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          An interest rate futures is a futures contract with an interest-bearing instrument as the underlying asset. Interest rate futures are used to hedge against the risk of interest rates moving in an adverse direction. For example, borrowers face the risk of interest rates rising. Futures use the inverse relationship between interest rates and bond prices to hedge against the risk of rising interest rates. A borrower will enter to sell a future today. Then if interest rates rise in the future, the value of the future will fall , and hence a profit can be made when closing out of the future. 5-Year Thai Government Bond Futures launched since Oct 18, 2010.


Summary of 5Y GOV Bond Futures Contract Specification

  Heading    Contract Specification
  Underlying Asset 5-Year Thai Government Bond with 5% coupon (semi-annual)
represented by the Basket of Eligible Bonds
 
  Ticker Symbol   TGB5  
  Contract Size THB 1,000,000  
  Contract Months 2 nearest quarter months on March June September December cycle  
  Price Quotation Price quoted by percent of par value with 2 decimal points.  
  Minimum Price Fluctuations 0.01 (or THB100 per contract)  
  Price Limit Initial price limit is +2.50% from the latest settlement price. Should traded price reach the limit, trading will be halted for a certain period announced by TFEX. After trading resumes, the price limit will be expanded to +5.00% of the latest settlement price.  
  Trading Hours Pre-open: 
Morning session: 
Pre-open: 
Afternoon session:
09:15 - 09:45 hrs.
09:45 - 12:30 hrs.
13:45 - 14:15 hrs.
14:15 - 16:00 hrs.
 
  Speculative Position Limit Net 10,000 contracts of 5Y Gov Bond 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 16:00 hrs. on the last trading day  
Final Settlement Price - Based on basket of eligible bond – A designated basket of Government
  Bonds with a minimum issuance size of ฿5,000 million and 4 - 6 year term
  to maturity on the first calendar day of the contract month.
- Calculated from average yield quoted by primary dealers
  (4 decimal points)
 
  Settlement Method Cash Settlement  
  Exchange Fee THB 10 per contract per side

 
  Brokerage Commission Freely negotiable  
   
  Remark :
     The above description is a summary of the contract specification. Please refer to the procedures of listing of Derivatives Contracts for the official contract specification.
 
     
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  The Basket of Eligible Bonds for 5Y Gov Bond Futures:  
 
Series Issue Code ISIN Code Maturity Date
Coupon (%)
Amount*
(THB million)
TGB5H17
LB213A
TH0623031307
31-Mar-21
5.85
69,000
TGB5H17
LB21DA
TH0623031C01
17-Dec-21
3.65
306,103.51
TGB5H17
LB226A
TH0623032602
17-Jun-21
1.875
39,000
 
  * Data as of March 16, 2016  
     
  Quote Vendor Codes  
 
Interest Rate Futures Price:
Bloomberg Thomson Reuters Six Telekurs
    TOBA<COMDTY>     TGB5my
   
0#TGB5:
    .TGB5TVO.FX
   TGB5myy,825
 
   
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