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Taiwan Stock Exchange Corporation Rules Governing Trading of Call (Put) Warrants(2010.08.06) |
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Article 4-1
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Where the call (put) warrants for which the underlying security is a domestic single stock are subject by law to maximum limits on the ratio of investment by foreigner nationals and overseas Chinese, the exercise of such call (put) warrants invested by foreigner nationals or overseas Chinese shall be limited to cash settlement. The same shall apply where any one of the underlying securities of basket call (put) warrants are subject to the above-mentioned legal restrictions.
The exercise of index call (put) warrants, of call (put) warrants invested in by a mainland area investor, and of call (put) warrants for which the underlyings are foreign securities, is limited to cash settlement.
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Article 7
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Daily fluctuation limits on call (put) warrants shall be calculated in the following manner based upon the class of the underlying securities:
1. Limits on call (put) warrants for which the underlying is a domestic single stock or an exchange-traded securities investment trust fund announced by the TWSE shall be calculated as follows:
(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) × 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) × 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) × 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) × Exercise ratio
2. Fluctuation limits on 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) × 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 of each underlying security for the given day) × 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.
3. Limits on index call (put) warrants for which the underlying is an index as announced by the TWSE shall be calculated using one of the following two formulas:
(1) Limit-up price for call (put) warrants = Previous day's closing price ＋ (Closing index of the underlying index on the previous day × corresponding monetary value per index point × multiplier × 7%).
(2) Limit-down price for call (put) warrants ＝ Previous day's closing price － (Closing index of the underlying index on the previous day × corresponding monetary value per index point × multiplier × 7%).
4. No price fluctuation limit is imposed on call (put) warrants for which the underlying is an exchange-traded fund with foreign component securities, or an offshore exchange-traded fund, or a foreign security, or a foreign index.
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 call (put) warrants for which the underlying asset is a domestic single stock, or an exchange-traded fund (ETF) or index as announced by the TWSE, the reference price on the first day of exchange listing is calculated as follows:
(1) For non-index call warrants
Reference price on the first day of listing = Issue price of the call warrant x (Auction reference price at market opening for the underlying security on the day of listing of the call warrants ÷ Auction reference price at market opening for the underlying security on the day of issue of the call warrants) × (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 non-index put warrants
Reference price on the first day of listing = Issue price of the put warrant x (Auction reference price at market opening for the underlying security on the day of issue of the put warrants ÷ Auction reference price at market opening for the underlying security on the day of listing of the put warrants) × (Exercise ratio for the put warrant on the day of its issue ÷ Exercise ratio for the put warrant on the day of its listing).
(3) Reference price for an index call warrants on the first day of listing ＝ Call warrant issue price × (Closing index of the underlying index on the day before the call warrants are listed ÷ Closing index of the underlying index on the day before the call warrants were issued) × (Multiplier on the listing date of the call warrants ÷ Multiplier on the issuance date of the call warrants).
(4) Reference price for an index put warrants on the first day of listing ＝ Put warrant issue price × (Closing index of the underlying index on the day before the put warrants were issued ÷ Closing index of the underlying index on the day before the put warrants are listed) × (Multiplier on the issuance date of the put warrants ÷ Multiplier on the listing date of the put warrants).
5. For a call (put) warrant for which the underlying is a foreign security or a foreign index, its reference price on the first day of exchange listing is the issue price.
The "auction reference price at market opening for the underlying securities for the given day" as referred to in paragraphs 1 and 2 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 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 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 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 Article 58-1, paragraph 2 of the TWSE Operating Rules.
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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