Announcement
New Reformed VND VNIBOR prototype available ahead of production benchmark adoption.
For the Vietnamese market, FTSE Russell produces several local market interest rate benchmarks, including:
- VND VNIBOR The rate at which local Vietnamese banks, who are active in the Vietnamese money market are willing to lend to other banks in Vietnamese Dong (VND).
- USD VNIBOR The rate at which local Vietnamese banks, who are active in the Vietnamese money market are willing to lend to other banks in US Dollars.
- VNDFIX The benchmarks include VND-USD spot and forward FX rates as well as an implied interest rate benchmark based on exchanging VND into USD at the spot rate, lending at USD VNIBOR and converting back into VND using the forward FX rate.
VND VNIBOR Prototype Methodology Enhancements
Prototype available ahead of production release
The new prototype Reformed VND VNIBOR methodology is based on industry feedback and aims to align with best practice by using executed trade data and developing a nearly risk-free reference rate. Further details can be found in the methodology and outcome statement documents. It should not be used for any purposes other than testing.
Benefits
Why VND VNIBOR (Prototype Methodology)
Accuracy is improved through the use of actual transaction data.
The new prototype Reformed VND VNIBOR methodology seeks to maximise trade data collection by extending the collection window if there are too few trades.
The methodology enhances resilience by aligning with industry best practices and incorporating nearly risk-free reference rates.
Data access
VND VNIBOR Workspace Codes
| Tenor | Existing production | Prototype | |
|---|---|---|---|
| All tenors | All | VNIBOR= | PROVNIBOR= |
| Intended to become regulated | ON | VNIVNDOND= | PROVNIVNDOND= |
| SW | VNIVNDSWD= | PROVNIVNDSWD= | |
| 2W | VNIVND2WD= | PROVNIVND2WD= | |
| 1M | VNIVND1MD= | PROVNIVND1MD= | |
| 3M | VNIVND3MD= | PROVNIVND3MD= | |
| Intended not to be regulated | 2M | VNIVND2MD= | PROVNIVND2MD= |
| 6M | VNIVND6MD= | PROVNIVND6MD= | |
| 9M | VNIVND9MD= | PROVNIVND9MD= | |
| 1Y | VNIVND1YD= | PROVNIVND1YD= | |
| Compounded average rates | 1M | — | PROVNIVND1MAVG= |
| 2M | — | PROVNIVND2MAVG= | |
| 3M | — | PROVNIVND3MAVG= | |
| 6M | — | PROVNIVND6MAVG= | |
| 9M | — | PROVNIVND9MAVG= | |
| 1Y | — | PROVNIVND1YAVG= | |
| VND VNIBOR Index | — | — | .PROVNIVNDTRI |
Accessing rates data
Benchmark data is made available on LSEG Data & Analytics platforms, through direct data feeds and APIs and is widely available through other third-party market data vendors and authorised redistributors.
