Table of Contents Guides/Manual T… · Equity Balance Calculation in Futures Trading ... 3.3 Other types of Trading Orders 1. STOP ORDER: This can be used to limit loss and protect

1MANUAL FOR TRADING LISTED SET50 DERIVATIVES ��

Revision: May 20, 2009 Page 1 of 16

Table of Contents

1. Investing in Listed Derivatives .............................................................................................. 2 2. Account for trading in Derivatives and Equity Instruments ................................................... 2

2.1 Account numbers and Approval limits ............................................................................ 2 2.2 Reportable Limit.............................................................................................................. 3

3. Placing a Trading Orders for Futures.................................................................................... 3 3.1 Order Components ......................................................................................................... 3 3.2 Basic Trading Orders...................................................................................................... 4 3.3 Other types of Trading Orders........................................................................................ 4 3.4 Trading Order Validity..................................................................................................... 4 3.4.1 Trading Order with Time Validity.......................................................................... 4 3.4.2 Trading Order with Conditional Validity ............................................................... 4 3.4.3 Published Quantity ............................................................................................... 5 3.5 Traditional Orders vs. Internet Orders ............................................................................ 6 3.6 The Matching of Combination Orders............................................................................. 6 3.7 Example of the order form in a trading room.................................................................. 6 3.8 Ordering Limitations........................................................................................................ 7 3.9 Trade Rectification.......................................................................................................... 8 3.10 FIFO Costing ................................................................................................................ 8

4. Equity Balance Calculation in Futures Trading..................................................................... 8 5. Margin ................................................................................................................................... 9

5.1 Margin Levels ................................................................................................................. 9 5.2 Interest Receivable on Margin........................................................................................ 9 5.3 Margin Offset in Portfolio .............................................................................................. 10

6. Margin Calculation (SPAN) ................................................................................................. 10 7. Margin Call .......................................................................................................................... 11

7.1 Portfolio Management Alternatives upon Margin Call .................................................. 11 7.2 Margin Delivery Methods.............................................................................................. 11 7.3 Examples of Position Closing on Margin Call Calculation............................................ 12 7.4 Effect of Margin Call on Standing Orders..................................................................... 12 7.5 Margin Call Default ....................................................................................................... 12

8. Risk Management Measures .............................................................................................. 13 8.1 Margin Call.................................................................................................................... 13 8.2 Intraday Margin Call...................................................................................................... 13

9. Advice for Non-Resident Investors ..................................................................................... 13 10. Related Taxation............................................................................................................... 13 11. Cash Withdrawal............................................................................................................... 14 12. Trading Reports ................................................................................................................ 14 13. Roles and Responsibilities................................................................................................ 14 14. Complaints and Arbitration Process.................................................................................. 15

Attachment 1: BLS Bank Accounts..................................................................................... 16



The aim of this manual is to enhance understanding of futures trading, which is new to Thailand, and also to provide information to our clients about how to open derivatives trading accounts. The explanations provided should not be regarded as advice or as a recommendation to trade SET futures. Investment in any asset class entails risk as well as potential benefits. If you decide to trade SET50 futures or options, please do so prudently.��

1. Investing in Listed Derivatives Derivatives are bilateral contracts that have three important characteristics:

1. Values depend on the values of underlying assets. 2. Have a definite expiry date. 3. Provide financial leverage giving high exposure for a relatively small amount of money.

Investing in listed derivatives is inherently different from investing in equities or debt instruments and should be carried out with a good understanding of the following issues:

1. Leverage: The index multipliers used for calculating profit and loss gear up the buying

power, making for high risk-high return characteristics. For example, opening a buy position of SET50 index futures at 500 points requires an initial margin of Bt50,000 per contract. When the price of SET50 index futures fall by more than 15 points, or 3% within a day, the margin will plunge by more than 30%.

