Derivatives
Contract Specification and Trading Rules
| Specification | VN30 Index Futures contract | 5-year Government Bond Futures Contract | 10-year Government Bond Futures Contract |
| Contract code | VN30Fyymm | GB05Fyymm | GB10Fyymm |
| Underlying asset | VN30 Index | 5-year government bond with par value 100,000 VND, coupon rate 5%/year, annual payment. Principal is paid at the maturity | 10-year government bond with par value 100,000 VND, coupon rate 5%/year, annual payment. Principal is paid at the maturity |
| Contract size | 100.000 VND x VN30 Index price | 1 billion VND | |
| Contract multiplier | 100.000 VND | 10.000 VND | |
| Listing date | 08/10/2017 | 07/04/2019 | 28/6/2021 |
| Trading method | Order-matching Put-through |
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| Maturity month | Current month, next month, last months of 2 next quarters | Last months of 3 next quarters | |
| For example: Current month is July. Maturity months would be July, August, September and December | |||
| Trading time | ATO: 8h45-9h00 Continuous session: 9h00 to 11h30 Continuous session: 13h00 to 14h30 ATC: 14h30-14h45 Put-through: 8h45 – 11h30 & 13h00 – 14h45 |
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| Order type | ATO: ATO, LO Continuous Session: LO, MOK, MAK ATC: ATC, LO |
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| Tick size | 0.1 Index price | 1 VND | |
| Trading Unit | 01 contract | 01 contract | |
| Reference price | Daily settlement price on the previous trading day or theoretical price (on the first trading day) | ||
| Allowable fluctuation range (Collar) | -+/-7% of reference price | -+/-3% of reference price | |
| Order limit | 500 contracts/order | 500 contracts/order | |
| Position limit * | The maximum number of open contracts of 1 trading account: – Professional investors: 20,000 – Institutional investors: 10,000 – Individual investors: 5,000 |
The maximum number of open contracts of 1 trading account: – Professional investors: 10,000 – Institutional investors: 5,000 – Individual investors: Not applicable |
The maximum number of open contracts of 1 trading account: – Non-professional Individual investors: Not applicable |
| Final trading date | The 3rd Thursday of maturity month, in case it is a holiday, final trading day will be adjusted to the closest previous date | On the 15th day of the maturity month or on the previous day of that date if the 15th is a holiday (Day E) | On the 25th day of the maturity month or on the previous day of that date if the 25th is a holiday (Day E) |
| Final settlement date (FSD) | The next business day after the final trading day (T+1) | The 3rd working day after the final trading day (E+3) | |
| Settlement method | Cash settlement | – Underlying asset delivery – The party holding the short position transfers the bond and receives the money amount corresponding to the bond value from the party holding the long position. – The 2 parties complete the transfer and payment before 12am on the last trading day. After this time, the Contract is considered insolvent and the party that fails to make payment will be fined the amount of: 5% x FSP x contract multiplier x Number of insolvency contracts |
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| Method to determine Daily settlement price (DSP)* |
According to VSD regulations (Appendix 08, Decision 61/VSD) | According to VSD regulations | |
| Method to determine Final settlement price (FSP)* |
is the simple arithmetic average of the VN30 index in the last 30 minutes of the final trading day (including 15 minutes of continuous order execution session and 15 minutes of ATC session), after excluding the 3 highest index values and the 3 lowest index values of the continuous execution session) | Daily settlement price on the final trading day | |
| Initial margin rate* | 17% | 2.50% | |
| Criteria for delivered bonds |
NA | Government bonds issued by the State Treasury, with remaining terms from 3 years to 7 years to the final payment date, have a minimum listed value of VND 2,000 billion. The conversion factor is calculated according to the nominal interest rate of 5.0%/year. | Government bonds issued by the State Treasury pay interest periodically at the end of every 12 months, and have equal interest payment periods, pay the principal once upon maturity, with the remaining term from 8 years to 11 years to the last payment date, with a minimum listed value of VND 2,000 billion. The conversion factor is calculated according to the nominal interest rate of 5.0%/year. |
(*) These parameters are regulated by VSDC and updated periodically by VSD.
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