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Derivatives


Introduction:

The launch of the Derivatives Market is one of the Financial Sector Development Program (FSDP) key initiatives under the Kingdom’s Vision 2030. This market enhances Tadawul’s products offering and complements recent developments to the financial market infrastructure. Below you will find more information about the market characteristics. Additionally, we have provided some useful links that will direct you to more educational content.

General Information 

What is the Derivatives Market?

How to Trade Index Futures?

What is the first product available for trading?

What is MT30?

 

Exchange Traded Instruments:

Opening Days Opening Auction Continuous Trading Closing Auction Settlement Cycle Minimum Lot Total Exchange Trading Commission* Security Format
Index Futures
Sunday - Thursday 09:00–09:30 09:30– 15:30 NA(LTP) T+0 One contract SAR 25 Electronic Form


*Excludes brokerage fees

Negotiated Deals:


Negotiated Deals occur when both sellers and buyers determine the quantity and price of the Listed Derivatives Product contract involved in the transaction.

Derivatives Market Features

Opening Price :

Open of the market takes place by an auction for Futures Contracts. The auction shall be based on the bids and asks entered during the Opening Auction. The market will open and uncross on a variable basis between 09:30:00am and 09:30:30am every trading day.

Closing Price :

Last Traded Price

IntraDay :

Matching takes place based on price and time priority.

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, the Exchange shall use the Theoretical Futures Price (TFP) to compute the fair value of the contract at the market close,

Theoretical Future Price calculation:

F=S0 x ((r-d) x t) - DIV X (r x t)

F - Future price
S0 - Spot/underlying price
r - rate
d - dividend yield
t - time to expiration
DIV - discounted dividend

Final settlement price :

The Final Settlement Value 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 index on the Final Trading Day excepting the 3 highest and 3 lowest values.

Tick Sizes :

Minimum price fluctuation of the Futures Contract will be specified by the Exchange in the Listed Derivatives Products Specifications.

Order Types :

  • Limit Order
  • Market Order

Order Conditions :

  • Fill or Kill (“FoK”) means the complete order quantity must be executed as soon as it becomes available for matching; otherwise the order will be immediately cancelled, taking into consideration the following:
    -the condition is available for limit and market orders; and
    -the condition is not available during the First and Third Sessions.
  • Fill and Kill (“FaK”) means the order must be at least partially executed as soon as it becomes available for matching; otherwise the order (or the unmatched part) will be immediately cancelled, taking into consideration the following:
    -the condition is available for limit and market orders; and
    -the condition is not available during the First and Third Sessions.
  • Hidden Quantity means the order will disclose a portion of its quantity. Each time the disclosed portion is fully matched, the order will disclose an equal portion of its quantity, taking into consideration the following:
    -the full quantity of the Hidden Order participates in the Theoretical Opening Prices calculations; and
    -the condition is available for limit orders.

Order Validity The Derivatives Trading System determines order validity according to when orders enter the Derivatives Trading System, as follows:

  • The First Session: means that orders are subject to full execution at the end of the First Session, and they should be transmitted during the First Session of the same day.
  • Day: means that orders are subject to full execution until the end of the Second Session.
  • Good till Cancelled (“GTC”): means that orders are subject to full execution with a validity period of up to (30) days from the transmission of the order.
  • Good till Date (“GTD”): means that orders are subject to full execution until a specified expiry date. The expiry date can be set up to a maximum of (30) days from the transmission of the order.

Minimum Trade Size :

One Contract

Fluctuation Limits :

  Derivatives Market
Daily Upper Limit +20% from previous day’s closing
Daily Lower Limit -20% from previous day’s closing

Derivatives Underlying :

Product Underlying
MT30 Index Futures MT30 (MSCI Tadawul 30)

Contract Months and Year Code :

Example of contract code would be: (Product Code + Expiry Year + Expiry Month) (SF30 + 1 + F )

Month Month Code
January F
February G
March H
April J
May K
June M
July N
August Q
September U
October V
November X
December Z
Year Year Code
2020 0
2021 1
2022 2
2023 3
2024 4

Accessibility by Market participant

‘ONSHORE’ INVESTORS
ASSET CLASSES SECONDARY MARKET ACCESS CHANNEL VOTING RIGHTS PUBLIC OFFERING PARTICIPATION PRIVATE PLACEMENT PARTICIPATION CAPITAL GAINS TAX/ZAKAT WITH-HOLDING TAX OTHER RESTRICTIONS
SAUDI INVESTORS
Derivatives Direct Access No No No 0% 0% Not applicable
RESIDENT FOREIGN INVESTORS & GCC RESIDENT INVESTORS
Derivatives Direct Access No No No 0% 0%  
‘OFFSHORE’ INVESTORS
NON-RESIDENT FOREIGN INVESTORS
Derivatives Direct / Indirect No No No 0% 0% QFI Limits

Post-Trade Features

ITEM DESCRIPTION
Clearing Members General Clearing Member (GCM) and Direct Clearing Members (DCM) connected to Maqassa
Settlement Mode Cash Settlement
Settlement Currency All transactions are settled in Saudi Riyals.
Settlement Cycle Contract are Marked to Market on a daily basis.
Margins Initial Margin, Variation Margin, Add-on Margins.
Short Selling Short selling is embedded in Derivatives market products.

Trading Cycle and Times

Trading Cycle

Step 1: Buyers and sellers submit orders via the member where their accounts are maintained. This may be achieved through one of the channels provided by the member which includes, but not limited to, electronic trading platform. These orders represent the agreement between the member and the investor to execute a specific business transaction as per the investor order.
Step 2: Orders are entered into the member’s Order Management System (OMS). In accordance with market conditions and the requirement of the investor, the orders within the bank’s OMS are forwarded to Tadawul via a high-speed network.
Step 3: Tadawul attempts to match orders according to price and time priority. A variety of order types and special terms are available to the trader. Unmatched orders are maintained in Tadawul until they are matched, canceled or expire.
Step 4: For matched orders, trades are generated and reported electronically to Muqassa .
Step 5: The execution of the buy and sell orders that together form a trade; consists of one or more contracts and occurs when the same price is specified by buy and sells orders, for a specified number of contracts.

Trading Time

Trading Days: One session, Sunday through Thursday except official holidays

Session Time Schedule for Listed Derivatives Products (as per the official time in the Kingdom)
First Session: Pre-open (Opening Auction) 09:00 – 09:30
Second Session: Market Open - Trading 9:30 – 15:30
Third Session: Market Closed 15:30 – 16:00
Fourth Session: System Closed 16:00 – Till 9:00 next trading day

Official Holidays in the Kingdom of Saudi Arabia are:

  • National Day of Saudi Arabia (23 September).
  • Eid Al-Fitr and Eid Al-Adha.

Market will be closed during these holidays and announced on Tadawul website

Derivatives Exchange Membership Fees

Service Fees(SAR) Frequency
Derivatives Membership Fees
Application fee 30,000 One time
Annual membership 10,000 Annual
Other Derivatives Membership Fees
Trading Workstation Usage fees for new members per station 11,700 One time
Annual Trading Workstation Usage fees per station 3,650 Annual

Settlement Cycle (T+0)

What is meant by settlement of derivatives contracts?
To debit or credit on a daily basis a margin account based on the close of that day's trading session. The buyer and seller are then aware of the risk of their portfolios and margins, if any. Cash settlement takes place when buyers and sellers contracts are settled against the final settlement price by crediting and debiting their respective accounts with profit or loss.
A T+0 Settlement Cycle means that the Contracts are Marked to Market on a daily basis.