thailand futures exchangethailand futures · pdf file12 trading registered market maker for...
TRANSCRIPT
AgendaAgenda
1
1) Thai Capital Market Highlights
2) TFEX at a Glance
3) Recent Development
4) Statistic Highlights
5) Product Details
SET50 Futures
SET50 Options
Gold Futures
Single Stock Futures
Interest Rate Futures
Billion Baht
Bn. USD 237
Points
Stock Market Capitalization and IndexStock Market Capitalization and Index
Aug 2010
2009200820072006200520042003200220012000
(End period value)
Source : SETSMART
Unit: Million Baht
Aug 2010
2009200820072006200520042003200220012000
Average daily turnover at SETAverage daily turnover at SET
Source : SETSMART
Source: WFENote: Market Capitalization as of July 31, 2010.
** Share Turnover Velocity is calculated by {Share Turnover (of July 2010)/Market Capitalization (at end of July 2010)}*12
Thai Capital MarketThai Capital Market’’s Presence in ASIAs Presence in ASIA
Share Turnover Velocity**
Unit: Percentage
Market Yield
Unit: Percentage
(% Growth YTD)
Source : Bloomberg
Index Performance of Thai Stock Market Index Performance of Thai Stock Market Compared with Other CountriesCompared with Other Countries
(data as of 31 December 2009 and 31 August 2010)
8
Operates under the Derivatives Act B.E. 2546 (2003) andis under supervision of the Thai Securities and Exchange Commission (SEC).
Licensed to be a central marketplace for derivatives trading whose underlying assets include equities, fixed income instruments, interest rates, foreign currencies, and non-agricultural commodities
Is a wholly owned subsidiary of the Stock Exchange of Thailand (SET)
Started its operation on April 28, 2006 with SET50 Index Futures as the first product.
About TFEXAbout TFEX
9
Paid up capital 100 Million Baht Paid up capital 100 Million Baht
TFEX Ownership StructureTFEX Ownership Structure
The Stock Exchange of Thailand
99.99% 99.99%
Thailand FuturesThailand Futures Exchange PLCExchange PLC Thailand Clearing House Co., LtdThailand Clearing House Co., Ltd.
10
Trading in TFEX (1)Trading in TFEX (1)
TRADINGTRADING
Reliable electronic integrated trading & clearing platforms with proven state-of-the-art technologydeveloped by OMX Technology, successfully implemented in 26 countries worldwide
Trading could be easily done through 41 leadingThai & international houses as TFEX brokerage
members.
Investors could place orders directly with TFEX member or through the member’s internet services.
TFEX allows its broker members offering direct market access (DMA) to their clients. DMA permits investors to connect their trading applications with
a broker’s front-end system, thus enabling a client’s
order to be routed automatically through the broker and on to the Exchange without being handled manually
Integrated Trading & Clearing PlatformsIntegrated Trading & Clearing Platforms
11
Buying Broker Selling Broker
Buying Client Selling Client
Clearing Member (Buying Broker)
Clearing Member (Selling Broker)
12
TRADINGTRADING
Registered Market Maker for options and futures products are appointed to provide liquidity and ensure the confidence of investors.
There are no trading restrictions on foreign investors in TFEX, nor is there any necessity for special or qualified foreign institutional investor’s accounts.
To ease foreign investors’ trading in the Thai futures market, TFEX allows these investors to use an omnibus account which is treated as a regular account, except for margin calculation, which is done on a gross basis.
Capital gain from trading in TFEX for retail investors aretax exempted. Foreign institution investors are subject to 15% withholding tax on capital gains made from tradingin TFEX. Foreign investors whose home countries maintain double taxation agreements with the Kingdom of Thailand are subject to 10% withholding tax.
Trading in TFEX (2)Trading in TFEX (2)
13
TFEXTFEX-- ClearingClearing
All contracts traded in TFEX are settled and cleared by
Thailand Clearing House (TCH), one of the subsidiaries
of the SET.
Rigorous risk management tools and financial
monitoring program have been put in place to ensure
the integrity of clearing system.
The margin calculation is based on the OMX Risk
Evaluation System (RIVA), which employs the concept
of portfolio margining.
