JP2018101300A - Information processing device - Google Patents

Abstract

PROBLEM TO BE SOLVED: To provide a technique for realizing an automatic value evaluation of an entire target transaction that a virtual derivative evaluation is applied to the entire target transaction.SOLUTION: An information processing device includes a virtual derivative value calculation unit that calculates a value of a virtual derivative notional bond for each group of target transactions, a target transaction grouping unit that groups the target transactions, and a value evaluation unit that evaluates a value of the entire target transactions by evaluating a value of each group of the target transactions based on a value of the virtual derivative notional bond of each group and a balance of the target transaction.SELECTED DRAWING: Figure 5

Description

  The present invention relates to an information processing apparatus for risk management.

  Currently, various types of derivatives such as futures, swaps, and options are used by many companies to manage the risks of financial instruments. For example, for floating interest rate loans, a hedging operation is used in which interest rate swaps that receive fixed interest rates with variable interest payments are used to fix the floating interest rate risk. As shown in FIG. 1, for example, when the floating interest rate loan shown in the lower side of FIG. 1 is performed, by setting the interest rate swap shown in the upper side of FIG. You can pay the resulting floating interest rate to a swap partner and receive a fixed interest rate. In hedge accounting, the floating interest rate loan is called the hedged transaction and the interest rate swap is called the hedging instrument transaction.

  In order to appropriately account for these derivatives, hedge accounting standards defined by IFRS (International Financial Reporting Standards) have been adopted internationally. Global companies account for derivatives in accordance with these international accounting standards. Hedge accounting associates hedging instrument transactions with hedged transactions, measures the fair value of hedging instrument transactions and hedged transactions, and captures changes in fair value. In a typical fair value measurement method, as shown in Fig. 2, the net present value (Net) at the time of processing of hedging instrument transactions (such as interest rate swaps) established for hedged transactions (such as floating interest rate loans). Present Value (NPV) is measured, while the NPV of the hypothetical derivative designed for the hedged transaction at the time of the treatment is measured, and the value changes of both are compared. For example, the fair value of interest rate swaps is determined so that the value of floating transactions is equal to the value of fixed transactions at the time of execution. Thereafter, floating interest cash flows are calculated from future interest rates (such as implied forward rates). By doing so, the NPV can be obtained. In addition, an interest rate swap that reverses the transaction conditions for floating interest rate lending can be created as a virtual derivative, and the NPV of the interest rate swap can be obtained. For example, for a variable interest rate loan with a principal of 10 billion yen with a transaction start date of April 2016, a transaction period of 5 years, an index of Libor, and a roll cycle of 3 months, the transaction start date Is April 2016, the transaction period is 5 years, the index is Libor, the roll cycle is 3 months, the interest rate swap with a fixed interest rate of 10 billion yen with a variable interest payment is a virtual derivative And the NPV of the interest rate swap is calculated. The fair value fluctuation amount can be evaluated by comparing the two NPVs thus calculated.

IFRS Revision Hedge Accounting Revision 2 December 2015 Azusa Audit Corporation (https://assets.kpmg.com/content/dam/kpmg/pdf/2016/03/en-ifrs-hedge-2015-11 .pdf)

  In the example above, hypothetical derivatives are designed and valued at fair value for individual hedged transactions (closed portfolio). On the other hand, financial institutions such as banks generally have a large amount of loan assets, and it is not practical to individually set hedging instrument transactions for individual loan assets. ) Hedging activities (macro hedge accounting).

  However, there is currently no proposed method for applying virtual derivative valuation to such an open portfolio. In addition, such fair value measurement needs to be performed with high frequency such as daily, weekly, and monthly, and manual risk management is not practical.

  In view of the above-described problems, an object of the present invention is to provide a technique for realizing automatic value evaluation of an entire target transaction that applies a virtual derivative evaluation to the entire target transaction.

  In order to solve the above-described problem, one aspect of the present invention provides a virtual derivative value calculation unit that calculates the value of a virtual derivative standard for each group of target transactions, a target transaction grouping unit that groups the target transactions, The present invention relates to an information processing apparatus having a value evaluation unit that evaluates the value of the entire target transaction by evaluating the value of each target transaction group based on the value of the virtual derivative standard of each group and the balance of the target transaction.

  According to the present invention, by using a virtual derivative standard for each group, it is possible to efficiently evaluate the entire target asset (open portfolio) without setting a virtual derivative individually for a huge target asset. Can be realized.

