Ground Rules for SET Index Series

Transcription

1 Groud Rules for SET Idex Series Fixed Icome ad Other Product Departmet The Stock Exchage of Thailad November

2 Table of Cotets 1. Overview SET Idex Committee Idex Calculatio Price Idex Total Retur Idex (TRI) Adjustmet of Idex Base Value Capped weight adjustmet of the Idex Criteria for Costituets Selectio for SET, SET idustry group, SET Sector, mai ad mai Idustry group Idex Basic qualificatios for securities i the Idex Criteria for Costituets Selectio for SET50, SET100, sset, SETB, SETCLMV, SETHD, SETCLMV ad SETTHSI Idex Idex Review Period Basic qualificatios for securities i the Idex Costituets of SET50 Idex ad SET100 Idex i each periodic review Costituets of sset Idex i each periodic review Costituets of SET CLMV Exposure Idex i each periodic review Costituets of SET High Divided 30 Idex i each periodic review Costituets of SET THSI Idex i each periodic review Costituets of SET Well-Beig Idex (SETWB) i each periodic review Criteria for Chagig of Costituets betwee the Periodic Review Udertakig due to Chagig of Costituet betwee the Periodic Review Defiitio of Key Terms Disclaimer Appedix A Examples of Idex Calculatio

3 1. Overview 1.1. Idex created by The Stock Exchage of Thailad (SET) The Stock Exchage of Thailad has created Idex Series to correspod with capital market developmet that has bee happeig at various periods of time ad respod to various ivestors eeds. The idex series ca be used for may purposes, i.e. to reflect the price movemets of securities traded o SET, to be the bechmark for ivestmet performace, or to use as uderlyig idex of such fiacial istrumets as derivatives, mutual fuds ad exchage-traded fud (ETF), etc. I ay case, the Idex Series created by SET is a proprietary SET s trademark, owed by SET Idex Operatio Framework SET Idex Operatio Framework comprises of idex calculatio ad dissemiatio, idex iformatio service, ad selectio of idex costituets accordig to the pre-defied criteria. SET clearly specifies operatioal criteria ad guidelies, with iteral audit fuctio to esure accurate ad cotiuous idex dissemiatio. I case of ay major adjustmet, amedmet or additio of SET Idex Series Groud Rules which have sigificat impact o the SET s stakeholders such as listed compaies, brokerage firms, asset maagemet compaies, etc., SET may cosider their opiios by discussig with them, listeig to their views or takig their views ad/or opiios ito cosideratio as deemed suitable to esure that the Rules are i accordace with the situatio ad eeds of the idex users Groups of Idex created by SET The idex created by SET ca be divided ito 4 mai groups as follows: 1. SET Idex Series, cosistig of 1.1 SET Idex 1.2 SET Idustry Group Idex ad SET Sector Idex 1.3 SET50 Idex 1.4 SET100 Idex 1.5 sset Idex 3

4 2. SET Thematic Idex Series, cosistig of: 2.1 SETCLMV Idex (SET CLMV Exposure Idex) 2.2 SETHD Idex (SET High Divided 30 Idex) 2.3 SETTHSI Idex (SET THIS Idex) 2.4 SETWB Idex (SET Well-Beig Idex) 3. mai Idex Series, cosistig of: 3.1 mai Idex 3.2 mai Idustry Group Idex 4. Total Retur Idex (TRI) is a idex that measures all kids of retur o securities ivestmet, cosistig of: 4.1 SET TRI 4.2 SET50 TRI 4.3 SET100 TRI 4.4 sset TRI 4.5 SETCLMV TRI 4.6 SETHD TRI 4.7 SETTHSI TRI 4.8 SETWB TRI 4.9 mai TRI 4.10 Idustry TRI 4.11 Sector TRI 2. SET Idex Committee SET has established the SET Idex Committee to set policy o idex developmet so as to respod to the eed of users ad make it comparable to the commo practice used iteratioally. I additio, the SET Idex Committee is resposible for approvig the result of idex costituet selectio accordig to the set criteria, usig its judgmet as specified i the criteria, makig ay chage to the criteria or takig other suitable measures to esure that the Idex effectively reflect the market coditio. The SET Idex Committee s duty is also to give advice o various issues related to idex operatio. All these are carried out to esure that the operatios are i lie with SET s objectives. 4

5 3. Idex Calculatio Idex created by SET is calculated as Price Idex ad Total Retur Idex Price Idex Price Idex is a idex that reflects price movemet of securities which are costituets of the idex The idex, created by SET is market capitalizatio weighted idex. The price idex cosists of SET Idex Series ad mai Idex Series. Price Idex formula: Where: Curret Market Value () = total market value of costituets at calculatio date Base Market Value () = total market value of costituets at base date Base Value = Base poit of the idex The idex, created by SET is market capitalizatio weighted ad adjusted with other variables. Price Idex formula: Where: Adjusted = total market value of costituets at calculatio date weighted with other variables Adjusted = total market value of costituets at base date weighted with other variables Base Value = Base poit of the idex 5

