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Derivatives Center

General for Derivatives

Derivatives are financial instruments or financial contracts that have unique characteristics in that their value is derived from the value of and underlying asset. The maturity date will have an impact on the value of the derivatives as they approach their date of maturity.

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Characteristics of Derivatives

  1. Derivatives have no inherent value themselves as their value is mainly driven by the underlying asset that it is related to.
  2. Each derivatives contract specifies a maturity date, while stocks differ in that they will continue to be traded as long as they are listed on the Stock Exchange. A stock holder is also different from a derivatives contract holder in terms of ownership. A stock holder becomes a part owner of the company which issues the stock and possesses the right to attend company meetings, obtain dividends, etc.
  3. A derivatives contract is an agreement between two contracted parties to buy or sell an asset at a fixed price on or before a date of expiration. An equity investment provides stock holders ownership of a stock with no term or condition requiring the holder to sell. A derivatives contract holder, however, needs to close the position on a specified date, or the maturity date.
  4. Derivatives contracts allow leverage, meaning that investors may spend less of their own funds for an investment. This provides a high risk, as although high profits are possible, so are losses.

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Types of instruments that may be traded in TFEX

There are 2 types of derivatives traded in the Thailand Futures Exchange (TFEX), futures and options

  • Futures are contracts in which two parties are obligated to buy / sell an underlying asset on the date of maturity according to a settled agreement
  • Options are similar to futures, but instead one party has a choice whether to buy or sell on the maturity date

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Mark to Market

Mark to market calculation for Futures and Options: in the daily settlement process, the mark to market price along with the client’s profit or loss will be used to adjust the client’s margin at least at the end of every trading day. Before any execution, the company will recheck the level of the client’s excess equity. Also, while the execution is queuing and excess equity has decreased, the company will do the following;


  1. If the order cannot be matched at the end of the day, the order must be canceled
  2. If the order is matched and the client’s mark to market margin has fallen below the maintenance margin requirement, a call margin procedure must be taken.

Upon the above cases, suppose the client has been using “Good Till Date” or ”Cancel,” and  he wants the “Good Till Date” or ”Cancel” order to proceed in the following business day, the company will recheck whether the client’s margin is adequate to allow for such action.

Notice :

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Derivatives Product

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Circuit Breaker


Practices of trading futures halt arising from the changes more or less to the level of the highest traded price changes each day (Daily Price Limit) in the following:

  1. The trading price that is used to determine trading halts will consider trading price of the Nearest Contract Month Series. However, during the previous 10 business days from the Last Trading Day of the Nearest Month Contract, TFEX will consider trading price of the 2nd Contract Month Series. It will be started from the previous Night Session of the business days in the case of futures trading during the night.

  2. The period of trading halts: TFEX will stop trading duration 30 minutes including 10 minutes for Pre-open period before trading hours.

  3. Futures contracts for the same underlying assets : TFEX will determines trading halts for all of the contracts that underlying assets are all the same, in case of price changes, trading volume reached Daily Price Limit as follows:

Underlying Asset

Futures contracts for the same underlying assets

Circuit Breaker Level
SET50 Index SET50 Index Futures
SET50 Index Options
±30% of the previous day settlement price
Single Stock Listed securities in SET which meet TFEX listing criteria. ±30% of the previous day settlement price
Gold 10 Baht Gold Futures
50 Baht Gold Futures
±10% and 20% of the previous day settlement price respectively
BIBOR 3M BIBOR Futures ±1.25% and 2.50% of the previous day settlement price respectively
Government
Bond
5Y Government
Bond Futures
±2.50% and 5% of the previous day settlement price respectively
Currency
USD Futures
±2% and 4% of the previous day settlement price respectively
Sector

Bank Index Futures

ICT Index Futures

Food Index Futures

ENERG Index Futures

COMM Index Futures

±30% of the previous day settlement price
Natural Rubber
Ribbed Smoked No.3

RSS3 Futures and

RSS3D Futures
±5% and 10% of the
previous day settlement
price respectively

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Type of order entry

TFEX will keep order status valid until the end of each trading day. Order entry will be sorted by Price and the Time Priority. 