FIG. 1 is a diagram showing a hedging operation of a floating interest rate loan by an interest rate swap. FIG. 2 is a schematic diagram showing a change in value of a hedged item by a virtual derivative. FIG. 3 is a schematic diagram showing an accounting processing system according to an embodiment of the present invention. FIG. 4 is a block diagram showing a hardware configuration of the information processing apparatus according to the embodiment of the present invention. FIG. 5 is a block diagram showing a functional configuration of the information processing apparatus according to the embodiment of the present invention. FIG. 6 is a table showing swap fixed interest rates by transaction period according to an embodiment of the present invention. FIG. 7 is a table showing a virtual interest rate swap fixed cash flow according to an embodiment of the present invention. FIG. 8 is a table showing a virtual interest rate swap variable cash flow according to an embodiment of the present invention. FIG. 9 is a table showing virtual interest rate swap fair values according to an embodiment of the present invention. FIG. 10 is a table showing the net present value of virtual derivatives for each transaction pattern according to an embodiment of the present invention. FIG. 11 is a schematic diagram illustrating grouping of hedged transactions according to one embodiment of the present invention. FIG. 12 is a schematic diagram illustrating a hedge cover situation according to an embodiment of the present invention. FIG. 13 is a diagram showing a specific example of fair value evaluation of a hedged transaction according to an embodiment of the present invention. FIG. 14 is a diagram showing a specific example of fair value evaluation of a hedged transaction according to an embodiment of the present invention. FIG. 15 is a diagram showing a specific example of fair value evaluation of a hedged transaction according to an embodiment of the present invention. FIG. 16 is a diagram showing a specific example of fair value evaluation of a hedging instrument transaction according to an embodiment of the present invention. FIG. 17 is a diagram showing a specific example of fair value evaluation of a hedging instrument transaction according to an embodiment of the present invention.

  Hereinafter, embodiments of the present invention will be described with reference to the drawings.

  In the following embodiments, an information processing apparatus for hedge accounting to which virtual derivative valuation is applied is disclosed. In summary, the information processing apparatus groups the entire hedged transactions based on the transaction conditions, determines the NPV of the virtual derivative standard set for each group, and determines the value of the virtual derivative standard of each group. The value of the entire hedged transaction is evaluated by assessing the value of each group of hedged transactions based on the balance of the hedged transaction. By using the virtual derivative standard for each group in this way, efficient macro hedge accounting is realized for the entire loan assets (open portfolio) without setting virtual derivatives individually for the huge loan assets. It becomes possible to do.

  First, an accounting processing system according to an embodiment of the present invention will be described with reference to FIG. FIG. 3 is a block diagram showing an accounting processing system according to an embodiment of the present invention.

  As illustrated in FIG. 3, the accounting processing system 10 includes an information processing apparatus 100 and a database 200.

  The information processing apparatus 100 accesses transaction information relating to hedged transactions such as lending assets and hedging means transactions stored in the database 200 and, as will be described later, macro hedging based on virtual derivative evaluation for the entire lending assets Perform accounting. Here, the hedged transaction refers to any transaction that generates cash flow at a future point in time, such as lending, securities transactions, and foreign exchange transactions. Hedging instrument transactions refer to hedged transactions such as swap transactions, futures transactions, and option transactions. Represents transactions to avoid the risk of fluctuations in the resulting cash flow. The information processing apparatus 100 may be realized by a server or the like, for example, and may have a hardware configuration as illustrated in FIG. That is, the information processing apparatus 100 includes a drive device 101, an auxiliary storage device 102, a memory device 103, a CPU (Central Processing Unit) 104, an interface device 105, and a communication device 106 that are interconnected via a bus B.

  Various computer programs including programs for realizing various functions and processes described later in the information processing apparatus 100 may be provided by a recording medium 107 such as a CD-ROM (Compact Disk-Read Only Memory). When the recording medium 107 storing the program is set in the drive device 101, the program is installed from the recording medium 107 to the auxiliary storage device 102 via the drive device 101. However, it is not always necessary to install the program using the recording medium 107, and the program may be downloaded from any external device via a network or the like. The auxiliary storage device 102 stores the installed program and also stores necessary files and data. The memory device 103 reads the program and data from the auxiliary storage device 102 and stores them when there is an instruction to start the program. The CPU 104 functioning as a processor executes various functions and processes of the information processing apparatus 100 as will be described later according to various data such as a program stored in the memory device 103 and parameters necessary for executing the program. The interface device 105 is used as a communication interface for connecting to a network or an external device. The communication device 106 executes various communication processes for communicating with an external device. However, the information processing apparatus 100 is not limited to the hardware configuration described above, and may be realized by any appropriate information processing system, for example.

