Introduction to International Repo & Securities Lending - February 19, ASIFMA, CDC, UBS, RBS

Size: px

Start display at page:

Download "Introduction to International Repo & Securities Lending - February 19, ASIFMA, CDC, UBS, RBS"

讼伺劳
6 years ago
Views:

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

2 Table of Contents 目录 Session 1 Basics of Repo & SellBuyBacks Classic Repurchase Agreement (Classic Repo) and SellBuyBack Users and Main Uses of Repo Collateral Types Market Risk Credit Risk Margin & Collateral Management Pricing of Securities Collateral 1

3 Table of Contents 目录 Session 2 Practical Market Considerations US Market Growth & Experiences Hedge Fund Incidents CT10 Reopening after 9-11 Increase in Different Types of Securities for Repo European Experience ICMA Survey and Market Growth Euro bonds, Corporate bonds, ABS Benefit to Cash Bond Markets Provides Liquidity Allows Shorting Hedging Interest Rate Risks through Shorting 2

4 Table of Contents 目录 Session 3 Backoffice 后台 Settlement Operations & Systems 结算操作与系统 Failed Deliveries Fails 交割失败 Accounting 会计 Legal & Documentation 法律 & 主协议 Collateral Management 抵押品管理 3

5 Table of Contents 目录 Session 4 Securities Lending What is Securities Lending? Forms of Securities Lending Securities Lending vs Repo Speed of Development of International Securities Lending Markets Who Uses Securities Lending? Operations Collateral Eligibility & Collateral Management Risks (Credit Risk 信用风险, Liquidity Risk 流动性风险, Market Risk 市场风险, Legal Risk 法律风险, Custodian Risk 托管风险,Settlement Risk 结算风险 ) 4

6 SECTION 1 第一节 Basics of Repo & SellBuyBacks 证券回购, 买断式回购, 基本操作方法

7 Classic Repo Basics & SellBuyBack Basics 证券回购, 买断式回购, 操作方法 Internationally, there are many types of repo 国际上, 回购种类繁多 Most commonly used is the Classic Repo & ReverseRepo 最常用 : 经典回购与经典逆回购 Next most commonly is the SellBuyBack & BuySellbacks 买断式回购与买断式逆回购 ( 卖出买入回购与买入卖出回购 ) Most Important 重要观念 : Repo as a Credit-Risk Mitigated Secured-Lending Product 证券回购 : 以抵押品减低借贷风险 Other Types 其他种类 Gensaki 在日本交易的一种回购方式 Held-In-Custody 由融入资金方托管抵押品 ( 像国内的质押式回购 ) etc 等 6

8 Standard Repo Structure 标准回购结构 Secured Loan: Cash Loan vs Securities as Collateral 有担保借贷 : 融出资金, 借入证券 $100mm USD 本金 Treasury 10Y 十年期国债 <- Repo Rate 回购利率 = 4.00% -> 起始日 :T 到期日 :T + 1 月后 Treasury 10Y 十年期国债 $100m USD 本金 $xx USD in repo interest 加 : 回购利息 7

9 Standard SellBuyBack Structure 标准买断式回购 Similar Structure 相似结构开始 : 卖出证券到期 : 买回证券 $100mm USD 本金 Treasury 10Y 十年期国债 S (Spot) 现价起始日 :T <- Repo Rate 回购利率 = 4.00% -> 到期日 :T + 1 月后 F (Forward) 期价 Treasury 10Y 十年期国债 $100m USD 本金 $xx USD in repo interest 加 : 回购利息 Spot Price 现价 = (clean 净价 ) (accrued interest 应计利息 ) = Forward Price 期价 = Spot Price 现价 + Carry 回购收益 = = Carry 回购收益 = Spot 现价 *RepoRate 回购利率 * 日数 d / 360 天 = *4.00%*28/360 =