6 SETCLMV Idex formula: Where: Price it = Market price of each costituet at calculatio date Listed Share it = Number of listed shares of each costituet at calculatio date CLMV Exposure Factor it = CLMV Exposure Factor at the calculated date Adjustmet Factor it = Cap-weight rate for each costituet at calculated date, used for distributig the excess costituet weight (higher tha 5% of the idex) to the costituet, havig the weight less tha 5% of the idex, quarterly re-calculate Adjusted = Total market value of the idex at base date, weighted by CLMV Exposure ad adjustmet factor Base Value = Base poit of the idex The CLMV Exposure Factors for each security are calculated by Where CLMV Reveue i = Reveue from CLMV coutries (Cambodia, Laos, Myamar ad Vietam) of each costituet Total Reveue i = Total reveue of each costituet = CLMV reveue of all costituet o SET SETHD Idex formula: Where: Price it = Market price of each costituet at calculatio date 6

7 Listed Share it = Number of listed shares of each costituet at calculatio date Divided Yield it = Divided yield of each costituet of the idex, at calculatio date, capped at 15%. Adjustmet Factor it = Cap-weight rate for each costituet at calculated date, used for distributig the excess costituet weight (higher tha 10% of the idex) to the costituet, havig the weight less tha 10% of the idex, quarterly re-calculate Adjusted = total market value of the idex at base date weighted by divided yield ad adjustmet factor Base Value = Base poit of the idex SETTHSI Idex formula: Where Price it = Market price of each costituet at calculatio date Listed Share it = Number of listed shares of each costituet at calculatio date Adjustmet Factor it = Cap-weight rate for each costituet at calculated date, used for distributig the excess costituet weight (higher tha 5% of the idex) to the costituet, havig the weight less tha 5% of the idex, quarterly re-calculate Adjusted = total market value of the idex at base date, weighted by CLMV Exposure ad adjustmet factor Base Value = Base poit of the idex 7

8 SETWB Idex formula: Where Price it = Market price of each costituet at calculatio date Listed Share it = Number of listed shares of each costituet at calculatio date Adjustmet Factor it = Cap-weight rate for each costituet at calculated date, used for distributig the excess costituet weight (higher tha 10% of the idex) to the costituet, havig the weight less tha 10% of the idex, quarterly re-calculate Adjusted = total market value of the idex at base date, weighted by adjustmet factor Base Value = Base poit of the idex Summary of base date ad base poit of Price Idex is as follows: Name of Price Idex Base Date Base Poits SET Idex April 30, poits mai Idex September 2, poits SET Idustry Group Idex December 31, 2003* 100 poits SET Sector Idex April 30, 1975* 100 poits mai Idustry Group Idex December 30, 2014* 100 poits SET50 Idex August 16, ,000 poits SET100 Idex April 30, ,000 poits sset Idex December 30, ,000 poits SETCLMV Idex Jue 29, ,000 poits SETHD Idex Jue 30, ,000 poits SETTHSI Idex Jue 29, ,000 poits SETWB Idex March 29, ,000 poits *Please see details via SET's Idustry Group ad Sector classificatio. 8

9 3.2 Total Retur Idex (TRI) Total Retur Idex (TRI) is a idex that measures all kids of retur o securities ivestmet icludig capital gai/loss ad divideds. It is based o the additioal assumptio that divideds are reivested i securities. TRI formula: Where: TRI t = Total retur idex at calculatio date TRI t-1 = Total retur idex at previous date Daily Total Retur t = Daily total retur at calculatio date Daily total retur is calculated by usig the followig formula: Daily Total Retur formula, calculated by the Market Capitalizatio Weighted Idex at calculatio date, used for SET Idex Series ad mai Idex Series Where: Idex Value t = Price idex value at calculatio date Idex Value t-1 = Price idex value at previous date t = Base market value of total securities at base date Total Divided Paymet t = Total divided paymet of all costituets of the idex at calculatio date 9

