Introduction to International Repo & Securities Lending 全球债券回购与借贷 ASIFMA, CDC, UBS, RBS February 19, 2007
SECTION 4 第四节 Securities Lending 证券借贷业务介绍
Basic Comparison (Repo vs Securities Lending) 基本比较 : 回购与借贷 Repo: Securities vs Cash 回购 : 证券换现金 $100mm USD 本金 <- Repo Rate 回购利率 = 4.00% -> Treasury 10Y 十年期国债 开始日 : 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 Securities Lending: Securities vs Collateral 借贷 : 证券换抵押品 抵押品 { 债券, 股票, 现金等 ) 开始日 : T 借贷使用费 Fee( 或回扣利率 Rebate) Treasury 10Y 十年期国债 到期日 : 通常 T+1 日, 或开放式 (OPEN) Treasury 10Y 十年期国债 抵押品 2
Securities Lending Terminology 借贷专用名词 A 方 证券 抵押品 B 方 Securities Lender Securities Borrower 融资方 融券方 证券借出方 证券借入方 Securities (not just bonds!) Security Lender Security Borrower 证券 ( 不只是债券!) 借出证券 借入证券 Collateral Collateral Borrower Collateral Lender 抵押品 借入抵押品 借出抵押品 ** again, collateral can be CASH or NON-CASH 注意 : 抵押品包括现金或者证券 ( 债券, 股票, 等 ) 3
Market Liquidity 市场流动性 Equities 股票市场 : Supply 供应方 证券借贷市场 SecLend Market Demand 需求方 Funds 基金 Institutional Accts 机构投资家 Custodians 托管机构 Broker Dealers 经纪, 做市商 Fixed Income 固定收益市场 : Supply 供应方 plus 加 : Central Banks 中央银行 Insurances 保险公司 Custodial SecLender 托管借贷代理 Non-Cust SecLender 非托管借贷代理 Central SecLender 中央借贷商 SecLend Market 证券借贷市场 Repo Market 回购市场 Banks 银行 Broker Dealers 经纪, 做市商 Broker Dealers 经纪, 做市商 Banks 银行 Hedge Funds 对冲基金 End Users 终端用户 Demand 需求方 Broker Dealers 经纪, 做市商 Banks 银行 Hedge Funds 对冲基金 End Users 终端用户 4
Is it the same thing? Economically, YES. 证券借贷与回购是否相同? 从经济的观点上看是相同的. 但是 Repo Transaction ~= Securities Lending Transaction where Collateral is Cash 回购交易 ~= ( 用现金当抵押品的 ) 借贷交易 Securities Lending Transaction where Collateral is Non-Cash = Special Repo + GC ReverseRepo ( 不用现金当抵押品的 ) 借贷交易 ~= 特别回购 + 一般逆回购 So why so much focus on Securities Lending? 证券借贷为何如此重要? Efficiency, expertise, market size, low-risk profit 高效率, 专业性, 市场宏广, 低风险的商机 What and who are Securities Lenders? 谁是借贷业务家? Am I a Securities Lender? 贵行能否成为借贷业务家? 5
Securities Lending Structures 借贷结构 Principal Lender 当事人 ( 借出证券方 ) Principal Borrower 当事人 ( 借入证券方 ) (theme is do it myself 证券借出方借入方直接交易 ) 主位证券借出方 证券 抵押品 主位证券借入方 Beneficial Owner 受益所有人 Intermediary 中介 Borrower 借入证券方 (theme is do it for me) 借出借入透过中介 券 Custodian 托管人 受益所有人 券券中介?( 利润 ) 抵押品 主位证券借入方 automatic pool lending by ICSDs 国际中央托管机构 (ICSD) 提供的自动资产借贷 agency lending by custodians 托管人提供的代理借贷 [agency lending] third party agency lending 第三方代理借贷 [third-party agency lending].. Many many more the theme is do it for me 6
Pro/Cons of Different Setups 各种商业体系 Comparison 比较 方法 系统简单 速度 成本 使用费 法律 使用率 风险 控制 知识 Method Infra Simple Quick Overhead Fee Legalwork Utilisation Risk A/P Control Knowledge Direct (Pr-Pr) build no start high - complex relationshipsown active own required 双方直接 建 不 建 高 自收复杂 需要联系 高 各方 自己 必须要 ICSD no yes yes low high included low low passive monopoly none 国际中央托管机构无 有 快 低 高 包含 低 低 被动 独占 不一定要 Custodian no yes yes low split included good low passive oligopoly low 托管人 无 有 快 低 要分包含 还好 低 被动 很少 third-party no yes yes low split included high low passive competitive some 第三方 无 有 快 低 要分包含 高 低 被动 竞争 一点.. Examples 例子 : Direct 双方直接 ICSD 国际中央托管机构 Custodian 托管人 Third-Party UBS Securities Lending vs Fidelity Mutual Fund Euroclear, Clearstream, FED State Street, BONY, JPMChase The point is there are many possible setups and business model, reflecting the many ways Demand finds Supply. 重点就是需要者找共应量? But key question is how any of them make money? 商机? 利润? What drives this market? 7