10 Repo Math 回购计算 F 起价 = S 现价 * (1 + RepoRate 回购利率 * d/360) (1 + rusd*d/360) (1 + RepoRate 回购利率 * d/360) = (1 + rbond*d/360) Rule of Thumb 简单地说 : RepoRate ~= USD Rate Bond Fee 回购利率 ~= 现金贷款利率借券的使用费 4.00% ~= 5.25% 125bps 十年期国债回购利率 ~= 联邦基金利率十年期国债借券使用费 9

11 Repo Terminology 回购专用名词 UBS 瑞士银行券 ABC 农业银行资金简称 A 方简称 B 方 Repo Seller Repo Buyer Repo Lender Repo Borrower 融资方融券方 Securities Security Lender Security Borrower 证券借出证券借入证券 Cash Cash Borrower Cash Lender 现金融入资金融出资金 10

12 Classic Repo 经典回购 ( RRRA Bloomberg Ticket) 瑞士银行借出债券给农业银行 11

13 SellBuyBack 买断式回购 ( BSR Bloomberg Ticket) 瑞士银行借出债券给农业银行 12

14 Discussion 讨论 International market hardly uses pledged repo. All securities are delivered. Securities are rehypothecable. 国际市场质押式回购比较少证券 ( 债券 ) 一般要过户券从借出证券方的账户转到融出资金方的账户 Because international repo have rehypothecation rights, bond borrowers can re-use the bonds. Consequently, bonds become special and repo rates can go lower. This is equivalent to Bond Fee increasing. 国际间的回购有再借的权力, 所以借入证券方可以再借出证券给其他的借券方. Repo & Sellbuyback numbers are the same! (only if there are no interim coupons) 当回购期间无利息支付时, 经典回购和买断式回购是相同的. 13

15 Classic Repo (with interim coupon) 经典回购 ( 回购期间有支付票息 ) 瑞士银行借出债券给农业银行 14

16 SellBuyBack (with interim coupon) 买断式回购 ( 回购期间有支付票息 ) 瑞士银行借出债券给农业银行 15

17 Coupon Handling 如何处理回购期间所得票息 Classic Repo: SellBuyBack: Repo Seller gets the coupon (Repo Buyer manufactures coupon) Repo Buyer keeps the coupon. 经典回购 : 借出证券方取回票息 ( 借入证券方制造票息, 才付给借出证券方 ) 买断式回购 : 借入证券方存用 In international market, both the Classic Repo and SellBuyback allows the Repo Buyer practically the same rights. Only difference when there are interim coupons or tax. 国际间, 经典回购和买断式回购几乎相同最主要分别在于票息和税额 In China, pledged repo seller freezes bond in his account. Therefore pledged repo buyer cannot reuse the bond. We can summarize: 国际经典回购 ~= 中国质押式回购 + 券得过户国际买断式回购 ~= 中国买断式回购 ( 银行间 ) 所以, 中国的质押式回购, 抵押证券冻结在帐户内因此, 借入证券方不能用该证券 16

18 Main Uses of Repo 证券回购的主要用途 Financing Long Positions 融资用途, 为资产提供资金使用者 Who: Securities Companies 证券公司, Financial Institutions 金融机构原因 Why: Need Cash; 需要资金 ;Limited Access to Unsecured Funds 无担保借贷额不足 ; To Maintain Inventory 保持存货. Secured financing rates may be lower 使融资利率更低一些 Financing Leveraged Long Positions 以杠杆作用提升资产额使用者 Who: Hedge Funds 对冲基金, Banks 银行原因 Why: Little capital 资本有限 ; Efficient Use of Capital 提升资本使用效率 Covering Short Positions 弥补空头头寸使用者 Who: Securities Companies 证券公司, Hedge Funds 对冲基金原因 Why: Settlement 必须结算, Hedge Interest Rate Risk 对冲利息风险 Covering Leveraged Short Positions 以杠杆作用弥补空头头寸使用者 Who: Securities Companies 证券公司, Hedge Funds 对冲基金原因 Why: Trading Strategies 交易投资策略 Investment of Cash 逆回购代表一种短期投资产品使用者 Who: Money Market 货币市场基金 & Mutual Funds / Unit Trust 共同基金 / 单位信托, Central Banks 中央银行原因 Why: Safe product 提供安全产品 ; Liquidity 流动性较高 ; Flexible Enddates 期限有弹性 17

