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Taiwan Stock Exchange Corporation Regulations Governing Trading of Call (Put) Warrants(2002.12.05) |
| Date： |
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Article 7
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Daily fluctuation limits for call (put) warrants shall be calculated in the following manner based upon the class of the underlying securities:
1. Limits for call (put) warrants on individual stocks shall be calculated using one of the following two formulas:
(1) For call warrants
Limit-up price = Previous day's closing price + (Limit-up price of the underlying security for the given day –Auction reference price at market opening for the underlying security for the given day) x Exercise ratio
Limit-down price = Previous day's closing price - (Auction reference price at market opening for the underlying security for the given day - Limit-down price of the underlying security for the given day) x Exercise ratio
(2) For put warrants
Limit-up price = Previous day's closing price + (Auction reference price at market opening for the underlying security for the given day – Limit-down price of the underlying security for the given day) x Exercise ratio
Limit-down price = Previous day's closing price – (Limit-up price of the underlying security for the given day – Auction reference price at market opening for the underlying security for the given day) x Exercise ratio
2. Fluctuation limits for call (put) basket warrants shall be calculated for each underlying security within the basket using the following formulas: (1) (Limit-up price of each underlying security in the basket for the given day –Auction reference price at market opening for each underlying security for the given day) x Sum of exercise ratios for each underlying security in the basket; and (2) (Auction reference price at market opening for each underlying security for the given day –Limit-down price o
f each underlying security for the given day) x Sum of the exercise ratios for each underlying security in the basket. The larger of these two figures shall be plugged into the formulas in the preceding sub-paragraph to calculate the daily fluctuation limits.
The "previous day's closing prices" referred to in the preceding paragraph shall be determined by the following means, in the following order of priority
1. Final transaction price of the previous day.
2. Where there is no closing price from the previous day's trading but the highest (or lowest) posted price reached the limit-up (or limit-down) price, the price may be calculated on the basis of such posted price.
3. The most recent transaction price.
4. For the initial listing of call (put) warrants, an initial listing reference price is used. The initial listing reference price is calculated by one of the following formulas:
(1) For call warrants
Initial listing reference price = Issue price of the call warrant x (Closing price of the underlying security on the day prior to listing of the call warrant ÷ Closing price of the underlying security on the day prior to issue of the call warrant) x (exercise ratio for the call warrant on the day of its listing ÷ Exercise ratio for the call warrant on the day of its issue).
(2) For put warrants
Initial listing reference price = Issue price of the put warrant x (Closing price of the underlying security on the day prior to issue of the put warrant ÷ Closing price of the underlying security on the day prior to listing of the put warrant) x (Exercise ratio for the put warrant on the day of its listing ÷ Exercise ratio for the put warrant on the day of its issue).
The "auction reference price at market opening for the underlying securities for the given day" as referred to in paragraph 1 shall be determined as follows:
1. If it is not the commencement date of ex-dividend or ex-rights trading, the auction reference price at market opening shall be the closing price of the underlying security on the previous trading day.
2. If it is the commencement date of ex-dividend trading, the auction reference price at market opening shall be the closing price of the underlying security on the previous trading day minus the value of dividends and bonuses.
3. If it is the commencement date of ex-rights trading, the auction reference price at market opening shall be determined according to the following conditions:
(1) Where a listed company issues stock dividends or new shares (including stock dividends paid out of undistributed employee bonuses) out of earnings or capital reserves, the auction reference price at market opening shall be the closing price of the underlying security on the previous trading day minus the rights value.
(2) Where a listed company carries out a cash capital increase through a new share issue, the auction reference price at market opening shall be the closing price of the underlying security on the previous trading day.
(3) Where a listed company issues stock dividends or new shares (including stock dividends paid out of undistributed employee bonuses) out of earnings or capital reserves, and at the same time also carries out a cash capital increase through a new share issue, the auction reference price at market opening shall be the closing price of the underlying security on the previous trading day minus the rights value of the stock dividends or new shares (including stock dividends paid out of undistributed emplo
yee bonuses) paid out of earnings or capital reserves.
The closing price of the underlying security on the previous trading day as referred to in the preceding paragraph shall be determined according to the provisions of paragraph 2 of Article 58-1 of the Operating Rules of the Taiwan Stock Exchange Corporation.
The limit-up and limit-down prices referred to in paragraph 1 shall without exception be calculated in positive numbers. In the event of any negative number, the calculation shall be based on the minimum tick size as set forth in Article 6.
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Article 14
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When a principal wishes to exercise a warrant right, it shall submit an application via its securities firm to the TSE. After the TSE accepts the application, it will request that the issuer honor the warrant. [In such cases], or where, upon expiration of a call (put) warrant that is to be settled in cash, the TSE has calculated and deemed that there is exercise value in the warrant and has notified the securities firm to exercise the warrant on behalf of the principal, fees shall be collected according
to the provisions of the preceding article. Irrespective of whether the warrant will be exercised by delivery of shares or cash settlement, the following formula shall apply: Strike price of the call (put) warrant x Number of underlying shares.
When an issuer of call (put) warrants buys back its own warrants on the centralized securities exchange market, it shall deliver such warrants in full to the centralized custody account which it previously notified the TSE of in writing. The TSE will not act on the issuer's behalf to request the honoring of warrants held in such an account.
The term "exercise value" in paragraph 1 means that there is a positive difference between the strike price of the underlying stocks of a call (put) warrant and the settlement price of the call (put) warrant at its expiration date, as calculated under Article 10, paragraph 1, subparagraph 5, sub-subparagraph 15 of the Taiwan Stock Exchange Corporation Criteria Governing Review of Call (Put) Warrant Listings.
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