Financial Products

Derivatives

 I. Derivatives Market's Legal Structure


II. Some abbreviation terms

  • CCP: Central Counter Party Clearing House
  • CM: Clearing member
  • NCM: Non clearing member
  • GCM: General clearing member
  • DCM: Direct clearing Member
  • IM: Initial deposit
  • IMd: due Initial deposit to transfer of material
  • MR: Required deposit level
  • SM: Support deposit level
  • TA: Depository account of investors opened at Securities companies
  • TAT: Derivatives transaction account
  • TAM: Deposit transaction account
  • VM: Change in deposit. The daily profit/loss arising from price movements of all non-netted positions and net position on the Investor account.
  • DSP: End of Day settlement price
  • FSP: Final settlement price
  • AI: Is the bond interest is not paid from the previously interest payment period till the final payment date (provided by the Stock Exchange)
  • M: Multiplier
  • CF: Conversion factor (provided by the Stock Exchange).


III. The rates of warning and deposit using thresholds


When the rate of use of deposit of investors: 

  • Level 1, 2: CCP will send warning to Clearing Member to inform investors
  • Reach Limit level: CCP will send request to HNX for stopping account transactions and request Clearing Member to announce that investors to submit additional deposit or close positions.

For example: On June 2, 2017, at 9:00AM, investor A traded 20 HNX30F1706 buying position at 130, with multiple = 1,000, IMrate = 9%. Then, the transaction price of the product fluctuate as follows:

  • At 10:00AM: HNX30F1706 is 127
  • End of Day settlement price (DSP): 140

Investors deposit before the transaction is 280,000, the threshold of use of deposit collateral is 100%.

PriceIMVMMR=IM+VMCollateralCollateral Usage
130234.0000.00234.000280.00083,57%
127228.600(60.000)288.600280.000103,07% => Account is stopped trading (investors have to add deposit / pay losses to ensure the collateral rate)
140252.000200.000252.000280.00090%

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