2. Margin Call: The Futures Exchange marks-to-market all portfolios to daily settlement prices, fixing values at the end of each business day (18.00 hours), unless positions are closed. When the value of a portfolio is less than the maintenance margin, more margin will be called in order to top up to the level of the initial margin. Therefore, cash should be reserved to meet such a requirement. In other words, a client should not use all the money in his account as initial margin, so that he can sustain his position during periods of market volatility.

3. Expiration: Derivatives have a definite time to expiration, thus they are not instruments to hold for an infinite period. When using a derivative for hedging, care must be taken with regard to the remaining life of the contract.

4. No dividend or interest payment: Holding derivatives means holding an obligation to purchase or to sell the underlying asset between two persons. It possesses no ownership in an equity or debt instrument, so yields no dividend or interest to contract holders.

5. Dos and Don’ts: Some widely used equity investing strategies, such as weighted average buying to lower the cost, should not be used in derivatives investing because such a strategy will escalate losses due to the fact that costs are marked-to-market every day. On the contrary, a more appropriate strategy is to stop losses by closing a position once the market moves in the wrong direction to a certain degree.

2. Account for trading in Derivatives and Equity Instruments It is the client’s responsibility to disclose the beneficiary of the investment in derivatives (if not the same person as the applicant) in account opening forms. Clients should also ensure that they have a good understanding of the risks that may arise from investing in Derivatives. The Company provides details in the Risk Disclosure Statement.

2.1 Account numbers and Approval limits Practically, derivatives trading accounts and equity trading accounts have separate approval limits. Clients that have equity trading accounts with the Company need to submit additional financial statements for derivatives trading limit approval and setting or choosing to allocate the limit from their equity trading accounts. Please note that existing credit lines are transferable between accounts.

The Company will process equity trading account openings simultaneously for clients that apply for derivatives trading accounts but who do not have an existing equity account with the Company.



2.2 Reportable Limit The Securities and Exchange Commission and TFEX require all brokerage firms to report any clients that hold SET50 Index futures equivalent positions at (or more than) 500 net-long or net-short in any contract month or all contract months combined. Clients, however, can still add more positions up to the approval limit set by the Company or the limit specified by TFEX. 3. Placing a Trading Orders for Futures Orders may be placed to the account officer via telephone, facsimile, email, writing an order slip in the trading room or by sending directly to the system via the company website.

Please note that trading over the approval limit, opening a position without the initial margin, or opening positions exceeding the limit as prescribed by TFEX are not applicable.

3.1 Order Components A trading order should consist of the following components:

1. Account Number 2. Side (Buy or Sell) 3. Request Position (Open or Close) 4. Series Name 5. Volume or Quantity 6. Order Type 7. Price 8. Validity 9. Stop Condition

Details are as follow:

1. Account Number: The trading account number consists of 6 digits 2. Side—Buy or Sell: To buy or to sell the contract 3. Request Position: To open or to close position 4. Series Name:

�� A single order is the trading of one future or option at a time. �� A combination order is the buying of one series of futures and the selling of another

series at the same time. It will not be executed if the two cannot be undertaken simultaneously. For example, to buy S50H09M09 means to buy S50M09 and—at the same time—to sell S50H09. The combination order always begins with the series with a shorter time to expiration followed by the longer series. A “combination buy” order means to buy the far series and to sell the near series� while a “combination sell” order means to sell the far and buy the near.

5. Quantity: Can be from 1-100 futures contracts or from 1-500 options contracts per order. A shown quantity between 10-100 contracts can be applied in hidden order mode.

6. Price Type: Limit-price or market-price order 7. Price: A limit-price is a number with one digit decimal. A combination order price is the

result of the price of a far series minus that of a near series and is in the range of -10.0 to +10.0 point.

8. Validity: The effective duration of the order in the auto-matching system of the exchange such as Day (valid only in the day), FOK (Fill-or-Kill, the whole order must be filled immediately otherwise terminated), FAK (Fill-and-Kill, the order is filled immediately and the remaining unmatched is cancelled), Date (Valid until the given date), Exp (the unmatched order stands until the series’ expiration). Please see the attachment for additional definitions.

