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 July 215

2 Table of Cotets 1. Overview SET Idex Committee Idex Calculatio Price Idex Total Retur Idex (TRI) Base Adjustmet Methodology Criteria for Costituets Selectio for SET5 Idex, SET1 Idex ad SET High Divided 3 Idex Idex Review Period Costituets of SET5 Idex ad SET1 Idex Costituets of SET High Divided 3 Idex Criteria for Chagig of Costituets betwee the Periodic Review Udertakig due to Chagig of Costituet betwee the Period Review Defiitio of Key Terms Disclaimer Appedix A Examples of Idex Calculatio... 17

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 ask for commets from such stakeholders. SET will aouce the chages to its idex rules i advace of implemetatio Groups of Idex created by SET The idex created by SET ca be divided ito 3 mai groups as follows: 1. SET Idex Series, cosistig of 1.1 SET Idex is the composite idex that reflects the movemet of securities o SET. 1.2 SET Idustry Group Idex ad SET Sector Idex are idices that reflect the movemet of securities i the same idustry group or busiess sector as categorized by SET. Please see details via SET's Idustry Group ad Sector classificatio. 1.3 SET5 Idex ad SET1 Idex are idices to be used as uderlyig idex by selectig the top 5 ad 1 listed compaies securities respectively, i terms of large market capitalizatio ad high liquidity. Please see details of the criteria i sectio 4 of this documet. 3

4 1.4 SET High Divided 3 (SETHD) Idex is a idex that reflects the movemet of securities with large market capitalizatio, high liquidity ad cotiuously high divided yields. Please see details of selectio criteria i sectio 4 of this documet. 2. mai Idex Series, cosistig of: 2.1 mai Idex, the composite idex reflectig the movemet of securities o mai. 2.2 mai Idustry Group Idex, a idex reflectig the movemet of securities i the same idustry group. mai s classificatio is the same as SET s: SET's Idustry Group ad Sector classificatio. 3. Total Retur Idex (TRI) is a idex that measures all kids of returs from securities ivestmet, cosistig of: 3.1 SET TRI 3.2 SET5 TRI 3.3 SET1 TRI 3.4 SETHD TRI 3.5 mai TRI 3.6 Idustry TRI 3.7 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 makig 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 criteria as well as ay chage to the selectio criteria, usig its judgmet as specified i the criteria, ad givig ay advice 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 weighted average market capitalizatio idex. The price idex cosists of SET Idex Series ad mai Idex Series. Price Idex formula: Idex = Curret Market Value Base Market Value Base Value Where: Curret Market Value () = total market value of costituets at curret date Base Market Value () = total market value of costituets at base date Base Value = Base poit of the idex SET High Divided 3 Idex is also weighted by divided yield. SETHD Idex formula: Idex = adjusted by Divided Yield Base Value adjusted by Divided Yield = i=1 (Divided Yield i Price it Listed Share it ) adjusted by Divided Yield Where: adjusted by Divided Yield = total market value of the idex at curret date weighted by divided yield adjusted by Divided Yield = total market value of the idex at base date weighted by divided yield Base Value = Base poit of the idex 5

6 Divided Yield i Price it Listed Share it = Divided yield of each costituet of the idex, capped at 15%. = Market price of each costituet at time t = Number of listed shares of each costituet at time t Summary of base date ad base poit of Price Idex is as follows: Name of Price Idex Base Date Base Poits SET Idex April 3, poits mai Idex September 2, 22 1 poits SET Idustry Group Idex December 31, 23* 1 poits SET Sector Idex April 3, 1975* 1 poits mai Idustry Group Idex December 3, 214* 1 poits SET5 Idex August 16, , poits SET1 Idex April 3, 25 1, poits SETHD Idex Jue 3, 211 1, poits *Please see details via SET's Idustry Group ad Sector classificatio. 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: TRI t = TRI t 1 (1 + Daily Total Retur t ) Where: TRI t = Total retur idex at curret date TRI t-1 = Total retur idex at previous date Daily Total Retur t = Daily total retur at curret date 6

