Contract Specification and Trading Rules - Pinetree Securities

Contract Specification and Trading Rules

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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
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
Order type ATO: ATO, LO
Continuous Session: LO, MOK, MAK
ATC: ATC, LO
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:
– Professional investors (Institution): 10,000
– Institutional investors: 5,000
– Professional investors (Individual): 3,000

– 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
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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