9. Stop Condition: The condition when the order will be sent to the exchange, for example: “a sell order S50H09 at 980.0 when the last trading is at 981.0 point or lower stop”. The order is held in the broker trading system when the current trading price is higher than 981.0 point. Only when the last trading price is at 981.0 point or lower will the order be sent to the exchange. Without the stop condition, the order is sent and filled immediately (whereby the market price may be higher than 980.0 point).



3.2 Basic Trading Orders The basic trading orders an investor should know are as follow:

1. MARKET ORDER: An order with market best price (lowest offer price for a buy order and highest bid price for a sell order). It is usually used with order condition FOK or FAK

2. LIMIT ORDER: An order with a specific best price such as �� Buy at the price not higher than specified �� Sell at the price not lower than specified

3.3 Other types of Trading Orders 1. STOP ORDER: This can be used to limit loss and protect profit for the investor. In order

to send a Stop Order, the investor must also specify (1.) Stop Series (2.) Stop Condition and (3.) Stop Price. The Stop Order will be automatically sent out as soon as the price of the Stop Series hits the Stop Price specified in the Stop Condition. In addition the Stop Order can be classified into 2 types: �� STOP MARKET ORDER: The condition to send a Market Order as soon as the price hits the specified price �� STOP LIMIT ORDER: The condition to send a Limit Order as soon as the price hits the specified price.

The Stop Order consists of 6 Stop Conditions, such as �� Bid � Stop Price �� Bid � Stop Price �� Offer � Stop Price �� Offer � Stop Price �� Last � Stop Price �� Last � Stop Price

2. COMBINATION ORDER: An order to buy and to sell at least 2 different futures simultaneously. Both buy and sell orders must be filled at the same time. The buy and the sell may be of the same or different underlying and series but not the same for both series and the underlying.

3.4 Trading Order Validity When placing a trading order, the investor must specify the validity, which can be either time or condition.

3.4.1 Trading Order with Time Validity

1. DAY ORDER: This is the most frequently used validity. After the order is sent, it will be good until the end of the day only. Any unmatched order will be washed out of the system on the next trading day.

2. GOOD-TILL-DATE (GTD): In order to use this validity, the investor must also specify date (Day/Month/Year). Therefore, an unmatched order will be valid until that specific date only.

3. GOOD-TILL-EXPIRED (GTE): If this validity is used. Any unmatched order will be valid until the expiration date of the contract series.

Remarks Please note that unmatched GTD and GTE orders will remain in the Exchange auto-matching system until they are due, cancelled, or matched and will affect the remaining trading limits of investors.

3.4.2 Trading Order with Conditional Validity 1. FILL-OR-KILL (FOK): An order to buy or sell which shall be executed in its entirety as

soon as it is presented to the market; if not so executed, such an order is to be cancelled.



2. FILL-AND-KILL (FAK): An order to buy or sell which shall be executed in whole or in part as soon as it is presented to the market; any portion not so executed is to be cancelled.

3.4.3 Published Quantity This function can be used with an order to buy or sell for which quantity is gradually placed into the automatic trading system. A following sub order is sent only when the preceding is fully filled The following table shows the order definitions pursuant to TFEX and other major derivatives markets.

Definition pursuant to TFEX

Definition pursuant to CBOE/CME/AMEX

Market Order An order to buy or sell at the Market Price.

An order to buy or sell securities at the current market. The order will be filled as long as there is a market for the security.

Limit Order An order with a specific best price. An order to buy or sell securities at a specified price (the limit).

Good till Date (GTD) An order to buy or sell which is good in the trading system within the period as specified or until matched or expiration of the Futures contract.

Good-till-Date order. Order good until the date specified by the trader. If not filled at the end of the specified date/session, will be eliminated.

Good till Cancelled (GTC)/ Good till Expiration (GTE)

An order to buy or sell which is good until cancelled or matched or expiration of Futures contract.