CLEARINGCLEARING
Member Member ContingentContingent
LiabilityLiability
Member Member ClearingClearing
FundFund
Safeguard of the Clearing House (2)Safeguard of the Clearing House (2)
Recent DevelopmentRecent Development
18
Foreign Currency as Collateral
New product : Mini Gold Futures (Aug, 2010)Mini Gold Futures (Aug, 2010)Interest Rate Futures:Interest Rate Futures:
5Y Gov Bond Futures (Oct 18, 2010)5Y Gov Bond Futures (Oct 18, 2010)
6M THBFIX Futures (Nov, 2010)6M THBFIX Futures (Nov, 2010)
3M BIBOR Futures (Nov, 2010)3M BIBOR Futures (Nov, 2010)
Negotiated Large Trade Facility
Extended Trading Hours
Foreign Currency as CollateralForeign Currency as Collateral
19
Buying Broker
Selling Broker
•• At present, only stocks and cash are allowed.At present, only stocks and cash are allowed.
••By Q4 2010 TCH will allow foreign currencies By Q4 2010 TCH will allow foreign currencies
to be pledged as margin. First phase, only to be pledged as margin. First phase, only
USD and Euro will be allowed. USD and Euro will be allowed.
20
Negotiate Large Trade (Block Trade)Negotiate Large Trade (Block Trade)Facilitates clients’ need to execute large order at a single known price.
Enhances the market efficiency through increased liquidity, improved execution quality and lower market transaction costs for large orders.
Products Minimum volume to be eligible for NLT
SET50 Index Futures 100
SET50 Index Options 500
Single Stock Futures 500
Gold Futures 100
Bond Futures 25
Short-term Interest Rate Futures 25
Extended Trading HoursExtended Trading Hours
21
Market Opens : Morning Session
Night Session Starts
9:15
12:30
Market Closes : Morning Session
14:00
Market Opens : Afternoon Session
Market Closes : Afternoon Session
16:55
Normal Session
Extended Session
Night Session Closes
The night session will be applied to the Futures on global commodity trading. It is expected to implement in mid 2011
23
One of the Fastest Growing Market in AsiaOne of the Fastest Growing Market in Asia
Trading Volumes on TFEX since 2006 has grown 90s percent on averTrading Volumes on TFEX since 2006 has grown 90s percent on average. age.
Statistical HighlightsStatistical Highlights
24
Total Market VolumeTotal Market Volume
Daily Average Trading Volume
1,201
5,219
8,837
12,771
15,941
‐
2,000
4,000
6,000
8,000
10,000
12,000
14,000
16,000
18,000
2006 2007 2008 2009 2010 (As of Aug2010)
Contracts/Day
25
Key Statistics Highlight on 2010Key Statistics Highlight on 2010
Data as of August 2010
Market Trading Volume for each product
26
Top 10 Most Active BrokersTop 10 Most Active Brokers
Broker Ranking
2009 2010 (As of Aug 2010)
RankBroker
Mkt. Share
(%)Broker
Mkt. Share
(%)
1 KIMENG 10.75% GLOBLEX 12.84%
2 PHILLIP 9.80% PHILLIP 8.47%
3 KGI 7.78% KIMENG 8.44%
4 TRNITY 7.46% TRNITY 6.30%
5 GLOBLEX 7.26% KGI 5.62%
6 PHATRA 4.48% PHATRA 4.75%
7 BUALUANG 3.93% ASIA PLUS 4.70%
8 ASIA PLUS 3.48% KTZIMECO 4.37%
9 THANACHART 3.42% COUNTRY 3.27%
10 KT ZIMECO 3.21% BUALUANG 2.92%
SET50 Index Futures : Price Movement SET50 Index Futures : Price Movement
29
SET50 Index Futures is the effective trading and hedging instrument for Thai capital market. The underlying benchmark, SET50 index, is the 50 largest and most liquid stocks listed on the SET.