7 Daily total retur is calculated by usig the followig formula: Daily Total Retur t = Idex Value t + ( Total Divided Paymet t t ) Idex Value t 1 1 Where: Idex Value t = Price idex value at curret 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 curret date Divideds are the gross amout (before tax) that the compay aouced to pay. The types of divideds used are as follows: - 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 XD (ex-divided date). If a costituet has o tradig o the XD-date, SET will take divideds ito TRI calculatio o the first day that the costituet is traded. 7

8 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, 22 1, poits mai TRI September 2, 22 1, poits SET Idustry Group TRI December 31, 23* 1, poits SET Sector TRI Jauary 5, 24* 1, poits mai Idustry Group TRI December 3, 214* 1, poits SET5 TRI Jauary 2, 23 1, poits SET1 TRI April 29, 25 1, poits SETHD Idex July 4, 211 1, poits * Please see details via SET's Idustry Group ad Sector classificatio. 3.3 Adjustmet of Idex Base Value I order to make the idex truly reflect the 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 = Curret market value before adjustmet = Base market value before adjustmet 8

9 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 for SET5 Idex or SET1 Idex or SETHD 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 Costituet removed at periodic review or betwee periodic review for SET5 Idex or SET1 Idex or SETHD o Chage of Idustry group or sector for oly Idustry group Idex or Sector Idex, etc. 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. 9

10 4. Criteria for Costituets Selectio for SET5 Idex, SET1 Idex ad SET High Divided 3 Idex 4.1. 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 3 of the year i review Costituets of SET5 Idex ad SET1 Idex The eligible securities must be stocks which listed ad traded o SET for a miimum of 6 moths. This criteria do ot apply for securities accordig to Criteria for Chagig of Costituet betwee the Periodic Review i sectio The eligible stocks must ot be ay of the followigs: o Likely to be delisted accordig to SET regulatios o Udergoig delistig process o Beig curretly suspeded (SP) from tradig for a log period o 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.) The eligible stocks must be i the top 2 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 2% of the listed compay s paidup capital, by cosiderig the latest data i the idex review period Tradig of eligible stocks uder ormal circumstaces is cotiuous for a certai period of time. Stock s mothly tradig value must be at least 5% 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 should 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

11 If the umber of eligible stocks is less tha 15, SET will take the followig criteria: Reduce the percetage of tradig value from 5% by 5% at a time. However, the limit will ot be less tha 2% 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.5% at a time, but ot less tha 1%. However, i order to get 15 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 5 stocks raked by average daily market capitalizatio will be chose for the calculatio of the SET5 Idex. The top 1 stocks, which iclude all those i the SET5 Idex together with the ext 5 stocks, will be used i calculatig the SET1 Idex. Reserve List Securities raked # will be the reserve stocks for the SET 5 Idex. Securities raked # will be the reserve stocks for the SET 1 Idex Costituets of SET High Divided 3 Idex The eligible securities must be the costituets of the SET 1 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 are paid cotiuously for at least durig the last three years Divided payout ratios are o more tha 85% i each of the last three years If the umber of eligible stocks is less tha 35, the followig steps will be take: To icrease the divided payout ratio from 85% by 5% at a time but ot exceed 1% To 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 35 stocks, SET may implemet ay other criteria that the SET Idex Committee deems appropriate. 11

12 The eligible 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 2 costituets will be icluded i the calculatio of the SET High Divided 3 Idex. The ext 1 costituets are the selected from rakigs # The existig costituets of SET High Divided 3 Idex will get the first priority. After that the rest i rakig will be cosidered util there are 3 costituets. Reserve lists are securities raked # Criteria for Chagig of Costituets betwee the Periodic Review New Issue A ew listed compay will be icluded i SET5 Idex or SET 1 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 2 of the SET5 or SET1 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 SET High Divided 3 Idex Mergers & Acquisitios, Takeovers, ad Complex Corporate Restructurigs If the above corporate evets are carried out betwee the stocks i the SET5 Idex or SET1 Idex or SET High Divided 3 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 idex I case the above corporate evets are carried out betwee the SET5 Idex or SET1 Idex or SET High Divided 3 Idex ad o-costituets: 12