  The database 200 stores transaction information related to the hedged transaction and the hedging instrument transaction, and provides the requested transaction information to the information processing apparatus 100 in response to an access request from the information processing apparatus 100. Further, the database 200 executes transaction information acquisition, deletion, update, and the like under the management of a server (not shown) such as a financial institution that uses the accounting processing system 100.

  Next, an information processing apparatus according to an embodiment of the present invention will be described with reference to FIG. FIG. 5 is a block diagram showing a functional configuration of the information processing apparatus according to the embodiment of the present invention.

  As illustrated in FIG. 5, the information processing apparatus 100 includes a virtual derivative value calculation unit 110, a hedged transaction grouping unit 120, and a value evaluation unit 130.

  The virtual derivative value calculation unit 110 calculates the value of a virtual derivative standard as a virtual derivative that serves as an index for each group of the hedged transaction. Specifically, based on the transaction conditions of each hedged transaction, the entire hedged transaction is grouped into a plurality of groups, and the virtual derivative value calculation unit 110 determines the virtual derivative standard of each group based on the collected market information. And calculate the value of the virtual derivative standard.

  In one embodiment, the grouping includes transaction start date (such as transaction start quarter), transaction period or transaction end date (such as transaction end quarter), index (such as Libor, Tibor, prime rate), roll cycle (such as three months, For example, 6 months). For example, the transaction start date is 4Q (N-2), transaction period is 18 months, and the index is Libor, compared to the current processing standard time (such as the first quarter of year N (1Q)). The hedged transaction group with a roll cycle of 3 months is set as one group, the transaction start date is 1Q of (N-1) years, the transaction period is 15 months, the index is Libor, and the roll cycle is You may set the hedged transaction group which is three months as one group. Further, when the financial institution has a plurality of bases such as international expansion, the transaction conditions described above may further include bases. In addition, when the financial institution has foreign currency denominated assets, the transaction conditions described above may further include currency.

  For each group set in this way, the virtual derivative value calculation unit 110 sets an interest rate swap corresponding to the transaction conditions of the group as a virtual derivative standard, and calculates the NPV of the virtual derivative standard. . As a specific process, for example, the virtual derivative value calculation unit 110 creates fixed interest rate information for fair value measurement. First, the virtual derivative value calculation unit 110 creates a swap fixed interest rate for each transaction period as shown in FIG. 6 based on the collected market information and the like, and a standard interest rate swap fixed interest rate (fixed side interest rate) for each maturity. To decide. Next, the virtual derivative value calculation unit 110 creates a virtual interest rate swap fixed cash flow as shown in FIG. 7 for each transaction condition pattern. For example, the virtual derivative value calculation unit 110 obtains an interest cash flow per unit notional principal (such as 100 million currency units) for a fixed side interest rate for each maturity by using a swap fixed interest rate by transaction period. On the other hand, the virtual derivative value calculation unit 110 creates variable interest rate information. For example, the virtual derivative value calculation unit 110 creates a virtual interest rate swap cash flow as shown in FIG. 8 for each transaction condition pattern. Based on the created virtual interest rate swap fixed cash flow and virtual interest rate swap fluctuation cash flow, the virtual derivative value calculation unit 110 calculates the fair value of the interest rate swap as a virtual derivative. For example, the virtual derivative value calculation unit 110 adds the virtual interest rate swap fixed cash flow of FIG. 7 and the virtual interest rate swap fluctuation cash flow of FIG. 8 and uses a discount factor (DF) based on the yield curve generated from the market information. Evaluate the present value of the combined cash flow (fair value of the virtual interest rate swap). For example, the virtual derivative value calculation unit 110 calculates the virtual interest rate swap fair value as shown in FIG. 9 for each transaction condition pattern. With regard to the virtual interest rate swap fair value of each transaction condition pattern calculated in this way, NPV of each transaction condition pattern as shown in FIG. 10 can be listed when the base is Tokyo and the currency is yen.

