I. Derivative products
1. VN30 Index Futures Contract
- VN30 Index Futures Contract are the kind of futures contract with Underlying Asset - VN30 Index, simulate price expectations of VN30 Index
- Like the stock, each futures contract has a unique code which is determined under a certain convention and contains information about that contract. For example, the contract code VN30F2007 includes information: "VN30F" is the futures contract of the VN30 index. "20" is 2020 and "07" is the expiry month of the contract.
- At the present, there will be four-month contract (contract months) traded with the VN30 Index: futures contract for the current month, futures contract for the next month, futures contract at the end of the latest quarter, futures contract at the end of the next quarter.
- For example, the futures contract with code VN30F2007 is the contract for the current month which will expire in July, 2020. Besides, investors can trade contract with code VN30F2008 which will expire in the next month (August, 2020). Contract number VN30F2009 is the contract that will expire in the latest quarter (September 2020 - third quarter 2020). Contract number VN30F2012 is the contract expiring in the next quarter (December 2020 - fourth quarter 2020).
2. The form of VN30 Index Futures Contract
|
No. |
Contents |
Descriptions |
|
1 |
Contract name |
VN30 index futures contract |
|
2 |
Contract code |
According to regulations on trading code of HNX, for example: VN30F2007 |
|
3 |
Underlying asset |
VN30 index |
|
4 |
Contract size |
VND 100.000 × VN30 Index point |
|
5 |
Multiplier |
VND 100.000 |
|
6 |
Expiry month |
Current month, next month, end of 02 months of the next 2 quarters. For example: Current month is July. Expiry months are July, August, September and December |
|
7 |
Trading time |
Open before 15 minutes of the underlying market Close at the same time with the underlying market |
|
8 |
Trading method |
Matching order and Put through |
|
9 |
Trading unit |
01 contract |
|
10 |
Reference price |
Daily ending settlement price of the previous trading day or theoretical price |
|
11 |
Fluctuation limit |
+/- 7% compared with the reference price |
|
12 |
Tick size/ Quotation unit |
0.1 index point |
|
13 |
Order limit |
500 contracts per order |
|
14 |
Final trading day |
The third Thursday of the expiry month. In case it is a holiday, it will be changed to the previous trading day |
|
15 |
Final settlement day |
Next working day of the final trading day |
|
16 |
Settlement method |
Cash settlement |
|
17 |
Daily settlement price determination method |
According to VSD regulations |
|
18 |
Final settlement price determination method |
Is the simple arithmetic average value of the index in the last 30 minutes of the last trading day (including 15 minutes of continuous order matching and 15 minutes of periodic closing order matching), after excluding 3 values highest index and 3 lowest index values of the continuous order matching session. |
3. Trading time
|
Time |
Trading sessions |
Type of order |
|
8:45 – 9:00 |
Opening periodical order-matching session |
ATO, LO Orders cannot be cancelled |
|
9:00 – 11:30 |
Continuous order-matching session |
LO, MOK, MAK, MTL Orders can be cancelled |
|
11:30 - 13:00 |
Break |
|
|
13:00 - 14:30 |
Continuous order-matching session |
LO, MTL, MOK, MAK Orders can be cancelled |
|
14:30 - 14:45 |
Closing periodical order-matching session |
ATC, LO Orders cannot be cancelled |
|
8:45 - 11:30 & 13:00 - 14:45 |
Put-through session |
Put-through order |
4. The type of orders
- ATO (ATC) orders: The buy/sell derivative securities order at opening price (closing price), which is not given a specific price, is called ATO/ATC. ATO/ATC orders having higher priority to match than limit orders and will automatically be cancelled at the end of the effective session
- LO (Limit Order): The buy/sell derivative securities order at a specific price or at a better price. It is given a specific price and validates until the end of trading day or until the order is cancelled.