30
SET50 Index Futures : SET50 Index Futures : Trading VolumeTrading Volume--Volatility Relationship Volatility Relationship
Single Stock FuturesSingle Stock Futures
33
Thomson Reuters 0#TFX-SSF:,ADVANCfxmy, BANPUfxmy,
BAYfxmy, BBLfxmy, ITDfxmy,
KBANKfxmy, KTBfxmy, LHfxmy, PTTfxmy,
PTTEPfxmy, QHfxmy,
SCBfxmy, SCCfxmy, TTAfxmy
Bloombergs SFUT TB<GO>
Price Information
The Underlying StocksThe Underlying Stocks
34
Stock Sector Market Capitalization (M.Baht)
KTB Financials 160,988.39
ITD Property & Construction 14,342.38
LH Property & Construction 61,158.12
QH Property & Construction 20,176.07
TTA Services 17,133.71
PTTEP Resources 475,964.40
PTT Resources 752,352.52
Stock Sector Market Capitalization (M.Baht)
BAY Financials 132,416.33
BANPU Resources 166,309.69
SCC Property & Construction 355,200.00
BBL Financials 281,554.33
KBANK Financials 259,668.73
SCB Financials 323,128.42
ADVANC Technology 273,741.56
Gold FuturesGold Futures
36
10 Baht Gold FuturesGF10my0#GF10:.GF10TVO.FX
Thomson Reuters50 Baht Gold Futures
GFmy0#GF:
.GFTVO.FX
10 Baht Gold FuturesTMDA <COMDTY>
TMDmy <COMDTY>
Bloombergs
50 Baht Gold FuturesTGBA <COMDTY>
TGBmy <COMDTY>
Price Information
Thomson Reuters Thai Baht PM Fixing <THBFIXP=>
Gold Futures: Gold Futures: Hedging and Profitable InstrumentsHedging and Profitable Instruments
38
TFEXTFEX’’ss Gold Futures Gold Futures not only minimizes not only minimizes market risk for the market risk for the bullions holders bullions holders but also enhances the but also enhances the portfolio profitability portfolio profitability for investors. for investors. Trading volume Trading volume grows exponentially grows exponentially within one year after within one year after inaugurating on inaugurating on Feb 2, 2009. Feb 2, 2009.
5 Years Government Bond Futures5 Years Government Bond Futures
39
Thomson Reuters TGB5my 0#TGB5:
.TGB5TVO.FX
Bloombergs TOBA comdty <GO>
Price Information
Launch date Launch date 18 October 201018 October 2010
Basket of Eligible Bonds Basket of Eligible Bonds
40
Criteria for the eligible bondsMust have outstanding value at least 5000 million BahtWithin 4-6 years of maturity on the first day of the calendar month e.g. December 2010 series must have TTM at least 4 years and not more than 6 years on Dec 1, 2010
Announcement of the basket of the eligible bondTFEX will announce the list of the Eligible Bonds before the Bond Futures start trading at least 7 daysThe detail of the eligible bonds will be disseminated to all participants and also published on TFEX website : www.tfex.co.th
Issue Code Maturity date Coupon (%) ISIN Code
LB14DA 03/12/2014 5 TH062303OC00
LB155A 22/05/2015 3.625 TH062303P508
LB157A 07/07/2015 7.2 TH062303P706
LB15DA 11/12/2015 3.125 TH062303PC09
LB167A 27/07/2016 5.4 TH062303Q704
LB16NA 18/11/2016 4.125 TH062303QB09
Issue Code Maturity date Coupon (%) ISIN Code
LB155A 22/05/2015 3.625 TH062303P508
LB157A 07/07/2015 7.2 TH062303P706
LB15DA 11/12/2015 3.125 TH062303PC09
LB167A 27/7/2016 5.4 TH062303Q704
LB16NA 18/11/2016 4.125 TH062303QB09
LB171A 18/01/2017 5.5 TH062303R108
Contract Dec10Contract Dec10 Contract Mar11Contract Mar11
Final Settlement PriceFinal Settlement Price
41
The method of Final Settlement Price calculation :
Obtain Bid-Offer yield quotation from Primary Dealers.
Disregard a highest and lowest Bid and Offer rate and calculate the mid range for each eligible bonds.
Compute the final yield by averaging the mid range yield of eligible bonds (with 4 decimal points).
Convert the final yield to final settlement price (with 4 decimal points).
@ Last Trading Day
Trad
ing
Hou
rsA
fter T
radi
ng H
ours
(afte
r 16.
