) Single stock futures contracts
(a) The business hours for this operation are from 2:30 p.m. to 5 p.m. on the final settlement day.
(b) If after market close on the last trading day a clearing member has open contract positions for that delivery month, the TAIFEX conducts settlement for expired positions during business hours on the final settlement day using the final settlement price to calculate the value of the underlying assets, with calculation of the amount of gains or losses during the interim included in the intraday clearing margin for that day. |
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