Published On: Thu, Nov 25th, 2010

Thai Bourse to Launch Short Term Interest Rate Futures November 29



Contract specification

Underlying Assets

3 Months BIBOR

Contract Size

10,000,000 Baht

Settlement Months

2 nearest quarter months on March
June September December cycle

Price Quotation

In terms of index 100.000 – Yield

(on annual basis with 3 decimal points)

Minimum Price Fluctuations
(Tick Size)

0.005 (equivalent to 125 Baht /

Price Limit

+ 2.50% of previous day settlement

Trading Hours


  9:15 –   9:45 hrs.

Morning session:

  9:45 – 12:30 hrs.
Pre-open: 14:00 – 14:30 hrs.
Afternoon session: 14:30 – 16:00 hrs.

Speculative Position limit

Net 2,000 contracts of 3M BIBOR Futures on one side of the market in any contract
month or all contract months combined.

Last Trading Day

The third Wednesday of the
contract month and the trading of series going to expire
will be ceased after 11:00 am on the last trading day

Final Settlement Price

Calculated from 3M BIBOR fixed
at 11:00 am (BKK time) as announced by Bank of
Thailand on the last trading day

(4 decimal points)

Settlement Method

Cash Settlement

Exchange and Clearing Fee

20 Baht per contract, chargeable
to both the buyer and seller

Brokerage commission

Freely negotiable

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