00)
Quote Price / Yield of Bond each symbol in the Basket Bond Dealers
Example
1. The Basket contains 3 bonds2. 9 PDs quote yield both Bid and Offer 3. Cut off Max. & Min. of Bid of each bond4. Cut off Max. & Min. of Offer of each
bond5. Simple average Bid/Offer of each bond6. Simple average all average Bid/Offer
rate of each bond again to find the Final Yield with 4 decimal points
7. Calculate the Settlement Price with 4 decimal points from the Final Yield
Bond 1 Bond 2 Bond 3Bid 1 3.2800% 3.1900% 3.3300%Bid 2 3.5935% 3.4000% 3.4200%Bid 3 3.6210% 3.4300% 3.5800%Bid 4 3.6800% 3.4710% 3.6500%Bid 5 3.6900% 3.5435% 3.7310%Bid 6 3.8300% 3.5800% 3.7400%Bid 7 3.8700% 3.5900% 3.8400%Bid 8 3.9400% 3.8400% 3.8800%Bid 9 3.9540% 3.9200% 3.9854%
Offer 1 3.0100% 3.0100% 3.0300%Offer 2 3.1400% 3.0800% 3.0900%Offer 3 3.1400% 3.0900% 3.1200%Offer 4 3.1410% 3.1100% 3.1400%Offer 5 3.1500% 3.1100% 3.1750%Offer 6 3.1500% 3.2600% 3.1900%Offer 7 3.1570% 3.3100% 3.2510%Offer 8 3.1572% 3.3400% 3.2770%Offer 9 3.1600% 3.3600% 3.3990%
Average 3.447121% 3.368179% 3.434571% 3.416624%
Final Yield 3.4166%
Final Settlement Price Final Settlement Price -- 5Y Gov Bond Futures5Y Gov Bond Futures
6 Months THBFIX Futures6 Months THBFIX Futures
43
Thomson Reuters
TBF6my0#TBF6:
.TBF6TVO.FX
Bloombergs TXBA comdty <GO>
Price Information
Launch by Launch by Q4 2010 Q4 2010
3 Months BIBOR Futures3 Months BIBOR Futures
44
In the process of the SEC approval
Launch by Launch by Q4 2010 Q4 2010
Short Term Interest RateShort Term Interest Rate
45
6M THBFIX6M THBFIX(Implied Thai Baht Fixing Rate)
3M BIBOR3M BIBOR(Interbank Rate)
Calculates from the quoted rate of Calculates from the quoted rate of the contributorsthe contributors
Calculates from the quoted rate of Calculates from the quoted rate of the contributorsthe contributors
Short Term Interest Rate : MethodologyShort Term Interest Rate : Methodology
46
6M THBFIX6M THBFIX(Implied Thai Baht Fixing Rate)
3M BIBOR3M BIBOR(Interbank Rate)
THBFIX = ({([1+FWD/SPOT]x[1+(SIBOR x DAYS /360)])THBFIX = ({([1+FWD/SPOT]x[1+(SIBOR x DAYS /360)])--1}x 365/DAYS) x1001}x 365/DAYS) x100where where •• FWDFWD = average forward rate of each tenor divided by 100= average forward rate of each tenor divided by 100•• SPOTSPOT = average spot rate= average spot rate•• SIBORSIBOR = US interest rate for the respective tenor divided by 100= US interest rate for the respective tenor divided by 100•• DAYSDAYS = number of days for each tenor= number of days for each tenor
Note: the average rates of FWD and SPOT are calculated from theNote: the average rates of FWD and SPOT are calculated from the quoted rates from the contributors after quoted rates from the contributors after eliminating the top and bottom quartiles.eliminating the top and bottom quartiles.
The simple average rate of the quoted rates after The simple average rate of the quoted rates after eliminating the top and bottom quartiles of the eliminating the top and bottom quartiles of the quoted rates.quoted rates.