10 3.2.2 Daily Total Retur formula, calculated by the Market Capitalizatio Adjusted-Weighted Idex at base date, used for SETCLMV, SETHD, SETTHSI ad SETWB Idex Series Where: Idex Value t Idex Value t-1 Adjusted t = Price idex value at calculatio date = Price idex value at previous date = Base market value of total securities, weighted by other variables at calculatio date Adjusted Total Divided Paymet t = Total divided paymet of all costituets of the idex, weighted by the other variables at calculatio date Adjusted Total Divided Paymet t formula: Where Total Divided Paymet it Others Variables it = Total divided paymet of all costituets of the idex at calculatio date = Other variables for the weighted calculatio of each securities at calculatio date Other variables used for the calculatio i the Adjusted Total Divided Paymet t for each security i the TRI idex ca be summarized as show i the table below. Name of Total Retur Idex Adjusted Total Divided Paymet SETCLMV TRI CLMV Exposure Factor Adjustmet Factor SETHD TRI Divided Yield Adjustmet Factor SETTHSI TRI Adjustmet Factor SETWB TRI Adjustmet Factor The divided figure used here is the amout that the compay aouced to pay. The types of divideds used are as follows: 10

11 - Normal Cash Divided is paid from et profit of a firm s curret performace or from retaied earigs. - Special / Extra Divided is paid apart from ormal cash divided. Extra divided occurs whe a firm has icome from special evets. - Capital Repaymet is a evet where a firm pays capital back to shareholders. Remark: Stock Divided is ot icluded because it is ot i the form of cash that ca be reivested. Timig of reivestmet is based o the assumptio that the divideds will be reivested o the day the costituet is posted the sigs. If a costituet has o tradig o that date, SET will take divideds ito TRI calculatio o the first day that the costituet is traded. Summary of base date ad base poit of Total Retur Idex is as follows: Name of Total Retur Idex Base Date Base Poit SET TRI Jauary 2, ,000 poits mai TRI September 2, ,000 poits SET Idustry Group TRI December 31, 2003* 1,000 poits SET Sector TRI Jauary 5, 2004* 1,000 poits mai Idustry Group TRI December 30, 2014* 1,000 poits SET50 TRI Jauary 2, ,000 poits SET100 TRI April 29, ,000 poits sset TRI December 30, ,000 poits SETCLMV TRI Jue 29, ,000 poits SETHD TRI July 4, ,000 poits SETTHSI TRI Jue 29, ,000 poits SETWB TRI March 29, ,000 poits * Please see details via SET's Idustry Group ad Sector classificatio. 11

12 3.3 Adjustmet of Idex Base Value I order to make the idex truly reflect the price movemet of the Idex costituets, SET will adjust idex base value based o the followig priciple: Idex after adjustmet = Idex before adjustmet Where: = Curret market value after adjustmet = Base market value after adjustmet 0 = Curret market value before adjustmet 0 = Base market value before adjustmet SET will make adjustmets i idex calculatio accordig to the followig evets: 1) Whe a ew idex costituet is added as a result of: o New Issue o Resumig of tradig of securities which have bee suspeded for more tha 1 year o Chage of market o New costituet at periodic review or betwee periodic review o Chage of Idustry group or Sector for oly Idustry group Idex or Sector Idex, etc. 2) Whe a existig idex costituet is removed as a result of: o Delistig o Securities which are suspeded for more tha 1 year o Chage of market o o Costituet removed at periodic review or betwee periodic review Chage of Idustry group or sector for oly Idustry group Idex or Sector Idex, etc. 12

13 3) Whe there are chages i umber of shares of idex costituets due to capital icrease, capital decrease, coversio of debetures to commo stocks, exercise of warrats, etc. Exceptioal cases are as follows: o Split: o adjustmet is made to the base market value, due to the fact that the stock split icreases umber of listed shares ad makes stock price decrease i the same proportio. Thus, market value of such security is uchaged. o Stock divided: o adjustmet is made to the base market value sice it is just a trasfer of retaied earigs to paid-up capital. Examples of idex calculatio are i Appedix A. 3.4 Capped weight adjustmet of the Idex SET will operate the capped weight adjustmet of the Idex at the first day of each quarter (day T) by usig the previous 3 busiess days data (T-3) to calculate the Adjustmet Factor for distributig the excess costituet weight. I the case, where the capped weight is ot met the criteria, SET Idex Committee will cosider such evet ad the decisio of SET Idex Committee is fial. The capped weight Idex ca summarize as followig Name of Idex Maximum weighted capped per securities SETCLMV 5% maximum SETHD 10% maximum SETTHSI 5% maximum SETWB 10% maximum 4. Criteria for Costituets Selectio for SET, SET idustry group, SET Sector, mai ad mai Idustry group Idex 4.1. Basic qualificatios for securities i the Idex The eligible securities must be the commo stocks that have bee listed for icorporatig i Thailad (Thai stocks) or listed for icorporatig i other coutries (foreig stocks). I the case of cosideratio for the foreig stocks, foreig stocks ca either be listed oly o SET (primary listed) or listed o SET ad other stock exchages (Dual listed). I additio, the eligible stocks also 13