How does a Securities Lender make money? 证券借贷方如何赚钱? Recall the slide in Session 1 discussing Yield-Enhancement Combinations for idle securities. This is exactly the same here. 请参考第一节, 商机! 页 Profit = Funding Transaction + Cash Reinvestment Transaction 利润 = [ 融资交易 ] + [ 现金再投资交易 ] where Funding Transaction typically is to lend Securities vs raise Cash collateral 融资交易 : 通常就是借出证券同时借入现金 ( 列如 : 正回购 ) Cash Reinvestment Transaction is depos, reverserepo, CP, floater,.. 再投资交易 : 例如 银行存款, 逆回购, 商业本票, Thus the power of Cash as a very unique form of collateral! 所以现金称为有力项独特的抵押品 Yes, this introduces leverage so **RISK** 虽然有杠杆作用, 带有风险 manage your risks and supervise your Intemediary 管理你的风险, 监督你的中介经纪人 8
Risks 风险 Profit = Funding Transaction + Cash Reinvestment Transaction 利润 = [ 融资交易 ] + [ 现金再投资交易 ] ALM Risk market risk 有市场风险 market risk 有市场风险 Gap 资产负责期限差别 Credit Risk usually low 信用风险通常低 can be high 信用风险可能高 Issuer Risk very low 发行人风险很低 very important! 注意发行人风险! Liquidity Risk typically low 流动性风险通常低 select risk carefully 需要小心地管理风险 operational/settlement risk (DVP?) margin maintenance custodian / agent risk? Principal Borrower risk (control by careful selection) legal risk (especially when intermediary) 操作 / 结算风险保证金维护代理机构借券方的选择法律风险 9
Size of Securities Lending Market Globally 全球证券借贷市场统计 US RMA www.rmahq.com Funding Side 融资方面 RMA SECURITIES LENDING INDUSTRY COMPOSITE Averages for the Period: 3rd Quarter 2006 Number of Lending Bank Respondents: 18 Lending Composite - USD 总共的正在借出额正在借出额总共的总共的借出联邦利率 融资利率可借出资产 ( 现金抵押品 ) ( 非现金抵押品 ) 借出额 ( 百分比 ) LENDABLE ASSET1 ($MM) ON LOAN vs. CASH COLLATERAL ($MM) ON LOAN vs. NON-CASH COLLATERAL ($MM) TOTAL ON LOAN ($MM) TOTAL ON LOAN (%) CASH SPREAD2 (Bps) CASH SPREAD MEDIAN CASH SPREAD RANGE North American Treasuries/Bonds $1,778,909 $514,753 $72,040 $586,793 33% 22 19 10-43 9 美国国债 U.S. Treasuries/UST Strips (Reported in Aggregate) $458,185 $323,322 $59,833 $383,155 84% 23 20 9-50 12 美国机构摘 U.S. Agencies $247,902 $75,805 $7,538 $83,343 34% 10 10 6-38 2 美国住宅抵押债 U.S. Mortgage Backed Securities $186,461 $44,658 $454 $45,112 24% 19 11 2-28 -3 U.S. Corporate Bonds $859,896 $68,568 $2,969 $71,537 8% 28 24 14-61 8 美国企业债 Canadian Bonds (Gov't & Corporates) $26,465 $2,400 $1,246 $3,646 14% 27 22 17-29 3 CASH SPREAD TO FED FUNDS3 (Bps) 美国股票 欧洲股票法国股票德国股票 亚洲股票日本股票香港股票 North American Equities $3,222,471 $266,647 $9,633 $276,280 9% 48 41 13-279 41 U.S. Equities (includes ADR s) $3,167,426 $263,040 $7,764 $270,804 9% 47 41 13-283 40 Canadian Equities $55,045 $3,607 $1,869 $5,476 10% 89 50 22-260 85 European Equities $1,149,300 $66,311 $37,863 $104,174 9% 60 68 30-277 54 French Equities $159,425 $26,177 $4,433 $30,610 19% 56 63 30-166 52 German Equities $126,845 $9,361 $3,934 $13,295 10% 60 59 30-821 54 Italian Equities $60,884 $7,251 $2,180 $9,431 15% 79 66 30-127 73 UK Equities $384,033 $2,321 $9,958 $12,279 3% 49 49 24-132 37 Scandinavian Equities $83,481 $4,458 $2,008 $6,466 8% 52 47 28-141 44 All Other