Taipei Exchange

Introduction

• Products:
  • Bond Forward
  • Bond Option)
  • Interest Rate Swap (IRS)
  • Forward Rate Agreement (FRA)

• Basic Contact Terms
  • Bond Forward
    1. Underlying Bonds：1+ Years Taiwan Government Bonds
    2. Tenor：1、2、3 and 4 weeks
    3. Standard Amount：NTD 50 million
    4. Quote：Yield Rate
    5. Settlement Method：Bond / Cash
  • Bond Option
    1. Underlying Bonds：1+ Years Taiwan Government Bonds
    2. Tenor：1、2、3 and 4 weeks
    3. Option Type：European
    4. Standard Amount：NTD 100 million
    5. Quote：Yield Rate
    6. Settlement Method：Bond / Cash
  • IRS
    1. Notional Amount：NTD 300 million & 500 million
    2. Tenor：1, 2, 3, 4, 5, 7, 10, 15 & 20 Years
    3. Effective Date：T+2 (Taipei)
    4. Calculation Period：3 Months (Taipei)
    5. Payment Date：End Day of Calculation Period
    6. Reset Date：2 Days Before the First Day of Calculation Period
    7. Day Count Fraction：Actual / 365
    8. Business Day Convention： Modified Following Business Day
  • FRA
    1. Notional Amount：NTD 1 billion
    2. Calculation Period：3 Months
    3. Type：1×4、2×5、3×6、6×9 & 9×12
    4. Effective Date：T+2
    5. Reset Date：2 Business Days Before Payment Date
    6. Day Count Fraction：Actual / 365
    7. Business Day Convention：Modified Following Business Day

• Trading Session
  • Bond Forward、Bond Option：09：00~13：30。
  • IRS、FRA：09：00~16：00。
• Uses
  • Dealers：Certificated financial institutions.
  • Non-Dealers：Only limited to complete trades with dealers.
• Counterparties list management
  Counterparties who can only offer quotes to each other while they have signed the ISDA master agreement. Users can also set up quoting groups and a non-quoting list to manage the quoting process.
• Trading Methods
  • Offer quotes on the system
  • Accept quotes on the system
  • Ask inquiries to specific counterparties
• Credit Line Management
  • The system will check the credit line of both sides before a deal is done.
  • Trading manager can assign the limit amount to different user/trader which is calculated by the notional amount of the contracts.