FTSE SET Index Series





14  2551
Agenda

1. FTSE SET Index Series 

2.  !"#
3. %&' (&)
4. '+,--./'./ FTSE SET Large Cap 5 SET50
-  9:&
- %&' (&)

2
FTSE "#$?

FTSE ;<& Independent Company A -B/CDB&E&;F 1995 H#E-:I;,55
Joint Venture './ London Stock Exchange , Financial Times

Q9RAC/ FTSE S:/,5RA  (&) ,C:+I!)T
)T#'C:/5 (&)

;UAA95& FTSE +)S%&/&E&;!V!)T;<&VI&#/!//R& 11
,./ :,. Beijing, Boston, Frankfurt, Hong Kong, London, New York,
Madrid, Paris, San Francisco, Shanghai , Tokyo

FTSE +)I:!B/SRB&E& 75 ;!V c #+)dI:E(:. (&) Real-time A%&'& 60,000 A!T'c

FTSE %&'. (&)gD/ 70,000 (&)-.'& (;<& (&) real-time gD/ 600 (&))

;UAA95& +)/!9&5%&jA5%&k#,./!)TE(: (&)C/ FTSE ;<& Benchmark lDT/ :,.
CalPers, French Fonds de Reserves pour les Retraites, Hong Kong Mandatory Provident
Funds, Norwegian Petroleum Fund, Irish Reserve, OMERS, PGGM, Swedish AP Funden
3
What is FTSE SET Index Series?

qFTSE SET Index Seriesr is the result of a collaboration

between The Stock Exchange of Thailand (SET) and FTSE
International

A new internationally accepted index for new financial

products such as ETFs (Exchange Traded Funds), derivatives
instruments and other funds and so contributes to financial
instrument variety and the marketts general attraction.

4
Index Design  FTSE SET Index Series

FTSE SET Large Cap Tradable Index

%&'!9 15 'R&!)
FTSE SET Mid Cap
FTSE SET Small Cap
Benchmark Indices*
FTSE SET All-Share %&'!9 60 'R&!)
FTSE SET Mid/Small Cap
FTSE SET Fledgling
* 
  
 Index
5
;c#(&C/ (&) FTSE SET Index Series

1. ;<& (&):/R/S%5dR-H!//R&E+.w (.&

Exchange Traded Fund (ETF) ,-S&9"&Q
2. ;<& ( &):/R/ Benchmark E&' /!9&
3. ;x cSE: 5A. ;<&!)TI:AC/dI:/!9&E& 5S+CDB&
lDT/(.'#"RT+SH"./ , +!9& :/.#CDB&

6
Agenda

1. FTSE SET Index Series 

2.  !"#
3. %&' (&)
4. '+,--./'./ FTSE SET Large Cap 5 SET50
-  9:&
- %&' (&)

7
!"#$%&'()$*+ (Screening Criteria)

Free Float is the share Indices should be

capital of a company investable. Each
that is freely available constituent must pass
for trading by investors a liquidity test

SET
Main Filter Investable Investable Investable
Board Universe Universe Index

By Market Screened for Liquidity Free Float

All Companies
Cap Free Float Tested Weighted

1 2 3
8
Index Design  FTSE SET Index Series

Dual screening criteria

 FTSE SET Index Series

 
Liquidity> 0.05%
No prices in
a year Free Float > 15%

Large Cap
(30)
(30)
Market Capitalisation

Eligible All Share

stocks for (139) 98%
(150)98% Mid Cap (43)
inclusion in 90%
(45) 90% Mid
SET FTSE SET Small
Universe Index Series Cap
Total (350)
Stocks (470) Small Cap (109)
(120)
(500) (66) 98%
(75) 98%

Fledging (200) 2%

Failed (150) % 234 SET Universe

Removed
(30)

 : FTSE Analysis

9


   

5$26) %>#?@3A!"
&4"3 $#+2(3+&&4"3
&4"3 #$%B#">"
FTSE SET Large Tradable - 
 30 A,D:-/5- SET main board !A 15 ,7-