Also known as Open order. An order that remains good until filled, or the contract expires.

Fill and Kill (FAK)/ Immediately or Cancel (IOC)

An order to buy or sell which shall be executed in whole or in part as soon as it is represented in the market; any portion not so executed is to be cancelled.

A market or limit-price order that is to be executed in whole or in part as soon as it is represented in the market; any portion not so executed is to be cancelled.

Fill or Kill (FOK) An order to buy or sell which shall be executed in its entirety as soon as it is presented in the market; if not so executed such an order is to be cancelled.

A market or limit-price order that is to be executed in its entirety as soon as it is presented to the market; if not so executed the order is to be cancelled.

Hidden Order/ Published Volume/ Shown Quantity

An order to buy or sell for which quantity is gradually placed into the automatic trading system. A following sub order is sent only when the preceding is fully filled.

Hidden Quantity order qualifier. Indicates that the total quantity will not be displayed to the market, but only per increment as indicated. The difference between order quantity and displayed quantity is hidden.

Combination Order An order to buy and to sell at least 2 different futures at the same time. Both buy and sell orders must be filled at the same time. The buy and the sell may be of the same or different underlying and series but not the same series and the same underlying.

Spread Order. An order to simultaneously transact two or more option trades. Typically, one option would be bought while another would simultaneously be sold. Spread orders may be limit orders, not held orders, or orders with discretion. They, however, cannot be stop orders.

Stop Order An order to buy or sell that that will be effective when the market meets a certain condition.

An order, placed away from the current market that becomes a market order if the security trades at the price specified on the stop order. Buy stop orders are placed above the market while sell stop orders are placed below.

Stop Limit Order An order to buy or sell at a specific best price that will be effective when the market meets a certain condition.

Similar to a stop order, the stop-limit order becomes a limit order, rather than a market order, when the security trades at the price specified on the stop.



3.5 Traditional Orders vs. Internet Orders The different limits in ordering SET50 futures using the two channels are listed below:

Traditional Internet

Maximum of 100 contracts per order

Maximum of 20 contracts per order

Can use combination orders Cannot use combination orders

Price limit is + - 30% from the last settlement price

Price limit is + - 5% from the last trading price

Remark: Clients need to pre-specify the ordering channel. Only one channel can be used at a time. Clients may notify account officers of channel-switching one day in advance.

3.6 The Matching of Combination Orders A combination order can be matched with either single orders or another combination order. The matching of the buy and the sell must, however, occur simultaneously.

Sample of Combination Order Matching (1) Sending a buy spread S50M07U07 of –0.7 (Far-Near), the order will be in the bidding queue because the best ask spread is at –0.6. If the buy spread is at –0.6 or better, matching will immediately occur. (2) Sending a sell spread S50M07Z07 at –0.9 will immediately match with standing outright orders because the current best bid spread (Bid S50Z07 – Ask S50M07) is at -0.8 (484.5 – 485.3).

3.7 Example of the order form in a trading room

Buy and sell spread prices can be determined from the bid-asks of outright orders, as follows: Bid spread = Bid [S50Z07] – Ask [S50M07] = 484.5 – 485.3 = -0.8 Ask spread = Ask [S50Z07] – Bid [S50M07] = 487.5 – 484.9 = 2.6



3.8 Ordering Limitations To prevent malfunctions, the auto-matching system of the exchange prohibits putting orders with conditions and during sessions as follows:

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3.9 Trade Rectification Because rectification can be done only during the day while the system is still operating, the account officer should be notified of any discrepancies or trading errors at no later than 17.15 hours.