14 iclude the Property Fud & Real Estate Ivestmet Trust (PFUND & REITs) ad Ifrastructure Fud. 5. Criteria for Costituets Selectio for SET50, SET100, sset, SETB, SETCLMV, SETHD, SETCLMV ad SETTHSI Idex 5.1. Idex Review Period The idex review is coducted every 6 moths: i Jue (for idex calculatio durig the secod half of each year) by usig data from Jue 1 of the previous year util May 31 of the year i review, ad i December (for idex calculatio durig the first half of the followig year) by usig data from December 1 of previous year util November 30 of the year i review Basic qualificatios for securities i the Idex The eligible securities must be stocks that have bee listed for icorporatig i Thailad (Thai stocks), or listed for icorporatig i other coutries (foreig stocks) which has bee listed o SET oly (primary listed) ad has bee listed o SET for a miimum of 6 moths except stocks beig selected accordig to the SET criteria betwee periodic reviews The eligible stocks must ot be ay of the followigs: Likely to be delisted accordig to SET regulatios Udergoig delistig process Beig curretly suspeded (SP) from tradig for a log period Havig tedecy to be suspeded for a exteded period of time (such as 3 moths due to ot beig able to submit fiacial statemet, etc.) Beig stocks of compaies that defaulted ad/or fail to pay debt yet which may sigificatly have impact o the fiacial positio of the compaies Beig stocks of compaies that are bakrupt, i the rehabilitatio process, or liquidated Beig stocks of compaies with auditors opiio o the latest fiacial statemet idicatig disclaimer of opiio or adverse opiio which iclude the commets for amedig ad special auditig o the latest or o-specific period of fiacial statemet, from other related regulators. 14

15 5.3. Costituets of SET50 Idex ad SET100 Idex i each periodic review The eligible stocks must be i the top 200 stocks i terms of average daily market capitalizatio for the past 3 moths. For the stocks selected accordig to Criteria for Chagig of Costituet betwee the Periodic Review ad traded for less tha 3 moths, the average daily market capitalizatio from the first tradig day will be cosidered The eligible stocks must maitai their free-float of o less tha 20% of the listed compay s paid-up capital, by cosiderig the latest data i the idex review period The tradig of eligible stocks uder ormal circumstaces is cotiuous for a certai period of time. Stock s mothly tradig value must be at least 50% of the average mothly tradig value per commo stock i the same moth for at least 9 out of the 12 moths durig the evaluatio period, or at least three-fourths of the tradig period but ot less tha 6 moths for stocks traded less tha 12 moths. Tradig of ew stock beig added betwee the periodic review must meet at least three-fourths of its tradig period The eligible stocks must have tradig shares of at least 5% of the listed shares of that stock i the same moth that tradig value complies with the coditio i sectio If the umber of eligible stocks is less tha 105, SET will take the followig criteria: Reduce the percetage of tradig value from 50% by 5% at a time. However, the limit will ot be less tha 20% Reduce the umber of moths by 1 moth at a time, but ot less tha 6 moths. There is a exceptio for the ew stock beig added betwee the periodic review Reduce the percetage of tradig shares from 5% by 0.5% at a time, but ot less tha 1%. However, i order to get a total of 105 stocks, SET may reduce the percetage of tradig value, the umber of moths or the percetage of tradig shares accordig to the cosideratio of the SET Idex Committee. The top 50 stocks raked by average daily market capitalizatio will be chose for the calculatio of the SET50 Idex. The top 100 stocks, which iclude all those i the SET50 Idex together with the ext 50 stocks, will be used i calculatig the SET100 Idex. Reserve List Securities raked # will be the reserve stocks for the SET 50 Idex. Securities raked # will be the reserve stocks for the SET 100 Idex. 15