  The details of the creation of virtual derivative standards for each group of hedged transactions described above and their valuation of NPV are merely examples, and any other that can create virtual derivative standards and evaluate their NPV. Appropriate processing may be executed.

  The hedged transaction grouping unit 120 groups the hedged transactions. Specifically, the hedged transaction grouping unit 120 groups the floating interest rate loans registered in the database 200 into the above-described groups, and the macro loans aggregated for each group as shown on the upper side of FIG. Find the actual balance. For example, the specific example in FIG. 11 shows that there are 4 trillion yen of floating interest rate loans that mature in 4Q of (N + 2) and 3 trillion yen of floating interest rates that mature in 3Q of (N + 2). .

  The value evaluation unit 130 evaluates the value of the entire hedged transaction by evaluating the value of each group of the hedged transaction based on the value of the virtual derivative standard of each group and the balance of the hedged transaction. Specifically, the value evaluation unit 130 adds the NPV of the virtual derivative standard of each group determined by the virtual derivative value calculation unit 110 to the macro loan actual balance aggregated for each group by the hedged transaction grouping unit 120. Apply. For example, the actual macro loan balance shown on the upper side of FIG. 11 becomes the balance after hedge reflection shown on the lower side of FIG. 11 by applying the NPV of the virtual derivative standard of each group. The table shown in Figure 12 is obtained by superimposing the actual macro loan balance and the balance after hedge reflection. According to the table, the change in the fair value of the hedging instrument transaction shows the change in the fair value of the hedged transaction. Hedging effectiveness can be determined to show how much it has offset. According to the table, the balance after reflecting the hedge is less than the loan balance in the period from 1Q to 4Q for N and 2Q to (N + 2) for the year (N + 1), and for the period from 3Q to 4Q for the (N + 2) year. The balance after the loan is equal to the loan balance, and in the period of 1Q of (N + 1) year, the balance after the hedge reflection is larger than the loan balance and is in an overhedged state.

  Next, a specific example of the fair value evaluation of the hedged transaction by the information processing apparatus 100 will be described with reference to FIGS.

  For example, assume that three transactions as shown in FIG. 13 are grouped into the same group. That is, these three transactions have a transaction start date of 3Q 2015 (October to December 2015) and a transaction end date of 1Q 2017 (January to March 2017) (transaction period 18 months) ), The index is Tibor, the roll cycle is 3 months, and it is a loan transaction in Japanese yen based in Tokyo. In this example, transactions # 2 and # 3 are the principal repayment type, while transaction # 1 is the principal and interest repayment type, but the present invention is not limited to this. In this case, the balance of the hedged transaction in the group is as shown in FIG. Assuming that the fair value valuation date is August 2016, the virtual interest rate swap fair value shown in FIG. 9 can be applied as a virtual derivative standard. That is, “3M_Grid NPV” in FIG. 9 is applied to the loan balance of 1.1 billion yen in the second quarter of 2016 shown in FIG. 15, and 1.225 × 1.1 billion yen = 13.4475 billion is 11 of 11Q in 2016 Calculated as the fair value of the loan balance of ¥ 100 million. Similarly, 0.998 x 1.1 billion yen = 10.978 billion yen was calculated as the fair value of the 1.1 billion yen loan balance in the third quarter of 2016, and the fair value of the 800 million yen loan balance in the fourth quarter of 2016 was calculated as 1 0.034 x 800 million yen = 827.2 billion yen, and the fair value of the 800 million yen loan balance in the first quarter of 2017 is calculated as 1103 x 800 million yen = 882.4 billion yen. The sum of these calculated fair values is the fair value of the group's hedged transactions. In this example, the aggregation granularity is set to quarter. However, the present invention is not limited to this, and any aggregation granularity that is the same as the fair value evaluation of the hedging instrument transaction described later may be used.

  Next, with reference to FIGS. 16 to 17, a specific example of the fair value evaluation of the hedging means transaction by the information processing apparatus 100 will be described.

  For example, for the group of lending assets mentioned above, the transaction period is 5 years, the notional amount is 10 billion yen, the index is Tibor, and the roll cycle is 3 months. Suppose that an interest-rate interest rate swap is used and the fixed interest rate at the time of execution of the interest rate swap is 1.20%. With respect to the market value evaluation on the base date of the interest rate swap in August 2016, for example, as shown in FIG. 16, the present value of the net cash flow amount obtained by adding up payments is calculated every quarter. Note that the calculation of the present value of the net cash flow amount of the interest rate swap may be performed by any known method. The sum of these calculated present values is the fair value of the hedging instrument transaction of the group (the group indicated by the broken line in FIG. 17), and is compared with the fair value of the hedged transaction of the group described above.

