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Dạng 1: Clearing (bdau từ slide 33 chap 4) (THANH + THU PHƯƠNG)- CÓ 2 BÀI (1 BÀI TRONG VỞ LNGOC+ 1 BÀI TRONG SLIDE) BÀI CÔ CHO Transaction Buyer Seller Volume Value 1 A C 2000 13 2 B D 2500 15. 3 C B 1000 14 4 E A 3000 13. 5 D A 1500 14. 6 D B 4000 15 7 B C 2500 13 Bilateral (song phương) Bilateral clearing là xét transaction của 2 đối tượng, kiểu là xét theo đôi í ạ, ví dụ A giao dịch với B hay A - C, B - C,... Vdu:
_- xét A - C chỉ có 1 transaction là transaction 1→ viết lại cái dòng đấy
- B-D có 2 transaction số 2 và 6, trans 2 B mua 2500 còn ở trans 6 B bán 4000, thì_ suy ra B bán 4000 - 2500 = 1500, B bán nhiều hơn mua nên kết lại vị trí của B là seller B bán 1500 volume, giá bnh thì mình xem trans 2 và 6 lấy giá cao hơn trừ giá thấp hơn 1 A C 2000 13 2,6 D B 1500 0. 3,7 B C 1500 1 4 E A 3000 13. 5 D A 1500 14.
Multilateral Ví dụ A (1,4,5)- bán tổng 4500, mua 2000 -> bán 2500 Giá bán= 13.5+14.5-13= 1,4,5 VSDC A 2500 15 2,3,6,7 VSDC B 0 0. 1,3,7 VSDC C 1500 12 2,5,6 D VSDC 3000 14 4 E VSDC 3000 13. BT Multilateral clearing slide (thu phg) (Giao dịch nhiều bên) ● A (1,2,3,5) Mua: 120 + 70 + 90 = 280 Bán: 50 => KL gd mua nhiều hơn kl gd bán => A mua 280 - 50 = 230 => A mua 230 với giá : 121+ 70 + 92 - 51 = 283 /1,000VND ● B (1,4,6,7) Mua (6,7): 80 + 60 = 140
A-C (2,5): A mua 70 + 90 = 160 với giá 162; C bán D-A (3) D-B (4,7): D mua 100 bán 60 -> mua 100 - 60 = 40 với giá 98 - 59 = 39; B bán B-C (6) Dạng 2: Settlement compensation dùn ( bday từ slide 27 chap 2) (HDINH) Example:
- 5 depository members, don’t have a contribution of brokerage turnover.
- Initial contribution: 120 mio/DM
- On the basis of clearing result, DM C has to pay 180 mio, C’s account has only 20 mio, DM C receives money support form SCF for 8 days.
- Interest rate as use SCF: 0.03%/day for first 5 days; 0.0375%/day for 3 belated repayment days. (from day 6). Requirement:
- Calculate the borrowed amount by DMs?
- Calculate interest to be paid to DMs for 8 days. Solution:
- Total SCF = initial contribution x number of DMs = 120m x 5 = 600m DM C owes = Total owes - cash DM C has = 180m - 20m = 160m -> Use SCF: - use DM C’s contribution amount = 120m
- use other DM’s contribution amount = 160m - 120m = 40m
In which, K(m) of each DM = Each DM ' s contribution Total SCF − Contribution of DM C = 120 600 − 120 =0. -> Each of the other DM’s supporting amount = 0.25x 40m = 10m/DM
- Interest for first 5 days: 0.03% x 5 x 160m=0.24m -> Allocate arising interest to DMs:
- Allocated interest paid to C itself: 0.03% x 5 x 120m = 0.18m
- Allocated interest paid to DM’s supporting amount: = 0.03% x 5 x support amount=0,03% x 5 x 10=0.015m
- Belated interest for the next 3 days = 0.0375% x 3 x 160m = 0.18m -> Allocate arising belated interest to DMs:
- Pay to C itself: 0,0375% x 3 x 120m = 0.135m
- Pay to DMs: 0.0375% x 3 x support amount = 0.0375% x 3 x 10 = 0.01125m => interest to be paid to DMs for 8 days = 0.015 + 0.01125 = 0.02625m Clearing results on 6/8/N, member A has to pay 600 mil but A has 100 mil from the settlement compensation fund during 7 days Requirement a) What does other member support b) What does A has to pay fines interest for other member in first 5 days and following 2 days c) Given the fines interest of 0.03%/day for first 5 days, 0,0375% for following 2 days (from day 6) Answer a) Total SCF= 240+ 350+ 150+400 +300+500=1.340 million DM A owes = 600-100= 500M ⇒ Use SCF = 500 million Use A’s SCF contribution amount = 240M Use other DM’s contribution amount= 500-240=260M Calculate K Kb= 350/(1940-240)= 0.20589 → B support = 0.020589x 260=53.5M Kc= 150/(1940-240)= 0.08824 → C support 0.08824x 260= 22.9M Kd= 400/(1940-240)= 0.2353 → D support 0.2353 x 260= 61.2M Ke= 300/(1940-240)= 0.17647 → E support 0.17647 x260= 45.9M Kf= 500/(1940-240)= 0.29412 → F supports 0.29412 x 260= 76.5M b) Interest for first 5 days = 0.0325500=0.75 million -> Allocated arsing interest to DMs
- Allocated interest paid to A itself : 0.0325240=0.36 million
- Allocated arsing interest to DMs supporting amount:
Next, let's calculate the total value of your investment after the price increase. Total Value = New Price * Number of Shares Total Value = $55 * ( $10,000 / $50 ) Total Value = $11, You borrowed $5,000 at an interest rate of 8%, so you owe your broker the following amount: Amount Owed = Borrowed Amount + (Borrowed Amount * Interest Rate) Amount Owed = $5,000 + ($5,000 * 8%) Amount Owed = $5, Finally, let's calculate your rate of return. Rate of Return = (Final Value - Initial Investment - Amount Owed) / Initial Investment Rate of Return = ($11,000 - $5,000 - $5,400) / $5, Rate of Return = 12% So, if the price of Telecom stock goes up by 10% during the next year, your rate of return will be 12%. b. Price Fall for Margin Call A margin call happens when the equity in your account falls below the maintenance margin. Equity is the current market value of the stock minus the amount borrowed. The maintenance margin is the minimum percentage of the total market value that the equity must be. Let's denote the price at which you get a margin call as P. The equity in your account when the price falls to P is: Equity = (P * Number of Shares) - Amount Borrowed The total market value when the price falls to P is:
Total Value = P * Number of Shares You get a margin call when the equity is 30% of the total market value, so: (P * Number of Shares - $5,000) / (P * Number of Shares) = 30% Solving this equation for P gives: P = $5,000 / (Number of Shares * (1 - 30%)) P = $5,000 / (200 * 0.7) P = $35. So, the price of Telecom stock has to fall to $35.71 for you to get a margin call. (THAO PHUONG)Ex2: Suppose that Intel currently is selling at $20 per share. You buy 1,000 shares using $15,000 of your own money, borrowing the remainder of the purchase price from your broker. The rate on the margin loan is 8%. a. What is the percentage increase in the net worth of your brokerage account if the price of Intel immediately changes to: (i) $22; (ii) $20; (iii) $18? What is the relationship between your percentage return and the percentage change in the price of Intel? b. If the maintenance margin is 25%, how low can Intel’s price fall before you get a margin call? c. How would your answer to (b) change if you had financed the initial purchase with only $10,000 of your own money? d. What is the rate of return on your marginal position (assuming again that you invest $15,000 of your own money) if Intel is selling after 1 year at: (i) $22; (ii) $20; (iii) $18? What is the relationship between your percentage return and the percentage change in the price of Intel? Assume that Intel pays no dividends. e. Continue to assume that a year has passed. How low can Intel’s price fall before you get a margin call? Solution:
● Case 3: Price decreases to P=18: Stock value = 18×1,000 = 18, Equity= Stock value−Loan balance= 18,000 − 5,000= 13, Percentage change= New Equity − Initial Equity Initial Equity
× 100 =
13,000−15, 15,
Relationship: The relationship between your percentage return and the percentage change in the price of Intel is that they are inversely proportional. When the price of Intel increases, your percentage return decreases, and vice versa. This is due to the fact that you are leveraging your investment with borrowed money, so changes in the stock price have a magnified effect on your net worth. b) Equity = Stock value − Loan =1,000 P − 5,000⋅ The maintenance margin is 25%, so: Equity / Stock value ≥ 0. => 1,000 ⋅ P −5, 1,000 ⋅ P
=> P ≥ 6.
The stock price must not fall below $6.67 to avoid a margin call. c) new Loan=20,000−10,000=10,000. Equity / Stock value ≥ 0. => 1,000 ⋅ P −10, 1,000 ⋅ P
=> P ≥ 13.
New margin call price: $13.
d) Loan interest = 5,000 × 8%= 400 ● Case 1: P= Stock value = 22×1,000 = 22, Equity = 22,000−5,000−400=16, Rate of return = 16,600−15, 15,
● Case 2: P= Stock value = 20×1,000 = 20, Equity = 20,000−5,000−400=14, Rate of return = 14,600−15, 15,
● Case 3: P= Stock value = 18×1,000 = 18, Equity = 18,000−5,000−400=12, Rate of return = 12,600−15, 15,
Relationship: The percentage return on equity is amplified compared to the percentage change in the stock price due to leverage. This means that small changes in the stock price result in larger percentage changes in equity, both positively and negatively. e) Loan = 5,000 × (1+8%) =5 ,400. Equity / Stock value ≥ 0. => 1,000 ⋅ P −5, 1,000 ⋅ P
=> P ≥ 7.
New Margin Call Price: P=7.20 $/share
Profit = 1377.2 mil - 1.2 bil = 177.2 mil Rate of return = 177.2 mil / 1.2 bil = 14.77% (KHUÊ)Ex 4: Information about contribution of each depository up to the time of using the Settlement Compensation Fund as follow: Unit: USD mio Member A B C D E F Contribution 240 350 150 400 300 500 Clearing result on 6/8/N, member A has to pay 600mio but A has 100mio on A’s account. A needs to receive support from the Settlement Compensation Fund during 7 days. Requirement: a. What do other members support? Total money of Settlement Compensation Fund = 240 + 350 + 150 + 400 + 300 + 500 = 1940 A member missing: 600 - 100 = 500 Using Settlement Compensation Fund:
- Money of A: 240
- Money from others: 260 (= 500-240)