3.10 FIFO Costing Inventory is FIFO (First-in-First-Out). When closing, the earliest opened positions are closed out in order and realized profit or loss is calculated based on the actual opening cost of each position. The remainder is calculated to show the average cost and unrealized profit or loss in the portfolio. Example The investor gradually buy opens S50U09 for 2 contracts, the first contract at price 750.0 index points and the second contract at price 760.0 index points When S50U09 last done at 770.0 index points, the trading screen will show the average cost at 755.0 and the unrealized gain equals Bt 30,000 [(770.0-755.0) x 2 contracts x 1000] If the investor sell closes only 1 contract at price 770.0 index points, the system will show a realized gain of Bt20,000 and an unrealized gain Bt10,000. 4. Equity Balance Calculation in Futures Trading The equity balance will be marked to the last trading price of all futures contracts in the portfolio. This makes the equity balance instantly increase when holding positions correctly corresponding to the market direction and decrease when holding positions against the market direction. Equity Balance (EB) consists of

1. Cash Balance (CB): The investors’ equity value in the form of cash = Previous Cash Balance + Deposit – Withdraw – Commission – VAT + Realized

Gain/Loss + Short Option Premium – Long Option Premium + Option Payoff Receive – Option Payoff Payment

2. Gain/Loss from marking-to-market

Given Brokerage fee for SET50 Index Futures = Bt500 per contract Brokerage fee for SET50 Index Options = Bt100 per contract Vat 7% of the brokerage fee Multiplier for SET50 Index Futures = Bt1,000 Multiplier for SET50 Index Options = Bt200 1st trading day Investor A sends a day limit order to buy open 10 contracts of S50H09 at price 400.2 index points. Assume the order matches for all 10 contracts at the price 400 index points. If the last price of S50H09 is 402 index points

�� The brokerage fee and VAT are 10 x 500 x 1.07 = Bt5,350 �� Remaining Cash Balance is 700,000 – 5,350 = Bt694,650 �� Profit/Loss from Marking-to-Market of Futures is (402 - 400) x 1,000 x 10 = Bt20,000 �� Latest Equity Balance is 694,650 + 20,000 = Bt714,650

Then investor A sends a day limit order to sell open 10 contracts of S50M09C420 at price 15 index points. Assume the order matches 5 contracts at the price 15 index points. If the Daily Settlement Price of S50H09 and S50M07C420 are 403 index points and 15.5 points respectively

�� The brokerage fee and VAT are 5 x 100 x 1.07 = Bt535 �� Remaining Cash Balance is 696,650 – 535 + (15 x 200 x 5)= Bt711,115 �� Profit/Loss from Marking-to-Market of Futures is (403 - 400) x 1,000 x 10 = Bt30,000 �� Latest Equity Balance is 711,115 + 30,000 = Bt741,115

2nd trading day



The investor’s portfolio will show a Long position of S50H09 at cost 403 index points 10 contracts and S50M09C420 at cost 15 index points 5 contracts. Assume bear market conditions and investor A does not have any transactions today. Daily Settlement Prices of S50H09 and S50M09C420 are 390 index points and 9 index points respectively.

�� Remaining Cash Balance is Bt711,115 �� Profit/Loss from Marking-to-Market is (390-403) x 1,000 x 10 = -Bt130,000 �� Latest Equity Balance is 711,115 – 130,000 = Bt581,115

5. Margin The margining mechanism in derivatives trading is broadly similar to that used for credit balance equity trading. However, it is considered a cash account because no lending from the Company is allowed for any margin requirement. Clients are required to provide full cash payment for all margins.

5.1 Margin Levels The levels of margin are as follow: (Currently TFEX allows only cash as collateral)

1. Initial Margin: A prerequisite minimum level of cash for opening a position. The level of initial margin depends on order type and position holding (outright or spread).

�� Outright initial margin is applied on a single side order—either long or short. �� Spread initial margin is applied on a combination order where long and short of

different series are executed simultaneously. �� Outright initial margin is applied to a single side position holding of either long

or short. �� Spread initial margin is applied to portfolios that hold pair(s) of long and short of

different series. 2. Maintenance Margin: The minimum level of cash that has to be maintained for holding

the open position. When the equity balance is lower than the maintenance margin, more collateral will be called-up to bring the level back to the initial margin. The maintenance margin level is calculated according to outright and spread positions in the portfolio.