- Market Order: a buying order at the lowest price or selling order at the highest price at the time. This order is used during continuous matching period and will be cancelled after being input if none counter
- Market Order – Limit (MTL): The order is input in case unmatched all, it will be transferred the remaining to LO
- Market Order – Match all or Kill (MOK): Order if not execute entirely, it will be canceled in the system at the time of input
- Market Order – Match or Kill (MAK): Order can be executed partially or entirely. The remaining will be canceled after matching.
5. Trading method
- Periodical Order Matching: The method is made on the basis of comparing buying orders and selling orders of stocks at a specific time.
- Continuous Order Matching: is the trading method made on the basis of comparing buying orders and selling orders immediately when they are input into the trading system. Principles to define matching price: is the price of counter orders waiting on order books.
- Put – through Order: is the trading method by which buyers and sellers set out mutual agreed trading conditions by themselves. After that, the transaction will be entered into the trading system by the securities company of the seller and the securities company of the buyer to record the results.
6. Matching order principles
- Price priority
- Buying orders at higher price take priority
- Selling orders at lower price take priority
- Time priority: In the case that buying orders or selling orders are at the same price, the orders entering to the transaction system first will take priority in execution.
7. Cancellation/ adjustment of order in session
- Adjustment and cancellation of orders are available for orders which have not been matched or the remaining have not been matched yet.
- LO is allowed to adjust price, quantity and cancel order in trading time. The order’s priority of order after adjustment is determined as follows:
- The order’s priority is unchanged if only decreasing quantity.
- The order’s priority is recognized since adjustment order is input into the transaction system for increasing quantity and/or adjusting price.
- It is not allowed to adjust, cancel order in periodical Order Matching session.
8. Cancellation/ adjustment of put-through
- Put-through transactions that have been matched on the trading system (with the participation and confirmation of counterparties) are not allowed to be adjusted or canceled.
- During the trading period, in case a derivatives trading member incorrectly enters the investor's put-through trading order, the derivatives trading member is allowed to adjust or cancel the put-through trading order when the order has not yet been completely confirmed by the partner.
II. Margin account regulations
1. Determining the margin value before trading ensures the initial margin and the ratio of using mortgage asset
Initial margin (IM) = Contract multiplier x Number of contract x Final trading price x IM rate
Included: Contract multiplier: 100.000 VND
The final trading price is the latest matched price at the time of calculating IM if in the trading session or at the end of the day if calculating the closing IM
IM rate: Initial margin ratio is set by PHS and can change in each period
Margin value ≥ IM * (1/ the ratio of using mortgage asset)
2. Maintenance rate: MR = IM + VM (loss) + DM
|
Initial margin (IM) |
Variation margin (VM) |
Initial delivery margin (DM) |
|
- The rate of IM determined for the index futures contract according to current regulation of VSD is 13% - Published: 01, 10 and 20 monthly on VSD’s website at least 02 working days before applied - Margin ratio by cash for make sure minimum margin ratio is 100% |
Net losses in the trading of the portfolio on account of the customer. |
Additional deposit when making payment of material transfer from the last trading day to the last payment date |
For example: Investors participate in the derivative market
Step 1: Deposit VND 200 million to VSD via PHS successfully
Step 2: Investors predict market will increase so they decide to "buy" futures contract with code VN30F2012, expire in December, 2020.
|
Futures contract code |
Position number |
Price |
Multiplier |
IM rate |
|
VN30F2012 |
10 (Buy) |
800 |
100.000 |
13 % |
Step 3: The minimum required initial margin value (IM) for the investor and the ratio of using mortgage to the investor's account according to regulation of VSD included:
|
Futures contract code |
IM |
Actual margin |
Ratio of using collateral. |
|
VN30F2012 |
100.000*10*800*13%= 104.000.000 VND |
200.000.000 VND |
104.000.000/200.000.000= 52 % < 80 %= Safety threshold |
Step 4a: Suppose that the futures contract price increases as the expectation of investors
|
Futures contract code |
Position number |
Multiplier |
Price |
Market price |
Profit / loss position |
|
VN30F2012 |
10 (Buy) |
100.000 |
800 |
810 |
100.000*10*(810-800) =10.000.000 (profit) |
Similarly, at different times, VSD will check the margin account usage rate for investor accounts.
