Introduction to International Repo & Securities Lending: Session 1, ASIFMA, CDC, UBS, RBS Presentation - 19 February 2007

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1 Introduction to International Repo & Securities Lending 全球债券回购与借贷 ASIFMA, CDC, UBS, RBS February 19, 2007

2 SECTION 5 第五节 Advances in Liquidity Markets 流通市场的改善

3 Triparty Repo 第三方托管式回购 Triparty Repo is an advancement in the market that has simplified operations and greatly increased the trading volume in both US and Europe liquidity markets. Remember the graphs showing US and Europe market growth! 第三方托管简化回购操作, 使欧美市场的交易量得以大幅度的增长请参考第二节统计图表 Used only as funding product (GC repo) 融资作用 Triparty Repo (1 settlement bank) vs Deliverable Repo (2 settlement banks) 交付式回购, 双方须各有托管银行第三方托管式回购, 只须一家托管银行 Who are triparty agents? 主要的第三方代理机构 : For U.S. agent banks (JPMChase, BONY), CSD (FICC) 美国的代理银行, 机构 For Europe ICSDs (Euroclear, Clearstream, JPMChase, BONY) 欧洲的代理银行, 机构 2

4 Triparty Repo Structure 第三方托管式回购结构 Triparty Repo Repo Buyer 回购融出资金方 B 方 1. Agree on terms of transactions 双方同意交易 Repo Seller 回购融入资金方 A 方 4. Segregated Collateral Report 抵押品报告 2. Cash 现金 3. Cash 现金 Tri-Party 第三方托管人 B 方的账户 ( 证券 ) Investor s Account at Dealer s Account at A 方的账户 ( 证券 ) Upon receipt of cash from investor, moves collateral from Seller s account into Investor s account 第三方托管人收到 B 方的现金和计算了 A 方应交的抵押品, 才能把现金抵押品同时转移 3

5 Comparison of Triparty Repo vs Deliverable Repo Structure 第三方托管式与交付式回购比较 Triparty Repo 第三方托管式回购 B 方 1. Agree on terms of transactions A 方 4. Segregated Collateral Report 2. Cash 3. Cash Tri-Party Investor s Account at Dealer s Account at Upon receipt of cash from investor, moves collateral from Seller s account into Investor s account Deliverable Repo (aka Bilateral Repo) 交付式回购 ( 或称双边回购 ) B 方 1. Agree on terms of transactions A 方交付指标 B 方的托管银行 2. Settlement Instructions Investor s 现金 3. Cash Collateral 抵押品 2. Settlement Instructions Dealer s 交付指标 A 方的托管银行 4

6 Triparty Agent Responsibilities 第三方托管人的责任 Ensure collateral amount is sufficient. 确保抵押品数量足够 Also tally Repo Buyer s (Cash Lender) conditions before releasing funds to the Repo Seller. 并符合回购融出资金方的条件时才将资金给回购资金融入方 Allocation of collateral/securities 配置抵押品 Every day or every cycle, produce collateral report 每天或一天多次, 准备抵押品报告书 Start from scratch every day/cycle, calculate/estimate value all the collateral. If insufficient, 每天或一天多次, 重新估值所有的抵押品若数量不足, 从回购融入资金方的帐户转移新的抵押品 If Repo Seller s securities were sold in the interim, new collateral is substituted 若抵押品被卖掉, 第三方托管银行会重新配置抵押品 5

7 Merits of Using Triparty Agent 使用第三方托管的优点 All the securities and cash are located in the same place. Reduce mistakes in payments and securities transfers. And also speed of accuracy. 所有证券与现金都是在同一家银行内转账减少转移的错误, 并且快速准确 Recalculation of collateral everyday. Increases accuracy. 抵押品每天 ( 或一天多次 ) 重新估值增加准确性 Collateral is automatically allocated. Reducing manual operations and possibility of mistakes. Especially when used in large-sized transactions. 抵押品自动配置减少人工操作, 错误的可能性尤其适用于大笔交易 Simplify counting/recording and calculation. 简化会计记录, 和计算 6