19 Profit! Yield-Enhancement Combinations 商机! 提升投资组合的收益率 Where there is market demand for borrowing securities, lend it out! 应市场借券的要求, 把证券借出去! Typical strategies 典型策略 : Collateral Swap (Special vs GC) 抵押品掉换 ( 特别证券对一般证券 ) 正回购 repo(sbb) UST CT10 bond 十年期国债 4.15% + 逆回购 reverserepo(bsb) GC bond 一般证券 5.15% = net pickup 提升收益率 (CT10 vs GC) for 100 bps 基点 Credit Risk Creation 承担信贷风险 Gap Risk 期限差距风险 Issuer Risk 发行者风险正回购 repo UST 10 bond 十年期国债 4.15% 银行定期存款 depo USD 5.25% net pickup 提升收益率 110 bps 基点正回购 repo UST10 bond 十年期国债 4.15% 银行定期存款 depo USD 5.27% net pickup 提升收益率 112 bps 基点正回购 repo UST10 bond 十年期国债 4.15% 买 3 月期的商业票据 buy ABCP 5.35% net pickup 提升收益率 120 bps 基点 18

20 Collateral Types 抵押品种类 General Collateral Repo (GC Repo) 一般抵押品回购 ( 简称一般回购,GC) Basket of Securities 一蓝子公识的证券抵押品. Securities can be substituted and replaced. 抵押品可以替换 Mainly used for funding. 融出资金方不指明某特定债券主要是让借出证券方融资之用 GC repo is an alternative to the lending of cash 一般回购是拆出资金的另一种方法 GC repo rate correlated w/ money market rates 一般回购利率与货币市场利率相关 Specials Repo or Specific Repo 特殊或特定抵押品回购 Security is explicitly identified (i.e. CGB 2.92% 9/26/16 国债 ) No substitution. Will likely be used against a short position. Specials repo rates are lower than GC repo rates. 特定证券 : 融出资金方指明借入某证券 ( 例 : CGB 2.92% 9/26/16 国债 ) 不可替换通常用于弥补空头头寸特别抵押品回购利率要比一般抵押品回购利率低 Demand drives a bond from being general collateral to very special. Factors determining a bond s specialness include issue size, floating supply, and value in the cash market. 任何一张债券可由一般转为特定抵押品在资金市场中, 债券的发行量, 增发量, 价格等决定了特定抵押品的性质 19

21 Collateral Types 抵押品种类 More on Specials Repo or Specific Repo. 特殊回购.. strong demand specific piece of collateral 对特定抵押品有强烈需求 buyer offers cheap cash to seller 买方向卖方提供低成本资金 driver of special transactions is security 证券是特殊回购交易的驱动器 special repo is an alternative to securities lending 特殊回购是实现证券借贷的另一种方法 special rates match securities lending fees 特殊回购利率和证券借贷费率匹配 special repo is a capital market instrument 特殊回购是资本市场工具 20

22 Example of Repo Rates 回购利率例子特定回购买率 21

23 Example of Repo Rates 回购利率例子一般回购卖率 22

24 Market Risk 市场风险 Just as unsecured loans 如同银行间的拆借贷款, repos also have interest rate risks 回购并有利息风险 Example 举例 : repo trade notional 回购数额 100,000,000 USD ( 一亿美元 ) repo term 回购期限 1month ( 一个月 ) Size delta ~= 100,000,000 * 0.01% * 12 = USD$833/bp 利率增减一个基点, 收益波动 USD$833 Position in one bond 一张券的持有数额 : 2,000,000,000 USD deltas = $16,000/bp Positions in whole repo book 回购组合的持有数额 : 100,000,000,000 USD deltas = $833,000 / bp GC repo rates less volatile 一般抵押品的回购利率较为稳定 Specials repo rates can be volatile 特定抵押品利率波动幅度较大 Rate movement risks (Eurodollar futures trading, Fed hike, etc) 利率波动风险的主要原因 : 随着欧元期货交易, 联储局调整利率等 23