3. Call Margin: The additional cash that is required to top-up the equity balance to the initial margin level.

4. Super Margin: The additional cash that is required by the Clearing House from the client as a precaution for market volatility during long holidays or in special situations.

5. Enforcing Margin: Where the level of margin has fallen below the maintenance margin the Company reserves the right to undertake the following:

�� Contact the client for a margin call or position closing so that the equity balance returns to above the maintenance or the initial margin (when clients are under margin call).

�� Force-close the positions in the account if the investor fails to meet the above request in one hour or before day-end, whichever is sooner.

As the rates of margin are subject to change with respect to the underlying asset price level, clients are advised to keep track of notifications by the Company regarding rates and enforcement dates.

5.2 Interest Receivable on Margin Clients’ cash collateral will gain interest at a rate not higher than the rate the company receives from the Thai Clearing House.



5.3 Margin Offset in Portfolio The margin and approval limit of the trading account is calculated by auto-offsetting. If clients open both long and short in the same series, the system will automatically offset the buy-side margin with the sell-side margin to avoid double-margining. However, holding both long and short positions of the same series is not allowed for non-institutional investors. Sometimes there may be position request errors when ordering. Clients need to notify the account officer to rectify the order. 6. Margin Calculation (SPAN)

Effective 24 November 2008, margin calculation applied for all types of investors is the SPAN Method (Standard Portfolio Analysis of Risk). This is the most accepted and widely used method for margin calculation.

The common principle of SPAN focuses on the overall risk of the investor’s portfolio. The analysis is made based on a 16-Risk Array, including the change of the underlying assets’ prices and of their different levels of volatility. The worst-case scenario is used for margin calculation

The three important components for margin calculation are:

1. Risk Margin equals Max (Risk Part, Minimum Short Option Part)

�� Risk Part consists of Scanning Risk + Inter-month Spread Charge + Delivery Month Charge – Inter-commodity Spread Credit

�� Calculation of Scanning Risk applies the above SPAN Analysis 2. Net Option Value equals Long Option Value – Short Option Value 3. Minimum Futures Charge which takes all futures positions (excluding options) into

calculation for the Risk Margin. As this part does not have options position, Minimum Futures Charge is only equal to Risk Part. �� Risk Part is inclusive of Scanning Risk + Inter-month Spread Charge + Delivery

Month Charge – Inter-commodity Spread Credit �� Calculation of Scanning Risk applies the above SPAN Analysis

The following margin calculation applies to individual and non-institutional investors;

Margin Requirement = Max [(Risk Margin x M – Net Option Value), Minimum Futures Charge]

The Multipliers will vary according to margin levels, as follow:

Margin Levels Multiplier (M)

Initial Margin 1.90

Maintenance Margin 1.33

Enforcing Margin 0.57

According to the above Margin Requirement algebra and multipliers of each margin level, the margin calculation formulae are:

1. Initial Margin = Max [(Risk Margin x 1.90 – Net Option Value), Minimum Futures Charge]



2. Maintenance Margin = Max [(Risk Margin x 1.33 – Net Option Value), Minimum Futures Charge]

3. Enforcing Margin = Max [(Risk Margin x 0.57 – Net Option Value), Minimum Futures Charge]

7. Margin Call Once the equity balance is below the maintenance level, more margin will be called. The company will send clients call letters according to pre-specified methods.

7.1 Portfolio Management Alternatives upon Margin Call

On T+1 (the following business day of T), clients have the following alternatives:

1. Deliver full call margin amount; or

2. Close some positions, especially outright, and deliver some call margin so that the equity balance is equal to, or above, the initial margin level; or

3. Close positions until the equity balance is equal to, or above, the initial margin level.

The number of contracts to be closed in order to raise the equity balance up to the initial margin can be calculated by the following formula:

Number of Contracts ~ (Margin Call amount/Maintenance Margin) => round up to integer

This is an approximation, as profit or loss from position closing will affect the number of contracts to be closed.