8 Triparty Repo Benefits 第三方托管式回购的益处 Example: USD$10,000,000,000 repo trade 例如 : 美元 100 亿的回购交易额 Deliverable Repo 交付式 Triparty Repo 第三方托管式 Securities allocate manually auto allocation by triparty agent 证券逐张人工配置由托管银行计算 Substitution 替换 manual & tedious 人工计算 automatic 自动 Trade Ticket 交易单 many 许多张 1 ( 一张 ) Efficiency: Save time therefore save money! 提高效率 : 节省时间和金钱! Superior risk mgmt 优越的风险管理 : Always fully secured, so no manual margining. 保证有足够的保证金所以不需要人工计算抵押品 Different Securities: Flexibility. Secured funding for complex securities. 适用于多种类 - 多数量复杂的抵押品 7

9 Triparty Repo Benefits 第三方托管式回购的益处 If you have USD$10,000,000,000 would you invest in 若有美元 $100 亿, 该投资..? deposit deliverable repo triparty repo commercial paper 银行存款交付式回购第三方托管银行商业票据 Why? 理由? 8

10 Triparty Repo Wrapup 总结 Wait a second. Is there a similar structure in China? Yes, when participants trade on the exchanges (SSE,SZE) 中国的交易所债券回购与第三方托管类似 CSDCC (aka ChinaClear) 中国证券登记结算公司 CSDCC can be viewed as a type of third party agent 中国结算可视第三方托管代理结构 Activities include 工作辂围 : calculation agent (BZQ) 估值工作, 质押券管理 ( 标准券 ) margin agent 调整保证金代理 but not a securities-allocation agent 但不自动配置抵押品 Pledged Repo 质押式回购 : bonds are sitting in an account at CSDCC 券冻结在 CSDCC New Pledged Repo 新质押式回购 Old Pledged Repo + Subsitution 旧的质押式回购 + 替换能力 Securities flexible: governments or corporates 可用证券包括国债和企业债 Chinese participants still manually reallocate securities in the basket unlike in international markets where the triparty repo agent does the automatic allocation. 国际性的第三方托管代理银行可以自动配置抵押品, 但是在中国 ( 交易所交易 ) 仍须人工计算 FICC in the US: triparty GCF repo product 9

11 Other Triparty Products! 其他的第三方托管产品 Triparty Repo is only one form of advancement 第三方托管回购只是改善的一种 There are also 也有 Triparty Securities Lending Triparty Collateral Management 第三方托管证券借贷第三方托管抵押品管理 Similar concepts, shows the power of outsourcing functions as calculation/valuation dynamic securities allocation (removes the need for margin calls and greater collateralization at 102%) so that you increase efficiency, lower risk, and focus on your trading 第三方托管可以自动估价, 计算, 配置抵押品, 增加效率, 减低风险, 让前台专心交易 10

12 Other Advances 其他的改善 Equities Repo 股票回购 CDO Repo 债务作担保证券回购 ( 证券化证券回购 ) Structured Note Repo 结构票据回购 Advanced Triparty Repo 高级第三方托管回购 (bonds + equities + ETFs + even derivatives as eligible collateral ) 可接受抵押品 : 债券加股票加交易所指数基金加衍生产品 As long as you can price collateral 抵押品有市有价, 就可作第三方托管 11

13 Contact Information UBS Singapore 瑞士银行, 新加坡分行 Bernard Chin 陈耀明 Executive Director 执行董事 Short-Term Financing Department 短期融资部门电话 : Bernard.Chin@ubs.com RBS Greenwich Capital 苏格兰皇家银行, 格林威治分公司 Tak Eng 吴德凯 Managing Director 董事经理 Treasury Products Department 财务部电话 : Tak.Eng@rbsgc.com 12

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