European Equities $334,632 $16,743 $15,350 $32,093 10% 62 63 21-280 55 Pac-Rim Equities (Includes Australia) $540,806 $36,257 $15,135 $51,392 10% 72 70 30-246 66 Japanese Equities $330,904 $18,862 $9,589 $28,451 9% 83 74 30-277 97 Hong Kong Equities $45,717 $4,788 $1,219 $6,007 13% 90 92 29-525 88 Australia $90,941 $10,717 $3,096 $13,813 15% 43 58 27-174 36 All Other Pac-Rim Equities $73,244 $1,890 $1,231 $3,121 4% 83 89 28-336 75 All Other Equities (Not Previously Listed) $53,021 $3,394 $763 $4,157 8% 54 64 48-321 49 Total Equities (Aggregate Total) $4,965,598 $372,609 $63,394 $436,003 9% 52 44 13-216 46 欧币国债 EURO Denominated Sovereign Bonds $183,573 $7,155 $13,446 $20,601 11% 5 9 4-23 2 French Sovereign Bonds $38,334 $1,293 $2,311 $3,604 9% 4 9 4-39 2 German Sovereign Bonds $64,444 $3,334 $3,740 $7,074 11% 5 7 4-12 2 Italian Sovereign Bonds $19,993 $318 $1,258 $1,576 8% 15 16 10-21 1 Spanish Sovereign Bonds $11,025 $7 $703 $710 6% 15 15 14-16 9 All Other EURO Denominated Sovereign Bonds $49,777 $2,203 $5,434 $7,637 15% 5 10 4-28 1 UK Gilts $87,418 $0 $16,266 $16,266 19% 0 0 0-0 0 Emerging Market Bonds (Latin America & Eastern Europe) $15,738 $4,555 $428 $4,983 32% 48 43 16-55 35 Eurobonds & Foreign Corp. Bds. $237,509 $19,504 $26,544 $46,048 19% 30 25 13-54 3 All Other Sovereign Bonds (Not Previously Listed) $82,620 $4,438 $11,329 $15,767 19% 29 28 13-47 22 Total Bonds (Aggregate Total) $2,385,767 $550,405 $140,053 $690,458 29% 22 19 10-43 9 TOTALS $7,351,365 $923,014 $203,447 $1,126,461 15% Average Number of Lending Markets 19 10
Size of Securities Lending Market Globally 全球证券借贷市场统计 US RMA www.rmahq.com Reinvestment Side 现金再投资方面 SECURITIES LENDING INDUSTRY COMPOSITE Cash Reinvestment Portfolio Composite - USD Reinvestment Return6 Median Range Cash Reinvestment Return 5.34% 5.32% 5.24%-5.60% Total Market Value of Cash Reinvestments $975,464 ($mm) $21,517 $577-$216,136 Total Market Value of Matched Maturities7 $87,929 ($mm) $7,353 $129-$28,545 Interest Rate Sensitivity: Asset/Liability GAP 8 资产 / 负债差距 ( 几天 ) 19.83 days 9.28 1-43 WAM (to next reset)9 25.39 days 18.87 1-40 Liquidity: WAM (to final maturity)10 流动性 WAM( 到期 ) 180.31 days 139 1-408 回购品 Credit Tiering: % of Portfolio Repurchase Agreements11 A1(+) and P1 25.53% Split Rated A1(+) or P1 0.27% A2 and P2 (or lower) 0.58% Un-Rated 0.74% All Other Instruments - Less than 397 Days A1 and P1 ( Specifically Rated) 40.02% 2(a)7 Eligible12 2.21% A2 and P2 (Specifically Rated) 0.36% All Other Instruments - Greater than 397 Days AAA 16.27% AA 8.32% A/Investment Grade 5.66% Non-Investment Grade 0.05% TOTAL 100% 固定收益品商业票据 ABS 你回购品美国国债美国机构债企业债 定期存款 CD Instrument Types Fixed Rate Instruments Commercial Paper (ex. Asset Backed Paper)13 4.84% Asset Backed Securities 12.61% Funding Agreements 0.04% Other Corporates (ex. Repo Collateral) 0.42% Floating Rate Instruments Commercial Paper (ex. Asset Backed Paper)13 1.76% Asset Backed Securities 12.64% Funding Agreements 0.89% Other Corporates (ex. Repo Collateral) 19.57% Repurchase Agreements U.S. Treasuries 0.59% U.S. Government Agencies 16.16% Corporate Collateral Investment Grade (A or Better) 9.36% Non-Investment Grade 0.40% Equities 0.25% Whole Loans 0.30% Time Deposits 6.47% Certificates of Deposit 7.80% Other Bank Deposits 0.30% Money Market Funds External Managed Funds (2(a)7 Type) 2.32% External Managed Funds (Non-2(a)7 Type) 0.19% Other Vehicles14 3.09% TOTAL 100% 11