25 Market Risk 市场风险 Repo & MM Curves 回购曲线 & 货币市场曲线 Money Market Curves 货币市场利率曲线 Not just one curve. 不只一种曲线 Deposits, Fed Funds, LIBOR, Treasury Bill Rates ( 银行存款, 联邦基金, 欧洲美元, 短期国库券 ) Repo Curves 回购利率曲线 US Treasury GC Curve 国债一般回购率曲线 US Agency GC Curve 机构证券一般回购率曲线 US MBS GC Curve 抵押证券一般回购率曲线 US Specials Repo Curves 国债特定回购率曲线 Corporate Repo Curves 企业债 ( 一般 / 特定 ) 回购曲线 Divergence of rates in post 9-11 period 9-11 事件后一个月左右, 各种利息波动因信贷风险的不同, 造成利率曲线间的关系脱钩 24

26 Credit Risk 信用风险 Repo offers double indemnity 回购提供双重保障 If the Seller fails, Buyer sells the Bond If the Bond fails, Buyer calls on Seller for new collateral 如果卖方违约, 买方可以出售抵押品如果抵押品违约, 买方可以要求卖方提供新的抵押品 (Risk of collateral AND counterparty failure) < (Risk of collateral OR collateral failure) ( 抵押品和对手方同时违约的风险 ) 比 ( 抵押品或对手方违约的风险 ) 小得多 25

27 Credit Risk 信用风险 Cumulative Default Probabilities 累计违约概率 Credit Rating 信贷评级 6 mths ( 个月 ) 12 mths ( 个月 ) AAA 0 0 AA A BBB BB B all figures are percentages 数据单位为 % 26

28 Credit Risk 信用风险 Cumulative Default Probability of 6mth Repo 6 个月回购的累计概率 Collateral ( 抵押品评级 ) AA BBB Counterparty ( 对手方评级 ) AA % % A % % eg AA collateral from uncorrelated AA counterparty gives default risk = % x % = % 例如, AA 级抵押品由非关联的 AA 级对手方提供, 则违约风险 = % x % = % 27

29 Credit Risk 信用风险 Reasons collateral has legal & operational risks collateral may generate unexpected losses collateral should be secondary defence primary defence is counterparty creditworthiness repo is no substitute for credit risk management repo is not an excuse for accepting lower credits Warning! 注意! Credit Risk + Collateral = Operational Risk + Legal Risk 信用风险 + 抵押品 = 操作风险 + 法律风险抵押品有法律及操作风险抵押品可能会有意想不到的损失抵押品应该充当第二道防线第一道防线应该是对手方的信用程度回购不能替代信用风险管理回购不是接受较低信用交易的借口 ( 只和那些您愿意和他作无担保交易的对手方作回购 ) 28

30 Credit Risk 信用风险 Repo allows: 回购能实现 : More business with same counterparty and same capital 在相同对手方相同资本条件下, 做成更多的业务 higher return on capital 更高资本回报 Same business, same counterparties, and less capital 在相同业务量, 相同对手方条件下, 引用更少的资本 higher return on capital 更高资本回报 29

31 Credit Risk Mitigation 减低信用风险 Credit risks in repo transactions can be mitigated / subdued via initial haircuts and mark-to-market margining 回购交易的信用风险可由保证金来减低 Initial Margin/Haircuts (One-time) The start proceeds of a repo are usually equal or less than the market value of the collateral by an amount called the initial margin or haircut. 回购的初期金额通常等于或小于抵押品的市场价值, 其差额部分即称为初始保证金或折扣. Initial margin/haircut usually protect buyer against illiquidity of collateral and counterparty risk 初始保证金 / 折扣通常保护买方, 降低以下风险 : 抵押品的流动性低, 对手方风险 30