The definition of order entry

Status Detail

Special Market Order

(MP)
  • Match with the opposite side all price levels respectively the best bid/offer in the queue.
  • If the matched is not completed, the system will automatically execute an order at the higher bid price or the lower offer price than last trading price 1 tick trading price.

Special Market Order

(MP-MKT)
  • Match with the opposite side all price levels respectively the best bid/offer in the queue.
  • If the matched is not completed, the system will cancel the rest.

Market to Limit Order

(MP-MTL)
  • Match with the opposite side at the best bid/offer.
  • If the matched is not completed, the system will execute an order to the last trading price.
Validity : Day Normal order
Validity : Date An order that has resulted in a system based on a specified day, or until it is canceled.
Validity : Auto-M
  • The order in the Pre-open period only.
  • When the market opened, the order will be matched at the open price. The rest will be canceled.
Validity : IOC Immediate or Cancel: An order to buy or sell based on price defined at that time immediately. If the order has not been matched for whole amount, the rest will be canceled.
Validity : FOK Fill or Kill: An order to buy or sell at a specified price. By the need to obtain the desired amount. If the order could not be matched for whole desired amount, it will not be traded and all the orders will be canceled.
Validity : Good till Time An order that has resulted in a system based on a specified date and time, or until it is canceled.
Validity : Good till Session An order that has resulted in a system until the start time of the session specified, or until it is canceled.
Validity : Good till Next Auction An order that has resulted in a system until the time of start of Pre-open period next to trading session or until it is canceled.
Validity : Good till Cancel The orders that resulted in the system until the end of the trading session on the last trading day of the futures contract or until it is canceled.

Term and Condition


1. The maximum bid or offer volume


Derivative Contract Maximum Bid or Offer Volume
Sector Futures
50 Baht Gold Futures
10 BahtGold Futures
RSS3 Futures
RSS3D Futures
5 Year Government Bond Futures and
3M BIBOR Futures

Not exceeding 100 contracts
SET50 Index Futures
SET50 Index Options
Single Stock Futures และ
Baht/USD Futures

Not exceeding 500 contracts

*** Each recording of an Iceberg Order shall contain the Shown Quantity of at least 10 contracts


2. The maximum increase or decrease of the bid or offer price

Futures Contract

Prescribed Maximum Variation
of
the Trade Offer Price

SET50 Index Futures
Not exceeding ±10 points
Sector Futures
 
  • ENERG Index Futures and COMM Index Futures
Not exceeding ±400 points
  • Food Index Futures
Not exceeding ±200 points
  • Bank Index Futures and ICT Index Futures
Not exceeding ±10 points
Single Stock Futures
Not exceeding ±10 Baht
50 Baht Gold Futures
10 Baht Gold Futures

Not exceeding ±200 Baht
5 Year Government Bond Futures
and 3M BIBOR Futures
Not exceeding ±1.5
Baht/USD Futures
Not exceeding ±3 Baht


3. Price alert  for order entry (from the last execution price except SET50 Options)

Derivative Contract TFEX’s Rate
SET50 Index Futures
Sector Futures
Single Stock Futures
50 Baht Gold Futures
10 Baht Gold Futures

±5% of the Last Execution Price

SET50 Index Options ±5% of the SET50 index’s closing price on the previous business day
RSS3 Futures and RSS3D Futures ±1.5% of Last Execution Price

5 Year Government Bond Futures

±1% of Last Execution Price
3M BIBOR Futures
and Baht/USD Futures
±0.5% of Last Execution Price


4. Types and terms of a bid and offer not permitted for recording during each trade session

Derivative Contract Pre-open session Morning / Afternoon / Night Session

SET50 Index Futures
Sector Futures
Single Stock Futures
50 Baht Gold Futures
10 Baht Gold Futures
RSS3 Futures*
RSS3D Futures*
5 Year Government Bond Futures
3M BIBOR Futures
Baht/USD Futures and

