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25.07.2024

3.4. 10-Year Government Bond Futures Contract Template

ArticlesDetails
Contract name10-Year Government Bond Futures Contract Template
Contract codeThe Hanoi Stock Exchange (HNX) is responsible for issuing futures contract trading codes, ensuring that the structure of these codes complies with the regulations set by the Vietnam Stock Exchange
Underlying assetA 10-year government bond with a par value of VND 100,000, a nominal interest rate of 5.0% per annum, with interest paid annually at the end of each 12-month period, and principal repaid in a lump sum at maturity
Contract multiplier10,000 dong
Contract size1,000,000 dong 
Listed date28/06/2021 
Trading method

Order matching method 

Put-through method

Expiry monthThe last three months of the three most recent quarters
Trading hours

Opening: 15 minutes before the stock market 

Closing: At the same time as the stock market

Tick size01 dong
Trading unit
1 contract
Reference priceThe settlement price of the previous trading day or the theoretical price (on the first trading date)
Price limit± 3% relative to the reference price
Order limit500 contracts/ order
Position limit

According to the regulations of VSDC:

  • Institutional professional securities investor: 10,000 contracts  
  • Individual professional securities investor: 3,000 contracts  
  • Institutional investor: 5,000 contracts
  • Individual investor: not yet implemented
Last trading dateOn the 25th day of the maturity month, or the preceding trading day if the 25th falls on a holiday
Final settlement dateThe third business day from the last trading day
Settlement methodUnderlying asset delivery
Method for determining the daily settlement priceAccording to the regulations of VSDC
Method for determining the final settlement priceEnd-of-day settlement price on the last trading day
Standards for deliverable bondsGovernment bonds issued by the State Treasury, with interest paid periodically at the end of every 12-month period in equal installments, and the principal repaid in a lump sum at maturity. The bonds must have a remaining maturity of 8 to 11 years as of the final settlement date and a minimum listed value of VND 2,000 billion. The conversion factor is calculated based on a nominal interest rate of 5.0% per annum
Margin requirementAccording to the regulations of VSDC

(*) Regulations on physical delivery settlement upon maturity 

Applicable to Government Bond Futures Contracts.

DayDetails
Day E-1

The customer must demonstrate payment capability before 4:00 PM:

  • The Buyer must deposit 100% of the payment based on the par value.
  • The Seller must deposit 100% of the deliverable bonds.
Day ELast trading date 
Day E+2HSC notifies the customer of the list of allocated deliverable bonds and the payment obligation on the final settlement date
Day E+3

Final settlement date:

  • The Buyer must pay any additional payment obligation (if any) before 9:00 AM
  • The Buyer will receive the bonds (after 4:00 PM)
  • The Seller will receive the payment (after 4:00 PM)

* In case of payment default:

The customer is responsible for compensating the counterparty with an amount calculated using the following formula:

Compensation value = 5% x FSP x Contract multiplier x Number of contracts

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