1.Change of Set50 Index Futures specification to Mini Set 50 Index Futures (New Trading System)

Transcription

1 1.Change of Set50 Index Futures specification to Mini Set 50 Index Futures (New Trading System) 1

2 * Mini SET50 index futures Topic Current New Underlying Asset SET50 Index same Price Quotation Index with two decimal points same Contract Multiplier Baht1,000 per 1 point Baht200 per 1 point Contract Month 3 nearest consecutive months plus next 3 quarterly months same

3 * Mini SET50 index futures Topic Current New Trading Session Pre-open : 09:15-09:45 Morning : 09:45-12:30 Pre-open : 14:00-14:30 Afternoon : 14:30-16:55 Pre-open : Remains the same Morning : Remains the same Pre-open : 13:45-14:15 Afternoon : 14:15-16:55 Minimum Price 0.10 point (or Baht100 per contract) 0.10 point (or Baht20 per contract) Fluctuations Price Limit +/- 30% of previous day same Settlement Price Settlement Method Cash Settlement same

4 * Mini SET50 index futures Last Trading Day Topic Current New Final Settlement Price The business day immediately preceding the last business day of the contract month. Time at which trading ceases on Last Trading Day is 16:30 hrs. The final settlement price shall be the numerical value of the SET50 Index, rounded to the nearest two decimal points as determined by the exchange, and shall be the average value of the SET50 Index taken during last 15 minutes and the closing index value, after deleting the three highest and three lowest values. Same Same

5 * Mini SET50 index futures Topic Current New Position Limit Large Position Report The net position limit of SET50 Index Futures and other contracts which have the SET50 Index as the underlying asset should not be greater than 20,000 contracts for each contract series or every contract series combined On particular contract month or net 500 contracts in any one month or all contract month combined The net position limit of SET50 Index Futures and other contracts which have the SET50 Index as the underlying asset should not be greater than 100,000 contracts for each contract series or every contract series combined On particular contract month or net 2,500 contracts in any one month or all contract month combined

6 SET50 Index Futures Marginal Requirement on April 30, 2014 ( Mini SET50 Futures marginal requirement will be 5 times smaller effective from May 6, 2014) Initial Margin (IM) (Outright) 57,000 11,400 Maintenance Margin (MM) Force Close Level (FC) 39,900 7,980 17,100 3,420 Initial Margin (IM) Maintenance Margin (MM) Force Close Level (FC) (Spread) 14,250 2,850 9,975 1,995 4,

7 Marginal Requirement (effective from May 6, 2014) Underlying Margin Requirement IM MM FM SET50 Index Outright 11,400 7,980 3,420 Spread 2,850 1,

8 Commission Fee (Effective from May 6, 2014) Commission calculation has been counted from the first contract sequentially in a number of contracts per day. Classifying each trading order execution channel to the following; Fee includes all charges, commission, trading fee and expenses related to Clearing Fee No. of contract Contract No.1-25 Contract No Contract No Contract No.501 onward Fee Charged (Marketing) Baht87 Baht67 Baht47 Baht37 Fee Charged (Internet) Baht79 Baht61 Baht43 Baht34 Notice : Fee charged above has not included VAT7% 8

9 Mini SET50 futures trading system

10 2.Trading Session (Effective from May 6,2014) 10

11 Trading Session (Effective from May 6, 2014) Afternoon session will be opened 15 Mins. earlier Trading Hour Morning Session Pre-open Morning Session Afternoon Session Pre-open * Afternoon Session * Night Session Pre-open Night Session

12 3. Order Type and Validity (effective from May 6, 2014) 12

13 Order Type and Validity (effective from May 6, 2014) 13

14 Order Condition

15 Order Condition

16 Order Condition Auction will be last until the end of afternoon session Auto-M order entry at pre-open for the opening price

17 4.Trade report (Block Trade) (Marketing Officer only) 17

18 Trade report

19 Trade report (Block Trade) ด รายงานการซ อขาย Block trade ได ท More Trade Report รายการ Summary ท ม การซ อขาย Block trade ในตลาด TFEX

20 Change of Trade Report 20

21 Block Trading Transaction Futures Contract SET50 Index Futures and SET50 Index Options Sector Futures Single Stock Futures (SSF) SSF with the following underlying assets ADVANC,AOT,BANPU,BBL,BGH,BH,BLA,DTAC,INTUCH,KBANK,KK,PTT,P TTEP,PTTGC,RATCH,ROBINS,SCB,SCC,TOP,และ TUF SSF with other underlying assets 50 Baht Gold Futures 10 Baht Gold Futures Silver Futures Brent Crude Oil Futures 5 Year Government Bond Futures and 3M BIBOR Futures Minimum Position 100 contracts 25 contracts 25 contracts 100 contracts 25 contracts Baht/USD Futures 100 contracts 21

22 Block Trading : Minimum Tick Size Futures Contract SET50 Index Futures SET50 Index Options และ Sector Futures Single Stock Futures และ Baht/USD Futures 5 Year Government Bond Futures and 3M BIBOR Futures 50 Baht Gold Futures 10 Baht Gold Futures Silver Futures และ Brent Crude Oil Futures Minimum Price Quotation point of index Baht Baht

23 5. TBF6 Futures will not be included to New Trading System 23