16 5.4. Costituets of sset Idex i each periodic review The eligible stocks must have cumulative market capitalizatio coverage betwee 90%- 98% of those of all commo stocks o SET that are sorted i descedig order by average daily market capitalizatio for the past 3 moths. For the stocks selected accordig to Criteria for Chagig of Costituet betwee the Periodic Review ad traded for less tha 3 moths, the average daily market capitalizatio from the first tradig day will be cosidered The eligible stocks must ot be the costituets of the SET 100 Idex i the same period The eligible stocks must maitai their free-float of o less tha 20% of the listed compay s paid-up capital, by cosiderig the latest data i the idex review period The Turover Ratio of eligible stocks uder ormal circumstaces is cotiuous for a certai period of time. Stock s mothly tradig shares must be at least 0.50% of its total listed shares for at least 9 out of the 12 moths durig the evaluatio period, or at least three-fourths of the tradig period for stocks traded less tha 12 moths. All stocks that have passed the above criteria will become sset Idex costituets Costituets of SET CLMV Exposure Idex i each periodic review The eligible stocks must have the reveue from CLMV coutries (Cambodia, Laos, Myamar, ad Vietam) at least 10% of the compay s total reveue, or must have the reveue from CLMV coutries of at least THB 100 millio, takig ito cosideratio published data i the appedix of the latest fiacial statemet, the latest 56-1 form ad the data of SET surveys showig reveue of Thai listed compaies operatig i CLMV The eligible stocks must have the miimum average daily market capitalizatio at 5,000 millio Baht for the past 3 moths. For the stocks selected accordig to Criteria for Chagig of Costituet betwee the Periodic Review ad traded for less tha 3 moths, the average daily market capitalizatio from the first tradig day will be cosidered The eligible stocks must maitai their free-float of o less tha 20% of the listed compay s paid-up capital, by cosiderig the latest data i the idex review period The tradig of eligible stocks uder ormal circumstaces is cotiuous for a certai period of time. Stock s mothly tradig must be at least 0.5% of the average mothly tradig per commo stock i the same moth for at least 9 out of the 12 moths durig the evaluatio period, or at least three-fourths of the tradig period but ot less tha 6 moths for stocks 16

17 traded less tha 12 moths. Tradig of ew stock beig added betwee the periodic reviews must meet at least three-fourths of its tradig period. All stocks that have passed the above criteria will become SET CLMV Exposure Idex costituets Costituets of SET High Divided 30 Idex i each periodic review The eligible securities must be the costituets of the SET 100 Idex i the same period The eligible securities must be stocks that have paid divideds cotiuously, by takig ito cosideratio their fiacial data of 3 accoutig periods, as follows: As a listed compay, cash divideds (excludig special divideds) are paid cotiuously for the last three years Average 3-year divided payout ratio is o more tha 100% If the umber of eligible stocks is less tha 35, SET will decrease the umber of years from 3 years by 1 year at a time. However, the miimum year must ot be less tha 1 year. I order to get a total of 35 stocks, SET may implemet ay other criteria that the SET Idex Committee deems appropriate. The stocks that have passed the above criteria will be raked i descedig order by the average daily divided yield for the past 3 moths durig the periodic review. The top 20 costituets will be icluded i the calculatio of the SET High Divided 30 Idex. The ext 10 costituets are the selected from rakigs # The existig costituets of SET High Divided 30 Idex will get the first priority. After that the rest i rakig will be cosidered util there are 30 costituets. Reserve lists are securities raked # Costituets of SET THSI Idex i each periodic review The eligible stocks must be i the latest Thailad Sustaiability Ivestmet (THSI) list The eligible stocks must have the miimum average daily market capitalizatio at 5,000 millio Baht for the past 3 moths. For the stocks selected accordig to Criteria for Chagig of Costituet betwee the Periodic Review ad traded for less tha 3 moths, the average daily market capitalizatio from the first tradig day will be cosidered The eligible stocks must maitai their free-float of o less tha 20% of the listed compay s paid-up capital, by cosiderig the latest data i the idex review period. 17

18 The tradig of eligible stocks uder ormal circumstaces is cotiuous for a certai period of time. Stock s mothly tradig must be at least 0.5% of the average mothly tradig per commo stock i the same moth for at least 9 out of the 12 moths durig the evaluatio period, or at least three-fourths of the tradig period but ot less tha 6 moths for stocks traded less tha 12 moths. Tradig of ew stock beig added betwee the periodic review must meet at least three-fourths of its tradig period. All stocks that have passed the above criteria will become SET THSI Idex costituets Costituets of SET Well-Beig Idex (SETWB) i each periodic review The eligible stocks must be i these 7 sectors; Agribusiess, Commerce, Fashio, Food ad Beverage, Health Care Service, Tourism & Leisure ad Trasportatio & Logistics The eligible stocks must maitai their free-float of o less tha 20% of the listed compay s paid-up capital, by cosiderig the latest data i the idex review period The tradig of eligible stocks uder ormal circumstaces is cotiuous for a certai period of time. Stock s mothly tradig must be at least 0.5% of the average mothly tradig per commo stock i the same moth for at least 9 out of the 12 moths durig the evaluatio period, or at least three-fourths of the tradig period but ot less tha 6 moths for stocks traded less tha 12 moths The eligible securities must be profitable for at least 2 out of 3 years, takig ito cosideratio the cosolidated fiacial statemets i the past three years If the umber of eligible stocks is less tha 35, SET will decrease the umber of the tradig moths by 1 moth at a time, but ot less tha 6 moths. I order to get a total of 35 stocks, SET may implemet ay other criteria that the SET Idex Committee deems appropriate. The top 30 stocks raked by the daily average market capitalizatio for 1 30 will be selected as costituets for the calculatio of the SETWB Idex. Reserve List Securities raked # will be the reserve stocks for the SET WB Idex. 18

