JP2017199063A - Securities business support system and margin computing method - Google Patents

Abstract

PROBLEM TO BE SOLVED: To enable performing margin computing considering a cross margin in a derivative transaction in a financial institution such as a securities company.SOLUTION: A securities business support system that performs margin computing related to a derivative transaction comprises a position DB 38 that stores a position for each brand related to a first kind of transaction of a customer, and a margin computing unit 35 that computes a margin for each customer related to the first kind of transaction on the basis of position information stored in the position DB 38. The margin computing unit 35 receives an input of information which identifies the position in which the cross margin is allowed by an external clearing house 42 among the positions related to other second kind of transaction in computing the margin among the positions related to the first kind of transaction, and computes the margin related to the first kind of transaction excluding the position related to the input.SELECTED DRAWING: Figure 1

Description

  The present invention relates to a technology for supporting a business in a securities company or the like, and particularly to a technology effective when applied to a securities business support system and a margin calculation method for calculating a margin in a derivative transaction.

  In derivative transactions, trading participants insert collateral (margin) for multiple products to be traded, but by calculating the risk by netting positions between these products, the collateral is secured for multiple products. The introduction and application of cross-margin systems that share information among them and improve collateral efficiency (that is, reduce the total amount of margin) are being examined by exchanges in each country.

  Also in Japan, as shown in Non-Patent Document 1, Japan Securities Clearing Corporation (hereinafter sometimes referred to as “JSCC”) has been an interest rate swap transaction (Interest) since September 2015. Rate Swap: In the following, the implementation of cross margins will be started for JGB futures transactions (hereinafter may be abbreviated as “country”).

  As a technology related to the cross margin, for example, Japanese Translation of PCT International Publication No. 2009-516299 (Patent Document 1) describes a relative foreign exchange contract in a centralized clearing mechanism such as that of the Chicago Mercantile Exchange Futures Trading System. It describes that a cross margin is performed in a mechanism that enables transactions.

Special table 2009-516299 gazette

“Summary of system for introducing cross margin system”, [online], February 10, 2015, Japan Securities Clearing Corporation, [Search June 23, 2015], Internet <URL: http: // www .jscc.co.jp / data / jp / 2013/08 / crossmargin20150210.pdf>

  In Japan, financial institutions such as securities companies usually have separate information processing systems that handle IRS and information processing systems that handle countries. It is usually difficult to cooperate with each other. In this case, it is difficult for the securities company or the like to calculate the IRS and the margin of the country after considering the cross margin for each customer. In other words, it is very difficult to handle the system to use the cross margin system.

  SUMMARY OF THE INVENTION An object of the present invention is to provide a securities business support system and a margin calculation method capable of performing margin calculation in consideration of a cross margin in derivative transactions in a financial institution such as a securities company.

  The above and other objects and novel features of the present invention will be apparent from the description of this specification and the accompanying drawings.

  Of the inventions disclosed in this application, the outline of typical ones will be briefly described as follows.

  A securities business support system according to a representative embodiment of the present invention is a securities business support system that calculates a margin related to a derivative transaction, and holds a position for each brand related to a first type of transaction of a customer. A margin recording unit that calculates a margin for each customer related to the first type of transaction based on position information recorded in the position recording unit. The money calculation department, among the positions related to the first type of transaction, the cross margin was approved by an external clearing organization with the position related to the other second type of transaction when calculating the margin Is received, and the margin related to the first type of transaction is calculated by excluding the position related to the input.

  Among the inventions disclosed in the present application, effects obtained by typical ones will be briefly described as follows.

  That is, according to the representative embodiment of the present invention, it is possible to perform margin calculation in consideration of a cross margin in derivative transactions in a financial institution such as a securities company.

It is the figure which showed the outline | summary about the structural example of the securities business assistance system which is one embodiment of this invention. It is the figure which showed the outline | summary about the example of the calculation method of IRS and a margin deposit in one embodiment of this invention. It is the flowchart which showed the outline | summary about the example of the flow of a process of IRS and country margin calculation in one embodiment of this invention. It is the figure which showed the outline | summary about the example of the calculation method of IRS in a prior art and a margin deposit.

  Hereinafter, embodiments of the present invention will be described in detail with reference to the drawings. Note that components having the same function are denoted by the same reference symbols throughout the drawings for describing the embodiment, and the repetitive description thereof will be omitted. On the other hand, parts described with reference numerals in some drawings may be referred to with the same reference numerals although not illustrated again in the description of other drawings.

<System configuration>
FIG. 1 is a diagram showing an outline of a configuration example of a securities business support system according to an embodiment of the present invention. The securities business support system 1 is an information processing system that enables a user (such as a person in charge of a securities company) to perform derivative transactions such as stock transactions, futures transactions, swap transactions, and option transactions. The securities business support system 1 includes, for example, each subsystem of a front system 20 and a back office system 30, to which user terminals 10 used by each user can communicate via a network such as the Internet or an intranet (not shown). It has the structure connected like this.