Creating spread pairs to reduce the initial margin may not be an option due to the fact that:

1. During the margin call, the account does not have excess equity to open more positions.

2. The spread position has to be in line with the direction of price differences between series otherwise more losses may be incurred.

7.2 Margin Delivery Methods

Clients must pre-specify the method of margin transfer to the company in the account opening documents. Applicable methods are paying into BLS’s bank accounts or automatic debiting from the client’s bank account (ATS), selectable up to:

1. If clients want to manage the portfolio by closing positions and managing the margin amount, the pay-in should be applied. All actions must be completed before 15.55 hours on T+1. Please send a facsimile of the pay-in slip to BLS at 662-266-6967 with the following details:

�� Given name and family name

�� Account Number followed by (TFEX), for example, 123456 (TFEX)

2. For convenience, automatic debiting may be applied. BLS will debit the call margin in the full amount during 10.30-15.30 hours on T+1. Closing positions will not affect the deductible amount. Applicable banks are Bangkok, Ayudhya, BankThai, Kasikorn, Krungthai, Siam City, Siam Commercial, Thanachart, Thai Military and UOB.



7.3 Examples of Position Closing on Margin Call Calculation

Example 1: Partial closing to reduce margin call amount Sell close 3 S50H09 at market price and the matching is at 870.0 point while the cost is at 875.7 point (the equity balance is Bt298,300 before closing):

�� Remaining positions are 5 Outright, 2 Spread Pair

Long Short S50H09 7 S50M09 2

�� Brokerage fee and tax is 3 � 500 x 1.07 = Bt1,609. -

�� Profit or Loss is (870.0 – 875.7) � 3 � 1,000 = Bt-17,100. -

�� The equity balance will be 298,380 – 17,100 – 1,609 = Bt279,671. -

�� The initial margin level is 5 � 50,000 + 2 x 16,500 = Bt283,000. -

�� The maintenance margin level is 5 � 35,000 + 2 � 11,500 = Bt198,000. -

The call margin amount remains 283,000 – 279,671 = Bt3,329. - Example 2: Closing to the initial margin level

Sell close 4 S50H09 at market price and the matching is at 870.0 point:

�� Remaining positions are 4 Outright, 2 Spread Pair

Long Short S50H09 6 S50M09 2

�� Brokerage fee and tax is 4 � 500 x 1.07 = Bt2,140. -

�� Profit or Loss is (870.0 – 875.7) � 4 � 1,000 = Bt-22,800. -

�� The Equity Balance will be 298,380 – 22,800 – 2,140 = Bt273,440. -

�� The initial margin level is 4 � 50,000 + 2 � 16,500 = Bt233,000. -

�� The maintenance margin level is 4 � 35,000 + 2 � 11,500 = Bt163,000. -

Since the equity balance is higher than the initial margin level, the margin call is off.

7.4 Effect of Margin Call on Standing Orders

Once on margin call, the account officer will cancel all GTD, GTE orders in the morning of T+1 before the market opens.

In addition, the company reserves the right to input stop orders into the system to prevent negative equity balance should the market continue to move against the client’s portfolio.

7.5 Margin Call Default The client can close positions and place call margin until 15.55 hours of T+1 to bring the equity balance up to the initial level or higher. Failing the schedule, the client will be recorded on the margin call default list. The account will be subject to a credit review and trading suspension.

Portfolio appears

Portfolio appears



The company will force-close positions in the account so that the equity balance is at the initial margin level or higher before 15.55 hours of T+2.

