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3 Month Kuala Lumpur Interbank Offered Rate Futures

Table 1.1 Contract Specification


Contract Code
Underlying Shares
Contract Size
Minimum Price
Fluctuation
Contract Months
Trading Hours

Final Trading Day


Maturity Date
Final Settlement
Final Settlement
Value

Speculative
Position Limits

FKB3
Ringgit Interbank time deposit in the Kuala Lumpur Wholesale
Money Market with a three month maturity on a 360-day year.
RM1,000,000
Quoted in index terms (100.00 minus yield).
0.01% /or 1 tick.
Quarterly cycle months of March, June, September and December
up to 5 years ahead and 2 serial months.
First trading session: Malaysian Time 9:00 a.m. to 12:30 p.m.
Second trading session: Malaysian Time 2:30 p.m. to 5:00 p.m.
Trading ceases at 11:00 a.m. (Malaysian time) on the 3rd
Wednesday of the delivery month or the 1 st Business Day
immediately following the 3rd Wednesday of the delivery month if
the 3rd Wednesday of the delivery month is not a Business Day.
Cash Settlement based on the Cash Settlement Value.
i.
Calculated as 100.00 minus the Three Month KLIBOR as
published by Reuters Ltd. On reference page "KLIBOR" at
11:00 hours (Malaysian time) on the Final Trading Day.
ii.
In the event that the above calculation (i) cannot be made,
the final settlement value shall be calculated as 100.00
minus the Three Month KLIBOR as published by Dow Jones
Telerate Ltd on page number 46387 at 11:00 hours
(Malaysian time) on the Final Trading Day.
iii.
In the event that the above calculation (i) and (ii) cannot be
made, the final settlement value shall be calculated as
100.00 minus the Three Month KLIBOR as obtained from
Bank Negara Malaysia at 11.00 hours (Malaysian time) on
the Final Trading Day.
In the event that none of the above 3 calculations can be made, the
final settlement value shall be determined by the Exchange.
Maximum number of net long or net short positions to be held:
5,000 contracts for all months combined.
Source: Bursa Malaysia Berhad

Mechanics of Trading
1. Number of Contracts (NOC)
= Principal Value /Size of Contract
2. Establishment of Strategy
a. Long Hedge /or Anticipation of Falling Interest Rates
b. Short Hedge /or Anticipation of Rising Interest Rates
Table 1.2: Establishment of Long /or Short Hedge Strategy
KLIBOR Market

BMDB
Opening Position

Today

Closing Position

Later
EIR

Lending /or Borrowing Rates


SP FKB3 BP FKB3 /or Profit or (Loss) on FKB3
Effective Interest Rates

XX
XX
XX

3. Cash Market Position


a. Interest Revenue = Principal Value x Rates x Tenure
b. Interest Expenses = Principal Value x Rates x Tenure
4. Futures Market Position
Profit /or (Loss) = (SP BP) x NOC x 100 x RM25
5. Net Effect
a. Net Effect = Futures Profit + Interest Revenue
b. Net Effect = Futures Profit + (Interest Cost)
6. Effective Interest Rates (EIR)
a. (Total Interest Revenue /Principal Value) x Tenure
b. (Interest Cost /Principal Value) x Tenure
7. Analysis
Table 1.3: Comparison Analysis Between Hedging and Naked
Hedging
Principal Value
Interest Rates
Interest Revenue /or Interest Cost
Net Interest Revenue /or Interest Cost
Effective Interest Rates

Naked