  Here, IFRS hedge accounting allows future dated transactions with a high degree of accuracy to be expected in the future to be added to the hedged item (balance increase factor). On the other hand, there is a possibility of repayment ahead of schedule (balance reduction factor). As shown in FIG. 11, the future cash flow may be obtained in consideration of these. Specifically, with regard to balance reduction factors, mortgages, loans, time deposits, etc. may be canceled before the transaction deadline and the principal may be repaid ahead of schedule. In this case, a part of the balance accumulated at the present time is canceled. The fair value of the hedged transaction may be reassessed by taking into account the surrender portion and multiplying the balance and fair value by (future expected balance / original balance), taking into account the expected cash flow. On the other hand, the fair value of the hedged transaction may be re-evaluated by applying the latest hypothetical derivative standard to the cash flow for transactions that are likely to occur in the future.

  Further, when the hedge ratio representing the ratio of the hedged transaction to the hedging transaction is known, the loan balance and the fair value of the hedged transaction may be discounted by the hedge ratio. For example, when the hedge ratio β is 0.75, the loan balance and the fair value of the hedged transaction may be multiplied by 0.75.

  The value evaluation unit 130 compares the balance of the hedged transaction and the balance of the hedging means transaction for each bucket of each group obtained in this way. If the balance of the hedging instrument transaction is greater than the balance of the hedged transaction, it is determined to be in an overhedged state, and the excess portion is not considered for risk hedging purposes. On the other hand, if the balance of the hedging transaction is equal to or less than the balance of the transaction to be hedged, the portion corresponding to the balance of the hedging transaction is regarded as the effective portion of the hedge. By executing this processing for each group, it becomes possible to realize risk management of the entire hedged transaction. For example, when an excessive hedge group in which an excess portion has occurred or an under hedge group in which the hedge effective portion is equal to or less than a predetermined percentage threshold is detected, the value evaluation unit 130 may notify the user of an alarm. Good.

  In addition, the value evaluation unit 130 compares the hedge means transaction with the fair value of the hedged transaction for the effective portion of the hedge. For a bucket where the balance of the hedging transaction ≦ the balance of the hedged transaction, for example, if the balance of the hedging transaction in the bucket is 7.5 billion yen and the balance of the hedged transaction is 10 billion yen, The fair value of the hedged transaction may be multiplied by 0.75 and compared to the hedge effective portion. By executing this processing for each group, it becomes possible to realize risk management of the entire hedged transaction. For example, when comparing the fair value and the rate of change in the effective hedge portion of the hedging instrument transaction and the hedged transaction, if an under-hedge group with a ratio outside the threshold range of 80-120% is detected, value evaluation The unit 130 may notify the user of an alarm.

  As mentioned above, although the Example of this invention was explained in full detail, this invention is not limited to the specific embodiment mentioned above, In the range of the summary of this invention described in the claim, various deformation | transformation・ Change is possible.

DESCRIPTION OF SYMBOLS 10 Accounting system 100 Information processing apparatus 110 Virtual derivative value calculation part 120 Hedged transaction grouping part 130 Value evaluation part

Claims (4)

A virtual derivative value calculator that calculates the value of the virtual derivative standard for each group of the subject transactions;
A target transaction grouping unit for grouping the target transactions;
A value evaluation unit that evaluates the value of the entire target transaction by evaluating the value of each group of the target transaction based on the value of the virtual derivative standard of each group and the balance of the target transaction;
An information processing apparatus.   The information processing apparatus according to claim 1, wherein the grouping is based on a transaction condition including one or more of a transaction start date, a transaction period, an index, and a roll cycle.   The information processing apparatus according to claim 1, wherein the target transaction is a floating interest rate loan, and the virtual derivative standard is an interest rate swap transaction corresponding to the floating interest rate loan.   The value evaluation unit further evaluates the value of a transaction corresponding to the target transaction for each group, and compares the value of the target transaction evaluated for each group with the value of the corresponding transaction, thereby managing risk. The information processing apparatus according to claim 1, wherein the effectiveness of the information processing apparatus is evaluated.

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