Cap Index market cap D/G$-0H#5 (FF & Liquidity Screening)
FTSE SET Mid Benchmark - 
!"#$ market cap ,-9! 90%** (!A;!G$- 60 ,7-

Cap Index 0H#5 D/.J-@;-
K$"$:- Large Cap index)
FTSE SET Small Benchmark - 
!"#$ market cap ,-9! 98%** (!A;!G$- 60 ,7-

Cap Index 0H#5 D/.J-@;-
K$"$:- Large Cap index D/ Mid
Cap Index)
FTSE SET All- Benchmark - 

@A,!"#$ market cap ,-9! 98%** D/G$- 60 ,7-

Share Index 0H#5
FTSE SET Mid/ Benchmark - 

@A,
 "$:- Mid Cap D/ Small Cap Index 60 ,7-

Small Cap Index
FTSE SET Benchmark - 

!"#$ market cap ,-
./0 2%** 60 ,7-

Fledgling Index !4-567-,$
8/9",:;"$:- All-Shares Index
567895:; ** % 234 SET Universe
10
Agenda

1. FTSE SET Index Series 

2.  !"#
3. %&' (&)
4. '+,--./'./ FTSE SET Large Cap 5 SET50
-  9:&
- %&' (&)

11
&'( FTSE SET Index
' )*+*), 


)"#- .#/ )"#- #
n

IV =
∑ ( (p
i =1 i × e ) × s i × fi )
d
 n = Number of securities in the Index
 p = Price
 e = Exchange rate
 s = Share in Issue
 f = Free Float Factor
 d = Divisor
'RQ);5 Share in Issue
 Share in Issue ;)T#&,;/SS++'. 1% A;;5  SRB&-+S
 Share in Issue ;)T#&,;/SS++'. 10% ;<& Corporate event
A;5!&!)
12
. #
** FTSE SET Index Series

  live ( (1') : 2 4 2551

 5 (Base Date) : 29 -67 2551

 5 (Base) : 1,000
8 2 

 . # # : ' 10 9

 Index Review : 9 2 ,$"#8)- "#7 :;*8

'1-
Index Committee :;*
#   -.#
., FTSE  Professional market
participants (
 8-12 )
 Index Rules
)/&7'( > :.#
.  FTSE

 
-#-& (Industry) 7-8
(Sector) .#(
#6$
5 ICB (Industrial Classification Benchmark)

13
Agenda

1. FTSE SET Index Series 

2.  !"#
3. %&' (&)
4. '+,--./'./ FTSE SET Large Cap 5 SET50
-  9:&
- %&' (&)

14
FTSE SET Large Cap VS SET50 Index

( SET50 ( FTSE SET Large Cap

1. Trading Record : )$*+5$26) 1. Trading Record : 
6
- 
Z["\#?]!" SET )3A $^A?_'`(a#+ > 6 &?$ SET
*:",#. > 20 
&'("

2. Free Float > 20% 2. Free Float > 15% 8
3.  Liquidity : 3. 'A Liquidity :
?c%d# T/O > 50% a(e?c%d#_'`(a#+ - Share T/O median > 0.05% .#

f3A+gd(Z["a(e)`eg#& 5h"># > 9 - 
,
*:",#. (FF Adjusted) B
!" 12 &'("  > 10 $ 12 "#
- 'B- 
* #$( FTSE SET :
Share T/O median > 0.04% .#
- 

,
*:",#. (FF Adjusted) B
 > 8 $ 12 "#
15
FTSE SET Large Cap VS SET50 Index (Conti)
( SET50
4. Full Market Cap Size : Z[")3Akd#"
 l2$3+eg#? Daily Average
Market Cap o&+Z[" 50 g>p$ l2!4[
!"#$%B#"> SET50 Index
5. Reserve List : 5 m$^q)
6. Index Review: 5r2 2 %$`e (?^+., s%.)
( FTSE SET Large Cap
4. Full Market Cap Size : Z[")3Akd#"
l2$3+eB#&mg#? Full Market Cap l#
?#n5"[(+ o&+Z[" 30 g>p$!4[!"#$
%B#"> FTSE SET Large Cap Index
5. Reserve List : 5 m$^q)
6. Index Review: 5r2 2 %$`e (?^+., s%.)
16
Trading Records

SET :

 SET 
 > 6  


FTSE :

 SET 
 > 20 ! 