32 Initial Haircuts 初始折扣率 Haircut Matrix (Sample Only) 折扣率表 ( 举例 ) Rating 证券信用评级 1mth 3mth A 5% 5% BBB 10% 15% BB+/BB 15% 20% B+/B 30% 35% B- 35% 40% Will also depend on maturity, bullet/callable, liquidity 折扣率根据期限, 种额, 流动性而定 Example 举例 KOREA08 (rated A) Dirty Price 现价 / 全价 = $93.00 Haircut 折扣率 = 5% Face amount 面值 = Money amount 现金 = 10,000,000 USD 8,835,000 USD What are appropriate haircuts? 折扣率以何为准? Often firm-specific, but probably consider 95%/99% VAR and consideration of counterparty quality 通常保持在 VALUE-AT-RISK 的 95% 至 99% 之间, 同时也考虑到交易对方的信贷风险 31

33 Credit Risk Mitigation via Margin Maintenance 信用风险减低 : 保证金维护 The market value of the collateral should be maintained by margin maintenance: 透过保证金维护, 以确保足够的抵押品抵押品的市值应该进行保证金维护管理 if market value of collateral falls buyer calls for extra collateral or cash refund 如果抵押品市值下降买方追加保证金 ( 买方要求额外抵押品或部分资金返还 ) if market value of collateral rises seller calls for extra cash or collateral back 如果抵押品市值上升卖方追加抵押品 ( 卖方要求额外资金或者部分抵押品返还 ) 32

34 Margin Maintenance Frequency 保证金维护调整次数 Margin maintenance is a major operational challenge. To mitigate this burden: 保证金维护对具体操作是一个主要挑战为降低操作负担有下列方法 : Margin maintenance on repo documented under the same master agreement are made net. 在主协议下的所有回购, 保证金维护采用净额支付 Margin calls can be limited by mutual agreement to material changes in net exposure --- excess of an agreed amount called a margin maintenance limit --- which is also the minimum transfer amount. 双方同意, 追加保证金一定要等到不足的差额 ( 或证净额头寸额 ) 超过了最低交付额净额头寸才发出通知书 33

35 Credit Risk Mitigation 减低信用风险 Most importantly, your rights to make margin calls and liquidate collateral are stated in the legal agreement (GMRA)! 最重要点 : 回购主协议 (GMRA 全球回购主协议 ) 列明交易双方调整保证金额以及清盘出售抵押品的权力! Have we encountered liquidation? 公司是否曾经清盘? 34

36 Collateral Management 保证金的维护与管理 Collateral management is the team whose activities are 抵押品管理 / 保证金管理部门负责 - monitors collateral eligibility 确保抵押品符合接受条件 - values the collateral 抵押品的估值 - calculate exposure (value of collateral <,=,> value of cash) 计算抵押品不足的数量 - makes margin calls, recalls/substitutes collateral 发出保证金调整通知, 收回或掉换抵押品 In general, what collateral is eligible? 可接受的抵押品是什么? Cash is best 现金最好 Like or Better Quality Securities 同样或者更好信用评级的证券 How do you value collateral? See pricing/valuation session How to satisfy margin calls? 调整抵押品的方法? 1) Post cash (earn interest?) 现金保证金 ( 有没有加利息?) 2) Post eligible securities 提交可接受的证券 3) Reprice trade 重新定价 35

37 Collateral Management (Exposure Example) Example provided by Eduard Cia (HVB) 例子 36

38 Risk evaluation list 风险评估表 Overview 概览 THE OVERVIEW SHOWS THE CALLABLE MARGIN AMOUNTS (IN RELATION TO THE MINIMUM TRANSFER AMOUNT (MTA) 概览中显示了可调整保证金数量 ( 超过 MTA 部分相关 ) Margin evaluation overview as of 10/14/2004 in EUR, customer with risk > ,00 - we have to recieve - Sec. account Customer Total risk Master agreement Margin percent , Counterpart A , 顾客 A 顾客 B , Counterpart B , 顾客 C , Counterpart C , * - risk defined by customer 37

