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Article NO. Content

Title:

Taiwan Stock Exchange Corporation Rules Governing Review of Call (Put) Warrant Listings  CH

Amended Date: 2019.05.03 
Categories: Primary Market > Review
Article 12-3     When an issuer applies to issue extendable callable bull contracts and extendable callable bear contracts, it shall, after obtaining approval from the TWSE, conduct such issuance pursuant to Article 7 of the TWSE Procedures for Review of Call (Put) Warrant Listings.
    The issuer shall adjust the strike price or point on the day preceding the extension period, to collect the relevant funding cost for the extension period, and deduct the funding cost already collected for the period from the business day following the original last trading day to the original maturity date, for the purpose of ensuring that the strike value before the extension plus the aforementioned deducted funding cost equals the strike value after the extension plus the funding cost for the extension period. If the underlying is an index, the settlement basis shall be adjusted based on the return rate of the underlying total return index on the day preceding the extension period, through the calculation of "closing index of the underlying index on the business day preceding the date of warrant issuance × return rate." The aforementioned return rate shall be calculated as "underlying total return index on the day preceding the extension period ÷ underlying total return index on the business day preceding the date of warrant issuance." In the event of multiple extensions of periods of validity, for the aforementioned business day preceding the date of warrant issuance, the day preceding the previous extension period shall be substituted.
    If the underlying is a security or index, the strike price or point shall be adjusted based on the following methods; the knock-out price or point shall be adjusted according to the fluctuations of the strike price or index before and after the extension:
  1. Strike price of callable bull contracts after extension = strike price before extension × (1 - funding cost annual rate before extension × number of days from original last trading day until original maturity date ÷ 365) ÷ (1 - funding cost annual rate after extension × number of days in the extension period÷365 ).
  2. Strike price of callable bear contracts after extension = strike price before extension × (1 + funding cost annual rate before extension × number of days from original last trading day until original maturity date ÷ 365) ÷ (1 + funding cost annual rate after extension × number of days in the extension period ÷ 365 ).
  3. Strike point of callable bull contracts after extension = [strike point before extension × (1 - funding cost annual rate before extension × number of days from original last trading day until original maturity date ÷ 365) + closing index of underlying index on the day preceding the extension period - index after adjustment of settlement basis] ÷ (1 - funding cost annual rate after extension × number of days in the extension period ÷ 365 ).
  4. Strike point of callable bear contracts after extension = [strike point before extension × (1 + funding cost annual rate before extension × number of days from original last trading day until original maturity date ÷ 365) + closing index of underlying index on the day preceding the extension period - index after adjustment of settlement basis] ÷ (1 + funding cost annual rate after extension × number of days in the extension period ÷ 365 ).