Size of Securities Lending Market Globally 全球证券借贷市场统计 Europe 欧洲 ISLA www.isla.co.uk SLRC www.bankofengland.co.uk/markets/gilts/slrc.htm 12
Best Practices 最佳市场惯例作法 Selected practical best practices and lessons 惯例做法的例子 http://www.rmahq.com/rma/securitieslending/knowledgecenter/thoughtleadership/slbestpractices/ Cash collateral is the most common form in securities lending.. 现金是证券借贷最常用的抵押品 13
Best Practices 最佳市场惯例作法 Overcollateralization for the Lender 给借出证券方的超额保证. 保证金的管理 非现金的抵押品的风险根据对手方的信用风险与抵押品价格的波动性而定. 抵押品的价值一般最低应是融券价值的 102%, 若是跨国性 ( 不同货币单位 ) 交易, 比例应是 105%. 14
Best Practices 最佳市场惯例作法 Asset/Liability Mismatches Gap Risk 资产, 负债期限差别风险 非现金抵押品虽然没有资产, 负债期限差别的风险, 但是需要考虑借出证券和收回抵押品证券两者期限的差别. 重要的一点是两者都须每天重新估价. 15
Best Practices 最佳市场惯例作法 Risk Ownership 风险由谁来承担? 借券方 \ 借券代理, 托管银行, 融券方间的协议书应详细定明风险由谁承担. 16
Securities Lending Motivation for Borrowers 融券方 ( 借入证券方 ) 的动机 We have discussed this before in the Repo session. market making via shorting a government bond 为做市而卖空国债 interest rate view shorting a government bond 看利率的变动而卖空 hedging against another bond (i.e. corporate bond) 对冲多头债券而卖空 In addition for equities 股票策略 : short a company stock sell Handan Iron & Steel relative value trades buy ICBC 中国工商银行,sell China Merchants Bank 中国招商银行相对性价值交易策略 : 买 A 银行股票, 卖空 B 银行股票 convertible arbitrage usual reasons of financing needs Cross-market strategies 跨市场性的交易策略 Etc buy Bank of America stocks, sell Bank of America bonds 买某公司的股票, 卖空该公司的债券 17
Securities Lending Definition 证券借贷的定义 Key points 要点 : Title transfers so there are rehypothecation rights. 证券借贷从法律的观点来看是拥有权的转移. 融券方在借券期内可以再用该券. Entitlement to economic benefits (e.g. dividends, coupons). 融入债券必须将票息交回 Lost of voting rights for equities SL. 若是股票, 其投票权则转移到融票方 ( 证券借入方 ). 18
Risks in Cash Collateral 现金抵押品的风险 Many losses are related to the reinvestment of cash collateral. 现金抵押品 现金再投资的损失 Again, make sure you manage/constrain your reinvestment or agent lender. 重点 : 要注意投资策略! 借贷代理! 19
FAQ Legal 法律 为什么要转移拥有权? 融券方必须再应用 / 借出证券, 所以拥有权一定要转移. 既然已经转移拥有权, 为何还称为借贷? 以经济, 商业, 会计, 监管资本计算的观点, 证券是借贷而不是买断 ( 买卖 ). 20
FAQ Legal 抵押品的拥有权也转给借券方? Dividends and Coupons 股息与票息 在借贷交易期间, 若收到股息与票息, 证券借入方应以同等数目交回给借券方. 21
Securities Lending: An Example 借贷交易 : 举例 Borrow 100mm UST CT10 vs posting cash collateral 融券方借 1 亿美元面额美国十年期国债, 现金抵押品 Principal Principal 方式 : 双方直接交易 Questions 问题 1) Term? 借贷交易期限? 2) Rebate Rate? 回扣利率该是什么? 3) What if non-cash collateral? Then what collateral? What fee? (e.g. CT10 vs GC) 若非现金抵押品? 抵押品类? 借贷使用费? 4) What s the difference with doing a repo? 这张借贷交易跟回购的差别? 5) Settlement Difference? 结算差别? 6) Where is collateral management? 抵押品管理? 22
Time Line t-x: UBS 和 B 方公司 签了 GMSLA 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 信用风险部门 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 23
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 : +65 6836 5660 Bernard.Chin@ubs.com www.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 : +1 203 625 2715 Tak.Eng@rbsgc.com www.rbsgc.com 24