|
Futures contract price |
Initial margin (IM) |
Variation margin (VM) |
Maintenance rate (MR) |
Actual margin |
Ratio of using collateral |
|
800 |
104.000.000 |
0 |
104.000.000 |
200.000.000 |
52% |
|
810 |
105.300.000 |
10.000.000 |
105.300.000 |
200.000.000 |
53% |
Therefore, trading account of investor is within the permitted safety threshold and investors earn 10,000,000 VND when performing the contract.
Step 4b: Suppose that the futures contract price decreases unlike the expectation of investors
|
Futures contract price |
Position number |
Multiplier |
Price |
Market price |
Profit / loss position |
|
VN30F2012 |
10 (Buy) |
100.000 |
800 |
793 |
100.000*10*(793-800) =-7.000.000 (Loss) |
VSD will check the margin account usage rate for investor accounts.
|
Futures contract price |
Initial margin (IM) |
Variation margin (VM) |
Maintenance rate (MR) |
Actual margin |
Ratio of using collateral |
|
800 |
104.000.000 |
0 |
104.000.000 |
200.000.000 |
52% |
|
793 |
103.090.000 |
-7.000.000 |
110.090.000 |
200.000.000 |
55% |
Therefore, trading account of investor is within the permitted safety threshold and investors suffered losses - 7,000,000 VND when performing the contract.
Noted that position profits will not be calculated in the maintenance margin value, the ratio of using mortgage is taking example calculated by the VSD’s regulation and the investor's profit/loss is not calculated the related fees and taxes in derivative transactions.
3. Position limit
Position limit is set to prevent an individual or organization holding a large number of contracts, maintain the stability and fairness of the market and ensure the right of investors when participating in the market
|
No |
Type of investor |
The max number of futures contract in 01 account |
|
1 |
Individual |
Under 5.000 Contracts |
|
2 |
Organization |
Under 10.000 Contracts |
|
3 |
Professional securities investors |
Under 20.000 Contracts |
4. The warning threshold violates the ratio of using mortgage according to VSD
|
No |
Parameter content |
Specified parameters |
|
1 |
Warning threshold 1 (Safe) |
80% |
|
2 |
Warning threshold 2 (Additional) |
90% |
|
3 |
Warning threshold 3 (Handle) |
100% |
5. Tax policy for income from transfer futures contracts in the derivative market
Personal income tax = Partial transfer price * 0.1%, included:
Partial transfer price = (Settlement price of futures contract * Contract multiplier * Contract number * Initial margin ratio)/2
For example:
Index futures contract code VN30F2007 is made with the multiplier (100.000 VND)
Initial margin ratio of futures contract is published by VSD (13%).
- At 9:00 on July 25, 2020 investor A matched the buying order 10 futures contract code VN30F2007 with the price of 850 index point. Individual investor A must deposit personal income tax in buying trading: 850*100.000*10*13%/2*0,1%=55.250 VND
- At 10:00 on July 25, 2020 investor A matched the selling order 10 futures contract code VN30F2007, price matching of this futures contract decrease to 840 point. Individual investor A must deposit personal income tax in selling order: 840*100.000*10*13%/2*0,1%=54.600 VND
Note: The above content are just quote of some main contents of the current Trading Regulations on listing and trading futures contracts issued by the Vietnam Stock Exchange together with Decision No. 20/QĐ-HDTV dated May 20, 2022 but not all of the Trading Regulations at the Vietnam Stock Exchange. Contact us for more detailed regulations. In case the Vietnam Stock Exchange announces an adjustment/supplement to the Trading Regulations, PHS will try to update the adjusted content as quickly as possible; In case PHS does not promptly update, the adjusted /supplemented contents will take effect and replace the current contents started here.