19 5.9. Criteria for Chagig of Costituets betwee the Periodic Review New Issue A ew listed compay will be icluded i SET50 Idex or SET 100 Idex calculatio betwee the periodic review, if the ew listed compay is large i size, for example, its market capitalizatio is expected to be greater tha 1% of SET Idex s total market capitalizatio, or it is expected to be as large as oe of the top 20 of the SET50 or SET100 costituets The New Issue does ot iclude the ew listed compay which results from restructurig, merger & acquisitio with the existig listed compay as show i sectio The ew compay will be icluded i the idex at the ed of its first tradig day. I this process, the stock with lowest rakig by market capitalizatio will be removed to the reserve list There is o adjustmet for sset Idex, SETCLMV Idex, SETHD Idex, SETTHSI ad SETWB Idex Mergers & Acquisitios, Takeovers, ad Complex Corporate Restructurigs If the above corporate evets are carried out betwee the stocks i the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex the compay resultig from the evets will remai i the same idex. The reserve list will be selected to maitai the umber of costituets i the SET50 Idex, SET100 Idex, SETHD Idex ad SETWB Idex I case the above corporate evets are carried out betwee the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex ad o-costituets: If the existig costituet of the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex is still a listed stock, it ca still be i the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex as before If the existig costituet of the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex is ot a listed stock aymore, the resultig compay that applies for listig will replace such costituet i the SET50 Idex or 19

20 SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex at the ed of its first tradig day If the restructurig of the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex costituet has caused split or spi off ito two or more compaies ad the costituet of the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex is still a listed stock, it ca still be i the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex as before If ay costituet resultig from has free float less tha 20%, it will be removed from the idex calculatios ad be replaced by the reserve list so as to maitai the umber of costituets i the SET50 Idex, SET100 Idex, SETHD Idex ad SETWB Idex Ay other cases will be cosidered by the SET Idex Committee Tradig Suspesio for Log Period If a costituet of the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex is suspeded from tradig (SP sig) for 20 busiess days or more, SET will review mothly ad remove that costituet from the idex calculatio Costituets that will be removed from the idex calculatio of SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex. If a costituet of the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex is oe of the followigs, SET will remove the costituet by otifyig the date of chage i advace Beig stocks of compaies that defaulted ad/or fail to pay debt yet which may sigificatly have impact o the fiacial positio of the compaies Beig stocks of compaies that are bakrupt, i the rehabilitatio process, or liquidated Beig stocks of compaies with auditors opiio o the latest fiacial statemet idicatig disclaimer of opiio or adverse opiio which iclude the commets for amedig ad special auditig o the latest or o-specific period of fiacial statemet, from other related regulators. 20

21 5.10. Udertakig due to Chagig of Costituet betwee the Periodic Review Whe the stock is added as a costituet i SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex, causig the removal of costituet from such idex to the reserve list, SET will take out the costituet with the smallest market capitalizatio at closig price of the third day before the day of removig the costituet from the calculatios. The removed SET100 Idex stock will ot be added i the sset Idex calculatio Selectio from the reserve list to replace the removed costituet to maitai the umber of costituets i the idex SET will choose the reserve stock of SET50 idex or SET100 idex or SETWB Idex with highest market capitalizatio at the closig date 3 days before removig the costituet from the calculatios SET will choose the reserve stock of SETHD Idex with highest divided yield calculated at the latest periodic review If reserve stocks are ot eough, it will be uder the cosideratio of the SET Idex Committee i order to maitai the umber of costituets i the idex If the reserve list of SET100 Idex becomes the costituet of such Idex, the stock will be removed from the sset Idex calculatio SET will aouce the chage i the costituets of the SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex i advace of implemetatio. I ay evet that the selectio of SET50 Idex or SET100 Idex or sset Idex or SETCLMV Idex or SETHD Idex or SETTHSI Idex or SETWB Idex eeds iterpretatio of the pre-defied criteria; or that the criteria is ot completely specified or do ot cover, SET Idex Committee will cosider such evet ad the decisio of SET Idex Committee is fial. Defiitio of Key Terms SET defies the defiitio of Key Terms i Key Statistics ad Fiacial Ratio Maual Guide so that ivestors ca use for makig ivestmet decisio. 21

