What are methods for determining the List of securities as collateral assets from June 1, 2022 in Vietnam?
What are principles for determining the List of securities as collateral assets from June 1, 2022 in Vietnam?
Based on Appendix 3 issued together with Decision 61/QD-VSD of 2022, the principles for determining the List of securities as collateral assets are defined as follows:
- The list of securities used as collateral assets is based on liquidity, determined periodically every 6 months.
- The securities in the HNX30 and VN30 indexes are automatically deemed to have sufficient liquidity to be considered for the list of accepted securities.
What are methods for determining the List of securities as collateral assets from June 1, 2022 in Vietnam?
What are procedures for determining the List of securities as collateral assets based on liquidity in Vietnam?
Based on Appendix 3 issued together with Decision 61/QD-VSD of 2022, the procedures for determining the List of securities as collateral assets based on liquidity in Vietnam are as follows:
Step 1: Select 250 securities (150 listed on HSX and 100 listed on HNX, excluding securities in the HNX30 and VN30 indexes) with the largest average trading value per session in the past 12 months of the evaluation period.
Step 2: Rank the total trading volume (TV) per session of the selected securities each month in descending order, select the middle trading volume as the median trading volume (if there are 02 middle days, take the average trading volume of these 02 days as the median trading volume).
Step 3: Calculate the median trading volume ratio (R) for each month:
R = Median trading volume / outstanding volume of securities on the last day of the month.
Where:
Outstanding volume of securities on the last day of the month = Total registered, depository volume of securities - Restricted transferable volume (data monitored on VSD system).
Step 4: Determine the list of securities used as collateral assets:
- VSD determines and announces the R ratio for each evaluation period, but at least 0.02%.
- Securities with 6/12 months or more having an R ratio < the ratio announced by VSD will not be included in the list of collateral assets. For securities already in the accepted margin securities list of the previous announcement period, those with 8/12 months or more having an R ratio < the VSD announced ratio will not be included in the collateral assets list.
- The list of securities used as collateral assets includes:
+ Securities in the HNX30, VN30 indexes (except cases not meeting the conditions specified in point b, clause 2, Article 6 of this Regulation).
+ Securities with 7/12 months or more having an R ratio > the ratio announced by VSD (for securities not in the accepted margin securities list of the previous announcement period) and securities with 5/12 months or more having an R ratio > the ratio announced by VSD (for securities already in the accepted margin securities list of the previous announcement period).
Based on these steps, you can determine the valid collateral assets list.
How to determine the discount rate for margin securities on the ex-rights date in Vietnam?
Based on Appendix 4 issued together with Decision 61/QD-VSD of 2022, the method for determining the discount rate for margin securities on the ex-rights date is as follows:
The discount rate for margin securities on the ex-rights date is determined as follows:
Where,
H: Discount rate applied on the ex-rights date
Ht-1: Discount rate applied on the trading day immediately before the ex-rights date
Ptc: Reference price on the ex-rights date
Ptc-1: Closing price on the trading day immediately before the ex-rights date
Ptc is determined by the following formula:
In which:
I1: The capital ratio increases according to the issuance of rights to buy securities
I2: The capital ratio increases due to the issuance of bonus securities
I3: The capital ratio increases due to the issuance of dividends in securities
TTHck: Value of bonus in securities
Divck: Value of dividends in securities
TTHt: Value of bonus in cash
Divt: Value of dividends/benefits in cash
Pr1: Price of securities sold to those with the right to buy securities
Pr2: Price of securities calculated for those receiving bonus securities
Pr3: Price of securities calculated for those receiving dividends in securities.
According to the above formula, you can determine the margin discount rate on the ex-rights date based on your collateral assets.
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