13 If the existig costituet of the SET5 Idex or SET1 Idex or SET High Divided 3 Idex is still a listed stock, it ca still be i the SET5 Idex or SET1 Idex or SET High Divided 3 Idex as before If the existig costituet of the SET5 Idex or SET1 Idex or SET High Divided 3 Idex is ot a listed stock aymore, the resultig compay that applies for listig will replace such costituet i the SET5 Idex or SET1 Idex or SET High Divided 3 Idex at the ed of its first tradig day If the restructurig of the SET5 Idex or SET1 Idex or SET High Divided 3 Idex costituet has caused split or spi off ito two or more compaies ad the costituet of the SET5 Idex or SET1 Idex or SET High Divided 3 Idex is still a listed stock, it ca still be i the SET5 Idex or SET1 Idex or SET High Divided 3 Idex as before If ay costituet resultig from has free float less tha 2%, 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 idex Ay other cases will be cosidered by the SET Idex Committee Tradig Suspesio for Log Period If a costituet of the SET5 Idex or SET1 Idex or SET High Divided 3 Idex is suspeded from tradig for 2 busiess days or more, SET may remove that costituet from the idex calculatio. 4.5 Udertakig due to Chagig of Costituet betwee the Period Review Whe the stock is added as a costituet i SET5 idex or SET1 idex or SET High Divided 3 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 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 SET5 idex or SET1 idex with highest market capitalizatio at the closig date 3 days before removig the costituet from the calculatios. 13

14 SET will choose the reserve stock of SET High Divided 3 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 SET will aouce the chage i the costituets of the SET5 Idex or SET1 Idex or SET High Divided 3 Idex calculatios i advace of implemetatio. I ay evet that the selectio of SET5 idex or SET1 idex or SET High Divided 3 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. 14

15 5 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. 15

16 6 Disclaimer This documet is provided for givig a 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 without gratig permissio, SET reserves the rights to take actio accordig to the law. 16

17 Appedix A Examples of Idex Calculatio Day 1. Base date Assumptio: There are 3 listed compaies. Stock A: 1, shares, par value = THB1, market price = THB11 Stock B: 3, shares, par value = THB1, market price = THB16 Stock C: 2, shares, par value = THB1, market price = THB12 Base Idex = 1 PitQit i 1 = 1 P Q io io (11 1,) (16 3,) (12 2,) = 1 (11 1,) (16 3,) (12 2,) 83,, = 1 83,, = 1 17

18 Day 2. Chage i market prices The market prices of A, B ad C chage to THB 12, THB 17 ad THB 11, respectively. The Idex the becomes: Idex (2) = 1 (12 1,) (17 3,) (11 2,) = 1 83,, 85,, = 1 83,, = Day 3. New listig of stock D The market prices of A, B ad C chage to THB 11, THB 17 ad THB 12, respectively. I additio, stock D is a ewly listed stock today, with 15, shares ad closig price of THB 14. 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) = 1 (11 1,) (17 3,) (12 2,) = 1 83,, 18

19 86,, = 1 83,, = The, the for Idex o Day 4 will be: = = (11 1,) (17 3,) (12 2,) (14 15,) 83,, (11 1,) (17 3,) (12 2,) = 17,, 83,, 86,, = 13,267,441 The compariso of Idex betwee before ad after the adjustmet is as follows: 17,, 86,, 13,267,441 83,, =

20 Day 4. Chage i market prices The market prices of A, B, C ad D chage to THB12, THB18, THB12 ad THB13, respectively. The Idex the becomes: Idex (4) = 1 (12 1,) (18 3,) (12 2,) (13 15,) = 1 13,267,441 19,5, = 1 13,267,441 = 16.4 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. The for Idex o Day 5 will the be: = = (12 1,) (18 3,) (13 15,) 13,267,441 (12 1,) (18 3,) (12 2,) (13 15,) 2

