Provisions on value at risk of assets of securities-trading organizations in Vietnam

According to Article 9 of the Circular No. 91/2020/TT-BTC of the Ministry of Finance of Vietnam, at the end of a trading day, a securities-trading organization shall determine the value at risk of its assets specified as follows:

- Securities from proprietary trading accounts, excluding the number of covered warrants that are yet to be completely issued; (applicable to securities companies) or securities trading accounts (applicable to fund management companies and securities companies not engaged in proprietary trading of securities), entrusted securities , other investment securities, including securities pending settlement;

- Securities provided by other individuals and organizations in accordance with regulations of law, including securities borrowed by the securities-trading organization itself and securities borrowed on behalf of other individuals and organizations;

- Clients’ securities used by the securities-trading organization as secured assets. The trader may either use such securities or lend them to a third party in accordance with regulations of law;

- Cash, cash equivalents, negotiable instruments and valuable papers owned by the securities-trading organization;

- The securities which are underwritten by the securities-trading organization in the form of firm commitment, which remain undistributed and to which full payment has not been made throughout the underwriting period.

Note: The securities and assets specified above shall not include:

+ Treasury stocks;

+ The securities specified in Clause 7, Article 5 and Clause 5, Article 6 of the Circular No. 91/2020/TT-BTC;

+ Due bonds, debt instruments and valuable papers on the monetary market.

+ The securities that have been prevented from risks with call warrant or futures contract. The call warrant and warrant agreement shall be used for preventing risks from underlying securities.

Particularly, the value at risk of the assets specified at Points a, b, c and d, Clause 2 of this Article shall be determined according to the following formula:

Value at risk = Net position x Asset price x Market risk coefficient

+ Market risk coefficient shall be determined according to Appendix 1 enclosed herewith;

+ Asset price shall be determined according to Appendix 2 enclosed herewith.

View more details at the Circular No. 91/2020/TT-BTC of the Ministry of Finance of Vietnam, effective from January 01, 2021.

Le Vy

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