  The user terminal 10 is constituted by an information processing terminal such as a PC (Personal Computer), for example, and based on an operation from a user via software such as a web browser and a client application (not shown), the front system 20 and the back office system 30 Can be accessed.

  The front system 20 is a subsystem that provides an interface function for a person in charge at a securities company or the like to manage various derivative transactions. The front system 20 includes, for example, a server device and a virtual server built on a cloud computing service, and operates on middleware such as an OS (Operating System), a DBMS (DataBase Management System), and a Web server program (not shown). The above interface functions are provided by various software.

  The back office system 30 manages the entire transaction from execution to settlement for various transactions executed by the processing in the front system 20. The back office system 30 is constituted by, for example, a mainframe, a server device, a virtual server constructed on a cloud computing service, and the like, and a contract recording unit implemented as software that runs on middleware such as an OS or DBMS (not shown) 31, a settlement management unit 32, a position management unit 33, an accounting processing unit 34, and a margin calculation unit 35. Each data store includes a transaction database (DB) 36, a settlement DB 37, a position DB 38, and a margin DB 39 implemented by a database, a file, and the like.

  The contract recording unit 31 records the contents of the contracts of various transactions such as stock transactions and derivative transactions in the transaction DB 36, and also for the settlement organization 41 (here, for example, the Securities Custody Transfer Organization (Hojiri (registered trademark)), etc.) It has a function to register and link contract information. In the transaction DB 36, for example, balance information of each transaction, detailed information for each transaction execution / cancellation, and the like are recorded. The settlement management unit 32 has a function of recording and managing the status of settlement through the settlement organization 41 (here, for example, the Bank of Japan) related to the trading value of each transaction in the settlement DB 37. The position management unit 33 has a function of recording and managing information on the position of each brand for each customer that varies depending on each transaction in the position DB 38. The accounting processing unit 34 has a function of counting and outputting accounting data relating to transactions for each customer at a predetermined timing. It also has a function to create and output various report documents / reports and legal books to be presented to customers.

  The margin calculation unit 35 has a function of calculating and outputting margin / collateral money that each customer should insert in derivative transactions. Also, it has a function of recording and managing information such as margins and balances actually inserted in the margin DB 39. In the present embodiment, as will be described later, when calculating the margin to be provided by the customer in the country-based transaction, the customer is crossed by the clearing organization 42 (JSCC in the present embodiment) with the position of the customer's IRS transaction. Margins related to the country can be calculated by taking into account the amount of risk offset as a result of the margin.

<Margin calculation method>
FIG. 4 is a diagram showing an outline of an example of a conventional technique for calculating an IRS and a national margin. In the prior art, margins are individually calculated for IRS transactions (interest rate swap transactions) and domestic counterparties (government bond futures transactions).

  For example, for IRS, in another information processing system (not shown) owned and used by the target customer (financial institution), an IRS margin calculation engine based on the details of IRS position information managed by the IRS management DB 62 or the like The IRS margin is calculated by 61 etc. and output as IRS margin information 51. The IRS margin calculation engine 61 is software for calculating a margin by an expected shortfall method, which is a margin calculation method for IRS transactions, and for example, software provided by JSCC can be used.

  On the other hand, with respect to the country, in the information processing system for managing the transaction of the country, such as the back office system 30 as shown in FIG. 1, the details of the position information of the country (part stores and stores) managed by the position DB 38 Based on the position information for each account), the margin calculation unit 35 etc. calculates the margin of the country and outputs it as the country margin information 52. The margin calculation unit 35 calculates the margin by a SPAN (registered trademark, the same applies hereinafter) method, which is a margin calculation method for domestic transactions.

  When margins are calculated separately for IRS and the country in this way, margins are separately required even if there is a risk that can be offset between the IRS position and the country position. As a result, the margin increases as a whole (collateral efficiency deteriorates).

  Therefore, in the present embodiment, the margin is reduced by using the cross margin system between the IRS scheduled to be started by JSCC and the country, and the collateral efficiency is improved. In addition, as described in Non-Patent Document 1, the JSCC cross margin system calculates margins for IRS transactions, along with positions related to IRS transactions, for positions related to domestic transactions that are subject to cross margins. The margin is calculated by applying the expected short fall method.

  FIG. 2 is a diagram showing an outline of an example of a method for calculating the IRS and the margin deposit in the present embodiment. In the present embodiment, unlike the prior art shown in FIG. 4, among the positions in the country, those that are subject to the cross margin (records in the shaded portion in the position DB 38 in the figure) are identified and In the margin calculation, the margin calculation unit 35 calculates the margin by the SPAN method in a state in which these are excluded, and outputs the country margin information 52. On the other hand, the margin calculation for IRS transactions is expected by the IRS margin calculation engine 61 in the same manner as in the prior art, after combining the IRS transaction position information with the information on the position of the country transaction subject to cross margin. Margin is calculated by the short fall method, and IRS margin information 51 is output.