Exchange Fee Promotion: 1 Oct Exchange Fee Promotion: 1 Oct –– 31 Dec 201031 Dec 2010
48
Product Minimum Volume* (Contracts per Month)
Fee Discount (%) Note
5,000 5%
10,000 10%
20,000 20%
30,000 30%
SET50 Futures
50,000 50%
For the 1st ranking Broker which trades
more than 60,000 contracts in each
month will get 90% discount on the Exchange Fee
Stock Futures
Total trading volume of SSF and SET50 Index Option combined more than 2,000 contracts and each product must be at least 200 contracts
100% -
Commissions for all TFEX products are freely negotiated
Clearing House Margin RateClearing House Margin Rate
49
Products Outright Inter-month Spread
Index Futures
SET50 Index 24,000 6,000
Gold Futures
50 Baht Gold 30,000 7,500
10 Baht Gold 6,000 1,500
Single Stock Futures
BAY 1,400 350
BBL 7,000 1,750
KBANK 6,000 1,500
KTB 800 200
SCB 5,000 1,250
SCC 13,000 3,250
BANPU 32,000 8,000
Products Outright Inter-month Spread
Single Stock Futures
PTT 14,000 3,500
PTTEP 8,500 2,125
ADVANC 4,500 1,125
LH 500 125
ITD 300 75
QH 200 50
TTA 2,000 500
Interest Rate Futures
5Y Gov Bond 6,000 1,500
Unit : Baht
Index Options Short Options Minimum Charge
SET50 Index 500
Data as of 1 October 2010
51
TFEX Members: TFEX Members: 36 General Members & 5 Gold Related Agents36 General Members & 5 Gold Related Agents
General MemberGeneral MemberACL Securities Co., Ltd.
Aira Securities Public Company Limited
Asia Plus Securities Public Company Limited
Ayudhya Securities Public Company Limited
Bualuang Securities Public Company Limited
BFIT Securities Public Company Limited
Country Group Securities Company Limited
CIMB Securities (Thailand) Co., Ltd.
CLSA Securities (Thailand) Limited
Capital Nomura Securities Public Company Limited
Credit Suisse Securities (Thailand) Limited
DBS Vickers Securities (Thailand) Co., Ltd.
Far East Securities Company Limited
Finansa Securities Limited
Finansia Syrus Securities Public Company Limited
Globlex Securities Company Limited
I V Global Securities Public Company Limited
JPMorgan Securities (Thailand) Limited
Kim Eng Securities (Thailand) Public Company Limited
KGI Securities (Thailand) Public Company Limited
Kiatnakin Securities Co.,Ltd.
General MemberGeneral MemberKasikorn Securities Public Company Limited
KT ZMICO Securities Company Limited
Merchant Partners Securities Public Company Limited
Phatra Securities Public Company Limited
Phillip Securities (Thailand) Public Company Limited
SCB Securities Co., Ltd.
Siam City Securities Co.,Ltd.
SICCO Securities Public Company Limited
Trinity Securities Company Limited
Thanachart Securities Public Company Limited
TISCO Securities Co., Ltd.
UBS Securities (Thailand) Limited
UOB Bullion and Futures (Thai) Limited
UOB Kayhian Securities (Thailand) Public Company Limited
United Securities Public Company Limited
Gold Related Agent MembersGold Related Agent Members
Ausiris Futures Co.,Ltd.Ausiris Futures Co.,Ltd.
GT Wealth Management Co.,Ltd.GT Wealth Management Co.,Ltd.
Hua Seng Heng Gold Futures Co.,Ltd. Hua Seng Heng Gold Futures Co.,Ltd.
MTS Gold Futures Co.,Ltd. MTS Gold Futures Co.,Ltd.
YLG Bullion & Futures Co.,Ltd.YLG Bullion & Futures Co.,Ltd.
Tax TreatiesTax Treaties
52
Thailand has double taxation agreements with 54 countries. Thailand has double taxation agreements with 54 countries. Institutional investors from 28 countries or regions specified bInstitutional investors from 28 countries or regions specified below elow are exempted from capital gain taxes.are exempted from capital gain taxes.
1) Bangladesh 11) Israel * 21) Slovenia *
2) Belgium 12) Italy 22) South Africa
3) Canada * 13) Kuwait 23) Spain *
4) Cyprus * 14) Laos 24) Switzerland *
5) Denmark 15) Mauritius 25) Turkey *
6) France * 16) Netherlands * 26) The United Arab Emirates
7)Germany 17) Norway 27) United Kingdom & North Ireland *
8) Hong Kong 18) Oman 28) Uzbekistan *
9) India 19) Pakistan
10) Indonesia 20) Singapore* conditions applied.conditions applied.
Data as of September 2010