VN30 index futures contracts expiring in June will apply a new settlement price calculation method

VN30 index futures contracts expiring in June will apply a new settlement price calculation method

 VN30 index futures contracts expiring in June will apply a new settlement price calculation method

It is expected that the first VN30 index futures product (FSP) to apply the final price method (FSP) is VN30F2206 to expire on June 16, 2022, after the Stock Exchange has completed the transaction. 

adjust the VN30 index futures contract form and disclose information according to regulations.

On May 16, 2022, the General Director of Vietnam Securities Depository Center (VSD) signed Decision No. 61/ on promulgating the Regulation on clearing and settlement of derivatives transactions at VSD to replace Decision No. Decision No. 96 dated March 23, 2017 promulgating the Regulation on margin, clearing and settlement of derivative securities and Decision 87 dated July 19, 2018 amending and supplementing the Regulation issued together with Decision No. 96.


In it, there are two notable changes as follows:

One is to change the method of calculating the final settlement price (FSP) of the VN30 index futures contract from ''which is the closing value of the underlying index on the last trading day'' to ''which is the numerical average value of the VN30 index). 

simple learning of the index for the last 30 minutes of the last trading day (including 15 minutes of continuous execution and 15 minutes of periodic closing), after excluding the top 3 index values ​​and 3 the lowest index value of the continuous matching session".


It is expected that the first VN30 index futures product to apply this FSP pricing method is VN30F2206, which expires on June 16, 2022, after the Stock Exchange has completed the adjustment of the VN30 index futures contract and the disclose information in accordance with regulations.


The second is to exclude the put-through price when calculating the required margin and margin usage ratio during the trading session as well as when calculating the daily settlement price using the weighted average method (in the case of case there is no closing price). 

This change will be effective immediately upon entry into force of the Regulations.


Regarding the time of application, in order to ensure time for the Stock Exchange to complete the adjustment of the VN30 index futures contract form and disclose information in accordance with the provisions of Circular 96/2020/TT-BTC for relevant contents. 
Regarding the new method of calculating the final settlement price of futures contracts on the VN30 index, the new Regulations will take effect from June 1, 2022.


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