39 Risk evaluation list 风险评估表 Detailed report by counterpart 对手方详尽报告 Margin evaluation as of in EUR, Counterpart A Receivable/liability Sec.ID ISIN No. Units/nominal Start End New price Haircut New valuation amount Principal Risk margin amount =========================================================================================================================================================== Buy - ReverseRepo RR IT , , , , , ,50 RR ES , , , , , , Total Buy - Reverse Repo: , , ,88 =========================================================================================================================================================== Sell - Repo 逆回购交易头寸正回购交易头寸现在价值交易现金 R AT , , , , , ,08 R AT , , , , , , Total Sell - Repos: , , ,17 =========================================================================================================================================================== Margin (Cash, Security) Deposit 抵押品 SD DE , (open) 108, , ,69 0, ,69 SD DE , (open) 108, , ,03 0, , Total Margin Deposit: ,72 0, ,72 =========================================================================================================================================================== 总共风险 Risk: ,56!!! MARGIN CALL!!! 38

40 Margining (One Simple Example) 调整保证金的例子 During the life of trade, mark-to-market and margining will manage exposures 在回购期间, 用市场价计价, 调整保证金, 以减低信贷风险 Example 例子 KOREA08 (rated A) 证券 Dirty Price 全价 = $93.00 Haircut 折扣率 = 5% Face amount 面额 = 10,000,000 USD Money amount 现金 = 8,835,000 USD UBS lends cash 市计价 * 折扣率 HaircuttedValue 风险额 Exposure If DirtyPrice 若全价 = $92 8,740,000-95,000 If DirtyPrice 若全价 = $93 8,835,000 0 If DirtyPrice 若全价 = $94 8,930,000 95,000 Make a margin call when Exposure > MTA 若风险额超过最低交付额 ( MTA ) 即须发出调整保证金的通知 MTA (Margin Threshold Amount) depends on rating of counterparty and operational risks. I.e. MTA for a small hedge fund may be 50,000 USD. MTA( 保证金最低的交付额 ) 是根据交易对手及操作风险程度而定若对手方是一家小型的对冲基金, 可能只是 5 万美元 39

41 Collateral Management (Which Trades?) 抵押品管理 ( 哪些交易?) Note, did not restrict Collateral Management activities for just repo 抵押品管理业非只限与回购交易之用 Collateral Managers cover different trade exposures 包括以下的例子 - repo trades 回购 - interest-rate swaps 利息掉期 - securities-lending transactions 证券借贷业务 generally, any trade that has post-transaction credit exposure where credit-risk management is required 任何交易, 只要交易后有信贷风险, 都必用抵押品管理部门管理风险 40

42 Prices for Securities/Collateral 证券或抵押品的市价 Repo transactions are generally Security vs Cash 回购交易一般指证券现金掉换 Securities Lending transaction are Security vs Collateral 证券借贷指证券对抵押品的调换 (collateral can be cash or other securities) 抵押品可以是现金或其他证券 Pricing issues apply in general to both Security and Collateral 证券或抵押品都须注意市价的准确性 Price concerns include 市价的相关题 : - Sources (do they exist?) 价钱的来源 ( 是否有市有价?) - Availability & Robustness 准确性 (end of day, start of day, intraday; prices updated or just re-fed) ( 开市价, 毕市价?) - Price disagreements during margin calls (illiquid securities, whose price is right)? 若调整保证金时, 双方无法违成市价的同意, 如何处理? ( 若流动性偏低, 该用谁的价格?) 41

43 Time Line 时间程序 t-x: UBS 和 B 方公司签了 GMRA 主协议法律文件部门 t0: 成交单 UBS 前台 B 方结算部门 t0,t1,. tn: 风险管理市场风险部门信贷风险部门抵押品管理部门会计部门票息部门监管部门 tn: 到期日结算部门 42

44 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 43

Microsoft PowerPoint - ~6631638.ppt

Microsoft PowerPoint - ~6631638.ppt Fixed Income 1 Why Investing in bonds? 2 CPY Fixed Income Department Overview Professional and experienced team Top-notch client-focused services Offering diversified fixed income products Unique short