SET50 Index Options*
  • Combination Order, Special Market Order and Market to Limit Order

  • Bid or offer under the term of Good till Next Auction

  • Market Order type with any of the following terms: Day, Good till Date, Good till Cancel, Good till Time, Good till Session or Good till Next Auction

Market Order type with any of the following terms:

Day, Good till Date, Good till Cancel, Good till Time, Good till Session or Good till Next Auction types


Note:
*Recording of Combination Order Type RSS3 Futures and SET50 Index Options is not permitted during any session


Others:

  • In case of order placement with Market Order menu during Morning Session and Afternoon Session, investor will be allowed to place the following order when the highest Bid or the lowest Offer is no greater than +/-5% of the last execution price
  • In case of no transaction to be made in futures contract on the following day. The order entry need to be checked with the following price.
    • The Previous Day Settlement Price
    • TFEX announcement
  • Trade Report Order Click here (Effective on 16 January, 2017 onward.)

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Fund Transfers (Derivatives)

To transfer an initial margin to your account, you are advised to transfer funds via one of the banks as listed below:

Account Name:: "KT ZMICO Securities Company Limited For Client"
Bank Name Branch A/C Type A/C Number SWIFT Code
Krung Thai Bank
Na Na Nue
Current 000-6-13245-6 KRTHTHBK
Siam Commercial Bank
Thanon Witthayu
Current 049-3-12955-2 SICOTHBK
Kasikorn Bank
Silom
Saving 789-2-10150-1 KASITHBK
Bangkok Bank
Head Office
Saving 101-8-46587-0 BKKBTHBK
TMB Bank
Silom Soi 7
Saving 004-2-22088-9 TMBKTHBK
 Bank of Ayudhya
Central World
Saving 511-1-04563-7 AYUDTHBK
Thanachart Bank
Ton Son
Saving 001-2-12115-1 THBKTHBK
Sumitomo Mitsui
Bank
Bangkok
Saving 20-2019294-1 SMBCTHBK

 

After transferring, please notify your deposit transaction to the company via KTZMICO’s website or Click here. The company will update your buying limit after we receive the confirmation from the bank.

The company will adjust your buying limit after being informed of the deposit. The period for buying limit adjustments is as follows:

Notification Time Update Time
Before 12.00 p.m. (noon) No later than 2:30 pm on the same day
From 12.00 p.m. to 4:30 p.m. No later than 9:30 am of the next working day


If your "Buying Limit" has not been updated, please contact Ms.Pattraraporn Jettanachareonchai at (66) 0-2695-5501 or 0-2695-5460 or send an email to derivativescenter@ktzmico.com

Collateral Withdrawal

Click here to print out a cash withdrawal form and fax it to the Operation Service Department at 0-2631-1704.

Remark: The company has the authority to consider the approval of a cash withdrawal on a case-by-case basis based on existing terms and conditions. These may be subject to change without prior notice.

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Interest Rate (Cash Margin Deposit)

Account Type Interest Rate (per annum)
Individual Account 1.00%
Corporate Account 0.50 %

Remark: :

  • The company reserves the right to change the above interest rates with respect to possible future interest rate announcements from Thai commercial banks.
  • The company will pay interest on a semi-annual basis (January 1 & July 1) by crediting the interest amount directly to your TFEX trading account. In case the payment date is a public holiday, interest will be credited to your account on the next working day.

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Additional Knowledge

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Underlying Asset Information

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Further Information

Derivatives Center
KT ZMICO Securities Company Limited
8th Floor, Liberty Square Building, 287 Silom Road,
Bangrak, Bangkok 10500 Thailand

Telephone: (66) 0-2695-5558
Fax: (66) 0-2695-5599
E-mail: derivativescenter@ktzmico.com

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