22 Disclaimer This documet is provided for givig iformatio to ivestors. It is ot for ivestmet advice or legal opiio. SET shall ot be resposible for autheticatio of iformatio, icludig for damage caused by usig or referrig or dissemiatig a part or all of iformatio. Moreover, SET has the rights to chage or amed the cotets of this documet as appropriate. Iformatio that shows i this documet o matter wordig, picture, cotet, formula or other compoets is legally owed by SET. If ay perso makes a copy or adapts or publishes or does other acts i terms of commercial or for his / her ow beefit ad purpose with o permissio is grated by SET, SET reserves the rights to take actio accordig to the law. This Eglish versio is ot a officially accurate traslatio of the origial Thai documet. I ay cases where differeces arise betwee the Eglish versio ad the origial Thai versio, the origial Thai documet will prevail. 22

23 Appedix A Examples of Idex Calculatio Day 1. Base date Assumptio: There are 3 listed compaies. Stock A: 100,000 shares, par value = THB100, market price = THB110 Stock B: 300,000 shares, par value = THB100, market price = THB160 Stock C: 200,000 shares, par value = THB100, market price = THB120 Base Idex = 100 PitQit i1 = 100 P Q io io = ( ,000) ( ,000) ( ,000) 100 ( ,000) ( ,000) ( ,000) = 83,000, ,000,000 = 100 Day 2. Chage i market prices The market prices of A, B ad C chage to THB 120, THB 170 ad THB 110, respectively. The Idex the becomes: Idex (2) =

24 ( ,000) ( ,000) ( ,000) = ,000,000 = 85,000, ,000,000 = Day 3. New listig of stock D The market prices of A, B ad C chage to THB 110, THB 170 ad THB 120, respectively. I additio, stock D is a ewly listed stock today, with 150,000 shares ad closig price of THB 140. Whe a ew stock is listed or ay stock is added i the Idex, the umber of listed stocks ad the market value will be affected. SET will adjust the Base Market Value () by usig the closig price of that stock o the first tradig day. However, the price movemet of stock D is ot icluded i the idex durig the first tradig day. At the ed of Day 3, the Idex the becomes: Idex (3) = 100 = ( ,000) ( ,000) ( ,000) ,000,000 86,000,000 = ,000,000 = The, the for Idex o Day 4 will be: 24

25 = = = 0 0 ( ,000) ( ,000) ( ,000) ( ,000) 83,000,000 ( ,000) ( ,000) ( ,000) 107,000,000 83,000,000 86,000,000 = 103,267,441 The compariso of Idex betwee before ad after the adjustmet is as follows: 107,000,000 86,000, ,267,441 83,000, = Day 4. Chage i market prices 0 0 The market prices of A, B, C ad D chage to THB120, THB180, THB120 ad THB130, respectively. The Idex the becomes: Idex (4) = 100 ( ,000) ( ,000) ( ,000) ( ,000) = ,267,441 = 109,500, ,267,441 = Effective o Day 5, compay C will be delisted. Whe ay stock is delisted or listed shares of a stock decreases, the umber of listed shares ad the market value will be affected. SET will adjust the Base Market Value () o the day prior to the effective date by usig the closig price of the stock o that day. 25

26 The for Idex o Day 5 will the be: = = = 0 0 ( ,000) ( ,000) ( ,000) 103,267,441 ( ,000) ( ,000) ( ,000) ( ,000) 103,267,441 85,500, ,500,000 = 80,633,481 Day 5. Delistig of Stock C Stock C is delisted o Day 5. The market prices of A, B ad D chage to THB130, THB180 ad THB140, respectively. So, the Idex value i Day 5 is: Idex (5) = 100 ( ,000) ( ,000) ( ,000) = ,633,481 88,000,000 = ,633,481 = Day 6. Par splittig Effective o Day 6, Stock A will split its par value from THB100 to THB 50. Such evet icreases the umber of shares but the price decreases i the same proportio. Therefore, the base value of idex will ot be adjusted. 26

27 The market prices of A, B ad D chage to THB75, THB180 ad THB150, respectively. The Idex o Day 6 is: Idex (6) = 100 (75 200,000) ( ,000) ( ,000) = ,633,481 = 91,500, ,633,481 = Day 7. Capital icrease by rights offerig to existig shareholders (Ex-right day) Compay D will raise its capital by 150,000 shares through the rights offerig to the existig shareholders, where the Ex-right day is set o Day 7. Shareholders are offered the rights to buy a ew share at a exercise price of THB100 for each share they hold. (XR THB100) O Day7, closig prices of A, B ad D chage to THB80, THB170 ad THB130, respectively. Whe ay stock icreases its capital through a rights offerig, the adjustmet will deped o the value of rights. I case where the rights is i-the-moey (subscriptio price is lower tha prior closig price), shareholders will exercise the rights. The, SET will adjust the Base Market Value () at ed of day (EOD) o the ex-rights date by usig the Subscriptio Price ad the ew issued shares. The formula is as follow: 0 (Subscriptio Price New Shares Issued) O the other had, whe the rights are at-the-moey (subscriptio price is equal to prior closig price) or out-of-the moey (subscriptio price is higher tha prior closig price), shareholders will ot exercise the rights because they ca purchase shares at the curret market price which is lower tha subscriptio price. SET will take o adjustmet to o the ex-rights (XR) date. However, the Base Market Value () will be adjusted whe the additioal shares are listed by usig the same adjustmet as Public Offerigs (PO). 27