21 = 13,267,441 85,5, 19,5, = 8,633,481 Day 5. Delistig of Stock C Stock C is delisted o Day 5. The market prices of A, B ad D chage to THB13, THB18 ad THB14, respectively. So, the Idex value i Day 5 is: Idex (5) = 1 (13 1,) (18 3,) (14 15,) = 1 8,633,481 88,, = 1 8,633,481. =

22 Day 6. Par splittig Effective o Day 6, Stock A will split its par value from THB1 to THB 5. 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. The market prices of A, B ad D chage to THB75, THB18 ad THB15, respectively. The Idex o Day 6 is: Idex (6) = 1 (75 2,) (18 3,) (15 15,) = 1 8,633,481 91,5, = 1 8,633,481 = Day 7. Capital icrease by rights offerig to existig shareholders (Ex-right day) Compay D will raise its capital by 15, 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 THB1 for each share they hold. (XR THB1) O Day7, closig prices of A, B ad D chage to THB8, THB17 ad THB13, respectively. 22

23 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: (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). For this case, the rights is cosidered as i-the-moey (THB1 < THB15). The for idex calculatio will the be: = (Subscriptio Price New Shares Issued) = (8 2,) (17 3,) (13 3,) 8,633,481 [(8 2,) (17 3,) (13 3,)] (1 15,) = 16,, 8,633,481 91,, = 93,924,714 23

24 The Idex value i Day 7 is Idex (7) = 1 (8 2,) (17 3,) (13 3,) = 1 93,924,714 16,, = 1 93,924,714 = Day 8. Public Offerigs (PO) ad Private Placemets (PP) Compay B raises its capital by 1, shares through Private Placemet (PP). The share allotmet is carried out as follows: 5, shares for compay s customers ad at THB15 ad other 5, shares for directors ad employees at THB1. Closig prices of A, B ad D chage to THB8, THB16 ad THB14, 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. 24

25 (Prior Price New Shares Issued) for Idex calculatio o Day 8 is as follows: = (Prior Price New Shares Issued) = (8 2,) (16 4,) (14 3,) 93,924,714 [(8 2,) (16 4,) (14 3,)] (17 1,) = 122,, 93,924,714 15,, = 19,131,572 The Idex value i Day 8 is: Idex (8) = 1 (8 2,) (16 4,) (14 3,) = 1 19,131, ,, = 1 19,131,572 =

26 Day 9. Chage i market prices Closig prices of A, B ad D chage to THB 85, THB 15 ad THB 135, respectively. The Idex value the becomes: Idex (9) = 1 (85 2,) (15 4,) (135 3,) = 1 19,131, ,5, = 1 19,131,572 = Effective o Day 1, Compay D will reduce its capital by decreasig its umber of listed shares by 1, 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 Day1: = 26

27 = (85 2,) (15 4,) (135 3,) (135 1,) 19,131,572 (85 2,) (15 4,) (135 3,) = 14,, 19,131, ,5, = 96,593,5 Day 1. Capital decrease Market prices of A, B ad D chage to THB 8, THB 16 ad THB 1, respectively. Compay D reduces its capital by decreasig its umber of listed shares by 1, shares. The Idex value the becomes: Idex (1) = 1 (8 2,) (16 4,) (1 2,) = 1 96,593,5 1,, = 1 96,593,5 = Effective o Day 11, Compay M will upgrade its listig status from mai to SET. Stock M is traded o mai o Day 1 for the last day with 15, listed shares at a closig price of THB 5. 27

28 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: = = (8 2,) (16 4,) (1 2,) (5 15,) 96,593,5 (8 2,) (16 4,) (1 2,) = 17,5, 96,593,5 1,, = 13,837,528 28

29 Day 11. Chage market Market prices of A, B ad D chage to THB 85, THB 15 ad THB 12, respectively. Market price of M which moves from mai to SET chages to THB 65. The Idex value the becomes: Idex (11) = 1 (85 2,) (15 4,) (12 2,) (65 15,) = 1 13,837,528 11,75, = 1 13,837,528 =