June2003.pptVIP

TSEC Taiwan 50 Index Futures June 2003 Background TAIFEX Products at a Glance Contract Specifications Underlying: the TSEC Taiwan 50 Index Abbreviation ：Taiwan 50 Futures Ticker symbol：T5F Trading hours：8：45 AM～1：45PM Taiwan time on trading days of Taiwan Stock Exchange Contract size：NT$500 × Index Taiwan 50 Index Futures Contract Specifications Delivery months: Five delivery months, including spot month, the next calendar month plus next three quarter months of the March, June, September, and December cycle. Daily price limit：±7% of?previous days settlement price. Last trading day：The third Wednesday of the delivery month. Final settlement day：The first business day following the last trading day. Settlement：On net cash basis. Contract Multiplier－ 500 Contract size＝TSEC Taiwan 50 Futures Index × NT$500 The medium contract size accommodates the features of the index and encourages participation of institutional investors by meeting their needs Establishing market segregation from TAIEX futures reduces crowding out between the two products, while taking into account both the needs of institutional and individual investors Reducing trading cost Larger contract size (than TAIEX future) is more in tune with international trend Contract Multiplier－ 500 In reference to international practice and based on contract size, a proper integer multiple is set for the conversion between futures contract and the ETF to facilitate hedging, arbitrage and regular trading. Position Management Opposite positions of the same delivery month for the same product in the same account are automatically offset. Margin Calculation Margin calculation will be the same as that for stock index futures of TAIFEX, that is risk coefficient is used to estimate the greatest possible variation in the price of underlying to cover single-day index volatility risk. Cash settlement Market Participants Needs of ETF Market for Futures Products Hedging needs—ETF issuing market (creation and redemption)