The Saudi Stock Exchange (Tadawul) launches the derivatives market today, Aug. 30, 2020. The MT30 Index futures will be traded as the first exchange-traded derivatives product.
Derivatives will be traded in four sessions as follows:
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Trading Hours |
|
|
First session: Pre-open (opening auction) |
9:00 am to 9:30 am |
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Second session: Market Open (trading) |
9:30 am to 15:30 pm |
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Third session: closed market |
15:30 pm to 16:00 pm |
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Fourth session: closed system |
16:00 pm to 9:00 am the following day. |
The first exchange-traded derivatives product is an index futures contract, the Saudi Futures 30 (SF30), and is based on the MSCI Tadawul 30 Index (MT30). The contract size is SF30 multiplied by 100.
The contract months and years codes are set based on international practices as follows:
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Contract Months and Years Code Example: (Product code + contract year + contract month)
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|
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Month |
Code |
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January |
F |
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February |
G |
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March |
H |
|
April |
J |
|
May |
K |
|
June |
M |
|
July |
N |
|
August |
Q |
|
September |
U |
|
October |
V |
|
November |
X |
|
December |
Z |
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Year |
Year Code |
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2020 |
0 |
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2021 |
1 |
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2022 |
2 |
|
2023 |
3 |
|
2024 |
4 |
The maximum number of net long or net short positions to be held for all months has been set at 10,000. Qualified hedgers can hold positions beyond 10,000 contracts subject to the exchange approval upon submission of relevant documents of owning the underlying assets.
All institutional and corporate clients, individuals as well as individual DPMs can trade in the derivatives market by conducting a suitability assessment by participating members, as follows:
- 100% for corporate clients and individual DPMs: All institutional and corporate clients as well as individual DPMs. Individual DPMs are Saudi individual investment accounts in which the manager (Authorized Person) makes the buy/sell decisions for its client without referring to the account owner (based on to the agreed terms between them).
- 133% for Tier 1 individuals: Individual qualified client is a natural person who fulfills any of the following criteria:
-Conducted transactions not less than SAR 40 million and not less than 10 transactions in each quarter during last 12 months.
-Have an average portfolio size of SAR 5 million for the preceding 12 months.
-Worked for at least three years in financial sectors in a job related to securities’ investments.
-Holds General Securities Qualification Certificate which is recognized by the Capital Market Authority (CMA).
-Holds professional certificate that is related to securities business and accredited by an internationally recognized entity.
- 200% for Tier 2 Individual: Clients who are not under any of the other categories.
Following are the details of the MT30 Index Futures:
|
MT30 Index Futures |
|
|
Daily Price Limits |
+/-20% |
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Minimum Price Fluctuation–Tick |
0.5 points valued at SAR 50 |
|
Closing Price |
Last transaction price |
|
Contract Code |
SF30 |
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Minimum Transaction |
One contract |
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Contract Size |
SF30 multiplied by SAR 100 |
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*Trading Commission |
SAR 25 |
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Speculative Position Limit |
Maximum number of net long or net short position to be held for all months set at 10,000 Qualified hedgers can hold positions beyond 10,000 contracts subject to Exchange approval upon submission of relevant documents of owning the underlying assets. |
|
Settlement |
All outstanding positions are Mark to Market based on daily settlement price at the end of the day T+0. |
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Daily Settlement Price |
Daily settlement price of the futures contract shall be based on:
-The VWAP (volume weighted average price) of last 10 minutes of the trading day, subject to a minimum of 10 trades in last 10 minutes. -If there are less than 10 trades in last 10 minutes, then the Exchange shall use the Theoretical Futures Price (TFP)1 to compute the fair value of the contract at the market close. |
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Final Settlement Price |
The Final Settlement Price shall be the average value, rounded to the nearest 0.5 of an index point (values of 0.25 or 0.75 and above being rounded upwards), taken at every 15 seconds or at such intervals as may be determined by the Exchange from time to time from 14:00 to 15:00 plus one value after 15:10:30 of the MT30 on the Final Trading Day except the three highest and lowest values. |
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Price Change Unit |
The minimum limit of futures price change will be determined by the market in the specification of listed derivatives. |
|
Underlying Instrument |
MT30 (MSCI Tadawul 30 Index) |
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Contract Code |
(Product code + contract year + contract month) |
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Contract Months
|
Current month, next month and the next two quarters
|
|
Contract Expiry |
Third Thursday of the expiry month. If it is a holiday, then expiry will move backward to the previous trading day. |
*Brokerage fees not included.
**Futures price = current price/underlying asset price x (average – dividend yield) x the remaining period until the contract expiration – diluted dividends x (average x the remaining period until the contract expiration).
It is noteworthy that the MT30, a joint tradeable index co-developed with MSCI Inc., targets the top 30 companies listed on Tadawul, which are the largest in terms of market value and the most active. The index applies a maximum limit on the weights of these companies.
The top 10 companies accounted for 70.63% of the index weight by the end of June 2020.
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Highest Weight Companies in MT30 Index by June 2020 |
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|
Company |
Weight |
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SABIC |
14.02% |
|
Al Rajhi |
12.26% |
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STC |
10.51% |
|
NCB |
9.69% |
|
Aramco |
6.90% |
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Samba |
4.65% |
|
Riyad |
4.03% |
|
BSF |
2.98% |
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SABB |
2.90% |
|
SAFCO |
2.69% |
|
Total |
70.63% |
The MT30 index was calculated upon its launch in February 2019 on a base date of Nov. 26, 2013, with a base value of 1,000 points, in order to provide five years of historical data for users.
The index recorded its highest close at 1,392 points since its launch on May 2, 2019, while its lowest close was on March 16, 2020 at 815 points.
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MT30 Index Performance in Details |
|
|
|
Year |
Close (Point) |
Variation |
|
2013* |
1,022 |
+2% |
|
2014 |
975 |
(5%) |
|
2015 |
882 |
(10%) |
|
2016 |
948 |
+7% |
|
2017 |
988 |
+4% |
|
2018 |
1,141 |
+15% |
|
2019 |
1,182 |
+4% |
* Compared to the base.
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