SET Failed

Stock X

" #$  2 

  30 %.. 50 FTSE Pass

17
Free Float restrictions
[ SET : 1.  )*"
  + ," +"-./
2. )*0
 0
 > 5% +.! 
%1./
 B
[ FTSE : 1.  )*"
  + ," +"-./ Free Float
2. 2!


SET Pass FF
FF of X = 30%
Stock X
 .0
 X=70%
3,2
4)*"
+"- X FTSE Pass FF
FF of X = 100%

18
Free Float restrictions (Conti)
[ FTSE : Trade investments
"-./ 5"-./ 
(cross-holdings)  #/".
6".  (same line of business)  B
Free Float
[ SET : 2!


Stock A
4%
SET Pass FF
FF of B = 100%
Stock B
Stock A holds 4%
of Stock B FTSE Pass FF
FF of B = 96% -> 100% (band)
19
 Liquidity Screening
SET : * T/O > 50% +*9 ,
 ++, #$  > 9
 12 
FTSE : - ;+2*
4 FTSE SET,  median T/O > 0.05% +.! 

(
+. FF adjusted) > 10
 12 
- ;*
4 FTSE SET,  median T/O > 0.04% +.! 

(
+. FF adjusted) > 8
 12 

[ Mean VS Median
35
35

30
30

25
25

20
20

15
15

mean 10
10

5 5

0 0
jan feb mar apr may jun jul aug sep oct nov dec jan feb mar apr may jun jul aug s ep oc t nov dec

median
20
 Liquidity Screening (Conti)
Passed
SET (compare with others)
Passed 9 months
Stock Y
;
* 2
 ! 4 +4 +*+ + Failed
4 +, !  FTSE (compare with itself)
Passed 5 months

[ $3 ?3Z["m#eg>!" SET ?3?c %d#_'`(a#+!"m#e&'("\ce?#>d#5g^ =>

%d#f3A+a(e Market )3A!4[5h"\ce
SET :
+, 3./*
+" @.2);A1
B 2
FTSE : 2)/  +../##";
+, + 2
4 Market
21
 Market Cap Size
[ SET :
 );A1 +!, Daily Average Market Cap (12 

+) 5
 50 , 3 ./!! ;
4 SET50
[ FTSE :
 );A1 +!, Full Market Cap (; !
"  review) 5
 30 , 3 ./!! ;
4 FTSE SET Large Cap

SET SET50 Index

Stock Z
30th Largest Daily Average
Market Cap Failed to be in
but 33th Largest Full Market Cap FTSE FTSE SET Large Cap
as of 30 Nov,2007

22
.#8 Free Float (
*&?)
SET FTSE
1. kc[@'(Z[" > 5% a(elB#">"Z[" 1. n?dB#"&
2. $$?#$ kc[m$^#$ p2%$(m%$> 2. ?'(""
3. n?dB#"& 3. Trade investments !"m$^q)l&)2m3+"
o&+m$^q)l&)2m3+"('A" (cross-
holdings) )3A5$2(m^l#$!"sZ$^l
&3+>"

• free float < 15% = not eligible

FTSE • free float > 15% but < 20% = 20%

• free float > 20% but < 30% = 30%
 ( free float • free float > 30% but < 40% = 40%
##B(D • free float > 40% but < 50% = 50%
, • free float > 50% but < 75% = 75%
• free float > 75% = 100%
23