28 For this case, the rights is cosidered as i-the-moey (THB100 < THB150). The for idex calculatio will the be: = 0 (Subscriptio Price New Shares Issued) = = (80 200,000) ( ,000) ( ,000) 80,633,481 [(80 200,000) ( ,000) ( ,000)] ( ,000) 106,000,000 80,633,481 91,000,000 = 93,924,714 The Idex value i Day 7 is Idex (7) = 100 (80 200,000) ( ,000) ( ,000) = ,924,714 = 106,000, ,924,714 = Day 8. Public Offerigs (PO) ad Private Placemets (PP) Compay B raises its capital by 100,000 shares through Private Placemet (PP). The share allotmet is carried out as follows: 50,000 shares for compay s customers ad at THB150 ad other 50,000 shares for directors ad employees at THB100. Closig prices of A, B ad D chage to THB80, THB160 ad THB140, respectively. Whe compay icreases its shares through the public offerig or private placemet, SET will adjust the Base Market Value () whe additioal shares are firstly traded by usig the prior price of that stock ad applyig the followig formula. 28

29 0 (Prior Price New Shares Issued) for Idex calculatio o Day 8 is as follows: = 0 (Prior Price New Shares Issued) = = (80 200,000) ( ,000) ( ,000) 93,924,714 [(80 200,000) ( ,000) ( ,000)] ( ,000) 122,000,000 93,924, ,000,000 = 109,131,572 The Idex value i Day 8 is: Idex (8) = 100 (80 200,000) ( ,000) ( ,000) = ,131, ,000,000 = ,131,572 = Day 9. Chage i market prices Closig prices of A, B ad D chage to THB 85, THB 150 ad THB 135, respectively. The Idex value the becomes: Idex (9) =

30 (85 200,000) ( ,000) ( ,000) = ,131, ,500,000 = ,131,572 = Effective o Day 10, Compay D will reduce its capital by decreasig its umber of listed shares by 100,000 shares. I this case, SET will adjust the Base Market Value () o the day prior to the effective date by usig the closig price of that stock o that day (the last day of tradig such listed shares). I case of rights offerig, whe the ewly elarged capitalizatio of the compay is ot fully paid, it is ecessary to adjust the Base Market Value () by reducig the umber of shares which is ot subscribed. Such case has the same practice as the case of reducig capital. The Base Market Value () will be adjusted at the ed of the day prior to the first tradig day of additioal shares by usig the last closig price. for idex calculatio o Day10: = = = 0 0 (85 200,000) ( ,000) ( ,000) ( ,000) 109,131,572 (85 200,000) ( ,000) ( ,000) 104,000, ,131, ,500,000 = 96,593,050 Day 10. Capital decrease Market prices of A, B ad D chage to THB 80, THB 160 ad THB 100, respectively. Compay D reduces its capital by decreasig its umber of listed shares by 100,000 shares. The Idex value the becomes: Idex (10) =

31 (80 200,000) ( ,000) ( ,000) = ,593, ,000,000 = ,593,050 = Effective o Day 11, Compay M will upgrade its listig status from mai to SET. Stock M is traded o mai o Day 10 for the last day with 150,000 listed shares at a closig price of THB 50. Whe a stock moves from mai to SET o Day 11, SET will istatly iclude that stock ito the SET Idex from its first tradig day o SET oward. Accordigly, SET will adjust the Base Market Value () for the SET Idex at ed of day (EOD) o the last day it traded o mai by usig the closig price as adjusted price. For mai Idex, that stock will be treated as delisted stock. Likewise, the chage of stock from oe idustry group or sector to aother also uses the same method but the adjustmet will be take to the relevat idustry group or sector oly. for idex calculatio o Day11: = = = 0 0 (80 200,000) ( ,000) ( ,000) (50 150,000) 96,593,050 (80 200,000) ( ,000) ( ,000) 107,500,000 96,593, ,000,000 = 103,837,528 Day 11. Chage market Market prices of A, B ad D chage to THB 85, THB 150 ad THB 120, respectively. Market price of M which moves from mai to SET chages to THB

32 The Idex value the becomes: Idex (11) = 100 (85 200,000) ( ,000) ( ,000) (65 150,000) = ,837, ,750,000 = ,837,528 =