5Y GB Futures: Contract Specification

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5 Year Governemtn Bond Futures

Underlying Assets

5-Year Thai Government Bond with 5% coupon (semi-annual) represented by the basket of Eligible Bonds

Contract size

1,000,000 Baht

Settlement Month

2 nearest quarter months on March June September December cycle

Minimum Price Fluctuation (Tick size)

0.01 (Equivalent to 100 Baht per contract)

Price Limit

+- 5.00% of previous day settlement price

Trading Hours

Pre-open:	9:15 a.m. - 9:45 a.m.
Morning session:	9:45 a.m. - 12:30 a.m.
Pre-open:	1:45 p.m. - 2:15 p.m.
Afternoon session:	2:15 p.m. - 4:00 p.m.

Speculative Position limit

Net 10,000 contracts of 5 Year Government Bond Futures on one side of the market in any contract month or all contract months combined

Final 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 final 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