3.3. 5-Year Government Bond Futures Contract Template
Articles
Details
Contract name
5-Year Government Bond Futures Contract Template
Contract code
The 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 asset
5-year government bond, par value 100,000 dong, 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 multiplier
10,000 dong
Contract size
1,000,000 dong
Listed date
04/07/2019
Trading method
Order matching method
Put-through method
Expiry month
The 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 size
01 dong
Trading unit
01 contract
Reference price
The 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 limit
500 contracts/ order
Position limit
According to the regulations of VSDC:
Professional securities investor: 10,000 contracts
Institutional investor: 5,000 contracts
Individual investor: not yet implemented
Last trading date
On the 15th day of the maturity month, or the preceding trading day if the 15th falls on a holiday
Final settlement date
The third business day from the last trading day
Settlement method
Underlying asset delivery
Method for determining the daily settlement price
According to the regulations of VSDC
Method for determining the final settlement price
End-of-day settlement price on the last trading day
Standards for deliverable bonds
Government bonds issued by the State Treasury, with a remaining maturity of 3 to 7 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 requirement
According to the regulations of VSDC
(*) Regulations on physical delivery settlement upon maturity
Applicable to Government Bond Futures Contracts.
Day
Details
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 E
Last trading date
Day E+2
HSC 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