  In addition, as described in Non-Patent Document 1, the pattern that can perform cross margin is only for the position related to the self-transaction of the same customer (corporate) as a general rule. Positions related to self-transactions conducted by included companies (affiliates) and positions related to transactions carried out by affiliates are also included.

  FIG. 3 is a flowchart showing an outline of an example of a flow of processing of IRS and country margin calculation in the present embodiment. First, a user such as a person in charge of a securities company accesses the back office system 30 by using the user terminal 10 and confirms information on positions held in the position DB. (Position) is specified, and a cross margin application is made to JSCC (clearing organization 42) for these (S01). The application is performed, for example, by inputting a target position via an access terminal (not shown) that can access a system provided by JSCC.

  The result of the cross margin for the application can usually be obtained through the access terminal at around 18:30. Thereafter, the user accesses the back office system 30 through the user terminal 10, and registers the information of the position where the cross margin is approved in the position DB 38 via the interface provided by the back office system 30 (S02).

  After the registration, the margin calculation unit 35 calculates the margin for the domestic transaction automatically or by an instruction from the user via the user terminal 10 and registers it in the margin DB 39 (S03). Here, as described above, the margin is calculated by the SPAN method after excluding the position subject to the cross margin from the position of the domestic transaction. Thereafter, the accounting processing unit 34 etc. creates and outputs a report or a report on the margin based on the contents registered in the margin DB 39 automatically or by an instruction from the user via the user terminal 10 or the like. (S04). This report includes, for example, information on the position of a stock for which a cross margin has been made, information on margin of a domestic transaction calculated by excluding this, and the like. You may make it notify a user of information, such as a report produced here, the information of the changed margin, etc. with an email or other means.

  As for the margin of IRS, for example, after the result information of the cross margin acquired from the access terminal in the above step S01 is taken into another information processing system that manages the IRS transaction, the IRS margin calculation engine 61 can be calculated individually.

  As described above, according to the securities business support system 1 according to an embodiment of the present invention, the cross margin provided by the JSCC is calculated in the back office system 30 when calculating the margin for domestic transactions. The margin can be calculated in consideration of the cross margin by the SPAN method after excluding the country trading position netted with the IRS trading position in the mechanism. As a result, the system can be easily adapted to use the cross margin system.

  As mentioned above, the invention made by the present inventor has been specifically described based on the embodiments. However, the present invention is not limited to the above-described embodiments, and various modifications can be made without departing from the scope of the invention. Needless to say. For example, the above-described embodiment has been described in detail for easy understanding of the present invention, and is not necessarily limited to the one having all the configurations described. In addition, it is possible to add, delete, and replace other configurations for a part of the configuration of the above-described embodiment.

  For example, in the above-mentioned embodiment, the IRS and the cross-country margin that JSCC plans to start are targeted, but the cross-margin system can be used for other derivative products with the same mechanism. Can also be applied.

  INDUSTRIAL APPLICABILITY The present invention can be used for a securities business support system and a margin calculation method for calculating a margin in a derivative transaction.

1 ... Securities business support system,
10 ... user terminal,
20 ... Front system,
DESCRIPTION OF SYMBOLS 30 ... Back office system, 31 ... Contract recording part, 32 ... Settlement management part, 33 ... Position management part, 34 ... Accounting processing part, 35 ... Margin calculation part, 36 ... Transaction DB, 37 ... Settlement DB, 38 ... Position DB, 39 ... Margin DB,
41 ... clearing organization, 42 ... clearing organization,
51 ... IRS margin information, 52 ... Country margin information,
61 ... IRS margin calculation engine, 62 ... IRS management DB

Claims (4)

A securities business support system for calculating margins related to derivative transactions,
A position recording unit that holds a position for each issue related to the customer's first type of transaction;
A margin calculation unit that calculates a margin for each customer related to the first type of transaction based on the position information recorded in the position recording unit;
The margin calculation unit, of the positions related to the first type of transaction, receives a cross margin approved by an external clearing organization with the position related to the other type of second transaction when calculating the margin. A securities business support system that receives input of information for identifying a product and calculates a margin for the first type of transaction by excluding a position related to the input. In the securities business support system according to claim 1,
The securities business support system, wherein the first type of transaction is a government bond futures transaction and the second type of transaction is an interest rate swap transaction. A margin calculation method in a securities business support system that calculates margin related to derivative transactions,
Out of the positions of each issue related to the first type of transaction held by the securities business support system, the position of the second type of transaction is calculated by an external clearing organization when calculating the margin. Accepting input of information identifying what the cross margin has been approved;
And calculating a margin related to the first type of transaction by excluding a position related to the input from a position related to the first type of transaction. In the margin calculation method according to claim 3,
The margin calculation method, wherein the first type of transaction is a government bond futures transaction and the second type of transaction is an interest rate swap transaction.