8. Risk Management Measures The following are risk management measures used in derivatives trading:

8.1 Margin Call Once the equity balance of the account is less than the maintenance margin level after the day end mark-to-market (T), the account will be under margin call status for a certain amount of money in order to bring the equity balance back to the initial margin level. The client must take action. He has the following alternatives:

1. Pay-in the full amount to the company’s bank account. Or, 2. Close position until the equity balance is not less than the initial margin within one hour

before the market closes on T+1. During the margin call, the company reserves the rights to set zero equity stop limit orders to prevent a negative equity situation in the account, should the market continue to move against the portfolio. The orders may be matched anytime, even when the company is trying to contact the client. The company will not compensate for any lost incurred as a result of these risk management measures. If a call default happens, the company reserves the right to force-close positions before 15.55 hours on T+2 and to lock and review the limits and rates of the account.

8.2 Intraday Margin Call Because of market volatility, the equity balance of an account may fall below the maintenance level down to the enforcing level (Bt15,000 per a futures equivalent position—subject to change) regardless of margin call status. Once that happens, the company will contact the client for an intraday margin call to bring the equity balance back up to:

1. The maintenance margin level to prevent margin call at day-end mark-to-market, Or, 2. The initial margin level if the account is already in margin call status.

The client may either place intra-day call margin before 16.00 hours or close positions. If no action is taken within the mentioned timeframe, the company reserves the right to force-close positions. 9. Advice for Non-Resident Investors

The settlement date of derivatives trading is a T+1 convention. Investors residing outside of Thailand should take extra care on margin call due to different time zones and holidays.

Having extra cash in a saving account with a domestic bank and allowing direct debiting for margin call in the case of an emergency is a useful way to prevent settlement default.

10. Related Taxation

Foreign individual �� 15% withholding tax on interest received �� No capital gains tax

Foreign Juristic �� 15% withholding tax on interest received �� 15% withholding tax on capital gains

Thai Individual �� 15% withholding tax on interest received



�� No capital gains tax

Local Juristic �� 15% withholding tax on interest received �� Capital gains and interest receivable must be included in income tax calculations.

11. Cash Withdrawal

Due to the fact that the company has to deliver clients’ cash collateral to the Thai Clearing House, procedures for clients to withdraw cash from the company are in line with procedures set by the clearing house, as follow:

1. The maximum withdrawal amount is equal to the equity balance less the initial margins

of outstanding positions, pending orders and call margins, if any. 2. The minimum amount is Bt10,000, which can be changed according to the rates of

initial and maintenance margin. Amounts of less than Bt10,000 are allowed in the case of portfolio liquidation or using the amount to settle equity trading with the company.

3. If the withdrawal request is received before 11.00 hours of the business date T, the cash will be paid by T+1.

4. If the withdraw request is received after 11.00 hours of the business date T, the cash will be paid by T+2.

12. Trading Reports Confirmation notes are delivered by post on the business date T+1. Monthly reports detailing outstanding positions are delivered according to the following conditions:

�� Having trade movement, the company will deliver within 7 days of the following month.

�� Having no trade movement, the company will deliver reports only in March, June, September and December within 7 days of the following month.

13. Roles and Responsibilities

Non-Institutional Broking The unit is responsible for client due diligence, trading limit proposals, account opening, trading advisory and order execution. Derivatives Business Department The unit is responsible for market risk monitoring, derivatives trading promotion and staff training. Operation Department The unit is responsible for collateral management, trading reporting and client profile keeping. Middle Office Department The unit is responsible for account opening documentation review, trading & operational monitoring and credit reviews. Compliance and Internal Audit Department The unit is responsible for policy and ethical supervision, liaison with authorities and internal auditing.



14. Complaints and Arbitration Process Any complaint can be directed to the company call center at 662 618-1471-3 or to the Derivatives Business Department at extension 662 618-1491-3. The company will make all efforts to resolve any discrepancies within 7 days of the receipt date. Should a client be unsatisfied with the company’s resolution, he or she has the right to submit the complaint to the office of the Securities and Exchange Commission for arbitration, according to SEC guidelines.



Attachment 1: BLS Bank Accounts

Documents

Table of Contents Guides/Manual T… · Equity Balance Calculation in Futures Trading ... 3.3 Other types of Trading Orders 1. STOP ORDER: This can be used to limit loss and protect