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6
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The liquidity contract shall at least prescribe the following matters with respect to the responsibilities and obligations of a liquidity provider (the standards below shall all include the number of matches, trading price, and order price of unexecuted portions, as calculated for the period from commencement of trading to a certain period of time prior to close of trading):
- The calculation formula for the best bid/ask spread of the ETF beneficial certificates as disclosed in the TWSE centralized securities exchange market is as follows:
(the best bid/ask spread) = [(lowest unexecuted ask quote) - (highest unexecuted bid quote)]/( lowest unexecuted ask quote)
- The minimum number of participations by a liquidity provider in matching of the ETF beneficial certificates. The number of participations in matching means the designated minimum number of participations in matches in the TWSE's trading system in a buy or sell order in which the price is within a specified range above the previous lowest unexecuted ask quote, within a specified range below the previous highest unexecuted bid quote, or within a specified range above and below the execution price. Minimum numbers shall be set for participations in matches of bid and ask quotes calculated as specified above.
- The minimum amount of buy/sell quotes that a liquidity provider shall make during a suspension of matching when there occurs a circumstance specified in paragraphs 4 and 5 of Article 58-3 of the TWSE Operating Rules with respect to the ETF beneficial certificates beneficial certificates during the trading session.
- Except when the price of the ETF beneficial certificates goes limit-up or limit-down, the disclosure of market trading prices is limited only by the duration of time of bid or ask prices; however, the aforesaid calculation of time may be excluded when matching time must be postponed due to a circumstance specified in paragraphs 4 and 5 of Article 58-3 of the TWSE Operating Rules.
- Agreement that the TWSE provide to the SITE, the futures trust enterprise, or the general agent for offshore funds all the buy/sell quotes and itemized statements of trading of the ETF beneficial certificates done through the liquidity provider's segregated ETF account.
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6-1
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If any of the following circumstances in the disclosure of market trading prices has existed in respect of any ETF beneficial certificates for 3 consecutive months, the TWSE will notify the SITE or futures trust enterprise issuing the ETF beneficial certificates to take corrective measures within 2 months commencing from the following month after the notification is made. The TWSE will issue a warning letter if the SITE or futures trust enterprise fails to take corrective measures within the time limit, and continued failure to take corrective measures within 2 months from the following month shall be deemed a breach of the listing contract, and the TWSE will impose a breach penalty in the amount of NT$30,000 on the SITE or futures trust enterprise, with further investigation conducted once every 3 months and consecutive penalties imposed until such time as correction is made.
With respect to the beneficial certificates of domestic component securities ETFs, beneficial certificates of leveraged or inverse ETFs where the underlying index component securities are all domestic securities, and the beneficial certificates of the underlying ETFs of such ETFs, each of the following circumstances may not occur more than twice per month in the disclosure of market trading prices from commencement of trading to close of trading (including the disclosed trading prices as calculated within a certain period of time before close of trading):
- With the exception of the disclosure of limit-up or limit-down prices, in the disclosure of market trading prices, only either a posted bid price or a posted ask price is available, and the circumstance has continued for more than 3 minutes.
- The best bid-ask spread is higher than 1 percent, and the circumstance has continued for more than 10 minutes.
- When the TWSE encounters any circumstance under paragraphs 4 and 5 of Article 58-3 of the TWSE Operating Rules and has to postpone matching for a period of time, such postponement may be excluded from the calculation of the time periods set out above.
With respect to the beneficial certificates of a foreign component securities ETF and beneficial certificates of an underlying ETF of such ETF, beneficial certificates of a futures ETF, beneficial certificates of a leveraged or inverse ETF where the underlying index component securities include one ore more foreign securities and beneficial certificates of an underlying ETF of such ETF, each of the following circumstances may not occur more than six times in total per month in the disclosure of market trading prices from commencement of trading to close of trading (including the disclosed trading prices as calculated within a certain period of time before close of trading:
- With the exception of the disclosure of limit-up or limit-down prices, in the disclosure of market trading prices, only either a posted bid price or a posted ask price is available, and the circumstance has continued for more than 10 minutes.
- The best bid-ask spread is higher than 3 percent, and the circumstance has continued for more than 10 minutes.
- When the TWSE encounters any circumstance under paragraphs 4 and 5 of Article 58-3 of the TWSE Operating Rules and has to postpone the matching for a period of time, such postponement may be excluded from the counting of the number of occurrences set forth above.
- In the case of the underlying index component securities of a foreign component securities ETF, if the foreign securities market is closed on a given day, the disclosure of market trading prices of the beneficial certificates of such ETF and the beneficial certificates of its underlying EFT for that given day shall be excluded from the counting of the number of occurrences set forth above.
- In the case of the underlying index component of a futures ETF, if the exchange market of the foreign futures contracts concerned is closed on a given day, the disclosure of market trading prices for that given day shall be excluded from the counting of the number of occurrences set forth above.
- In the case of the underlying index component securities of a leveraged or inverse ETF, if the foreign securities market is closed on a given day, the disclosure of market trading prices of the beneficial certificates of such ETF and the beneficial certificates of its underlying EFT for that given day shall be excluded from the counting of the number of occurrences set forth above.
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