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Article NO. Content

Title:

Taiwan Stock Exchange Corporation Operation Directions Governing Liquidity Providers of Exchange Traded Notes  CH

Amended Date: 2018.12.24 
Categories: Securities Exchange Market > Trading > Other Securities
8      Operating principles for a liquidity provider providing liquidity during the trading period of the TWSE's centralized securities exchange market:
  1. The price quoted by a liquidity provider shall include a bid price and an ask price, and the period of validity may not be "canceled if the trade is not immediately satisfied" or "canceled if not all trades are immediately satisfied."
  2. A liquidity provider shall provide quotes at least once every 5 minutes, and such quotes shall remain posted for at least 30 seconds, provided that this 30-second restriction shall not apply when quotes are updated due to fluctuations in the indicative value.
  3. A liquidity provider shall prescribe the highest bid price and the lowest ask price in accordance with the following:
    1. If the components of the ETN's underlying index are domestic, the best bid/ask spread shall not be more than 1%. The calculation formula for the range of best bid/ask spread is (the best bid/ask spread) = [(lowest unexecuted ask quote) - (highest unexecuted bid quote)]/( lowest unexecuted ask quote).
    2. If one or more component of the ETN's underlying index is foreign, the best bid/ask spread shall not be more than 3%. The calculation formula for the range of best bid/ask spread is (the best bid/ask spread) = [(lowest unexecuted ask quote) - (highest unexecuted bid quote)]/( lowest unexecuted ask quote).
  4. Every single bid/ ask quote for ETNs shall be of more than 100 trading units or of a total amount more than NT$1,000,000. However, this restriction will not apply under any of the following circumstances, provided that the quote may not be of less than 10 trading units:
    1. If the underlying index consist of foreign components and during the trading hours of the TWSE's centralized securities exchange market, the foreign trading market for the index components weighing 30% or more is closed.
    2. 5 minutes prior to market close.
  5. The premium/discount spread between the closing price and index value announced after market close of that ETN on the same day shall conform to the following:
    1. If the components of the ETN's underlying index are domestic, the daily premium/discount spread shall not be more than 3%. The calculation formula for the range of premium/discount spread is (closing price - index value announced after market close)/ (index value announced after market close).
    2. If one or more component of the ETN's underlying index is foreign, the best bid/ask spread shall not be more than 6%. The calculation formula for the range of best bid/ask spread is (the best bid/ask spread) = [(lowest unexecuted ask quote) - (highest unexecuted bid quote)]/( lowest unexecuted ask quote).
  6. If an ETN is a stock placed under disposition measures, liquidity provider needs not to provide quotes.