JP3403613B2 - Stock certificate loan transaction management system - Google Patents

Description

Detailed Description of the Invention

[0001]

BACKGROUND OF THE INVENTION 1. Field of the Invention The present invention relates to a stock certificate lending transaction management system for mediating and managing a stock certificate lending transaction.

[0002]

2. Description of the Related Art In Japan, stocks are listed and traded on eight stock exchanges nationwide, such as the Tokyo Stock Exchange. The market is traded between).

In the field of such stock trading, there is a trade called "stock certificate lending / trading". In short, this transaction makes it possible to borrow a stock certificate from a securities finance company and other financial institutions, securities companies, etc. and hand it over to the other party if the securities company sells a stock certificate that they do not have at hand. Can be defined as a transaction that

By the way, the stock certificate lending transaction in the current situation is
Only for transactions in which securities companies, etc. specify their own issue (specific issue) for the purpose of responding to Nikkei 225 futures contracts, arbitrage transactions of Nikkei 225 futures options and underlying shares, or arbitrage transactions of customer accounts It's just happening. Therefore, the market size may be small.

One of the reasons for this is that secured transactions, that is, taking collateral at the time of lending and borrowing shares are not institutionalized. In other words, when renting a stock certificate, it is possible to do this without any collateral, but this means that the transaction is unreliable and can only be done with some highly reliable counterparties. There is. Therefore, in order to make this transaction more reliable, it is necessary to carry out secured transactions for all stock certificates.

However, in the case of a secured transaction, it is necessary to keep the cash deposited as collateral and the market value of the loaned stock certificate at the same value during the lending period. In this case, in addition to the usual business, a slip for calculating the collateral amount is generated every day, and it is difficult to prepare funds for collateral adjustment, and there is also a problem of remittance fees. Moreover, since there are an extremely large number of types of stock certificates, setting these collateral amounts is troublesome.

[0007]

As mentioned above, there are various problems in institutionalizing stock lending / borrowing transactions, and there is a demand for a system capable of solving these problems. An object of the present invention is to provide a stock bond lending transaction management system capable of realizing a highly reliable stock bond lending transaction.

[0008]

[Means for Solving the Problems] To achieve the above object, the first means of the present invention is a stock certificate lending transaction management system for managing stock certificate lending transactions, and the transaction type of the stock certificate lending transaction. Is a general transaction type or a special transaction, a transaction type determination unit, and a collateral rate calculation unit that calculates the collateral rate of the stock bonds subject to the stock lending transaction based on the stock information including the stock rank for each trade type, A collateral amount setting unit that acquires the collateral rate of the stock certificates subject to this stock lending transaction based on the transaction type of the stock lending transaction, and sets the collateral amount based on this, and the collateral amount of the collateral amount due to changes in the stock price. It is characterized by having a collateral amount revaluation processing unit for performing mark-to-market and revaluation (calculation of collateral transfer).

A second means is the stock lending / loan transaction management system according to the first means, wherein the collateral ratio calculating section performs stock ranking based on stock information including the stock rank, and the stock ranking is performed. It is characterized in that it has means for calculating the collateral money rate based on the above, and means for updating the collateral money rate based on the fluctuation of the brand information.

A third means is, in the stock lending / lending transaction management system of the first means, the collateral amount renewal processing section calculates a required collateral amount from stock price information, and based on this, the upper limit allowable amount and the lower limit amount. It is characterized in that the permissible amount is obtained, and only when the current amount of collateral deviates from this range, the washing process is performed.

A fourth means is a storage medium that stores a program including a procedure for causing a computer system to manage a stock certificate lending transaction, and determines whether the transaction type of the stock certificate lending transaction is a general transaction or a special transaction. And the procedure for calculating the collateral ratio of the stock bonds subject to the stock lending transaction based on the stock information including the stock rank for each transaction type, and the stock lending transaction target of the stock lending transaction based on the transaction type of the stock lending transaction. A program that includes a procedure for obtaining the collateral rate of a stock certificate and setting the collateral amount based on the collateral rate, and a procedure for performing mark-to-market / re-payment (collateral movement calculation) of the collateral amount in accordance with the change in the stock price. Is stored.

[0012]

[0013]

BEST MODE FOR CARRYING OUT THE INVENTION An embodiment of the present invention will be described below with reference to the drawings. FIG. 1 is a schematic configuration diagram showing the configuration of a stock certificate lending / transaction management system according to an embodiment of the present invention. This system is placed as an intermediary for stock lending transactions. As shown in FIG. 2, the transaction intermediary 1 is a person who mediates between the stock certificate borrower 2 and the stock certificate lender 3 to establish a transaction and manage the transaction. Next, this stock certificate lending transaction will be briefly described with reference to FIG.

In this transaction, the stock certificate borrower 2 is a stock certificate lender 3
Borrow necessary stock certificates from the company (step S4), and instead insert cash as collateral (step S5)
It is based on that. In addition, the stock certificate borrower 2 pays the lender 3 a loan fee for borrowing the stock certificate (step S6), and the lender 3 pays an interest rate (income interest rate) on the cash deposited from the borrower 2 (step S7). ). The intermediary will receive a spread (spread) by making a difference in the rates presented to the lender 3 and the borrower 2 with respect to the lending fee and the interest rate.

The form of stock lending / lending transactions managed by this system is divided into special transactions and general transactions. Here, in the special transaction, the stock certificate borrower 2
It refers to a transaction in which the issue of the stock certificate you want to borrow is specified, and the general transaction is a transaction in which the total amount of the stock certificate you want to raise is specified but the issue of the stock certificate is not specified.

That is, in the special transaction, the stock certificate borrower 2 may, for example, "share the stock certificate of A Co. Ltd. from May 1st to May 2nd.
It is due to the offer of "I want to borrow 100,000 shares until the 5th." On the other hand, the general transaction is due to the offer from "May 1st to May 25th, I would like to borrow a total of 100 million yen, as long as it is a partially-listed stock certificate, any stock can be issued" .

Both transactions remain collateralised in cash. But in the case of general trading,
It can be said that the nature of financing is strong. That is, in the case of a general transaction, contrary to the above, the stock certificate lender 3 received an offer from the stock certificate lender 3 that "I want to raise cash with a stock certificate with a market capitalization of 100 million yen as collateral" and This is because there is a case where the stock certificate borrower 2 is selected. Therefore, in the special transaction and the general transaction, the rate of cash collateral (hereinafter referred to as “collateral money rate”) with respect to the cash equivalent of the stock certificate (market capitalization) must be different according to the risk.

That is, in the case of the special transaction, the collateral rate of 100% or more can be set with respect to the market capitalization, but in the case of the general transaction, 100 with respect to the market capitalization.
You can only set the collateral rate below%. Also, in general trading, in order to avoid risks, it is necessary to change the collateral rate according to the ranking of stock issues. The system of this embodiment has a function of automatically calculating and setting the collateral rate in accordance with the transaction type and issue in order to appropriately deal with such a situation.

On the other hand, for this transaction, the market value (market capitalization) of the stock certificate and the amount of collateral must always be linked. That is, since the stock certificate is traded on the stock exchange and the over-the-counter market, its market price fluctuates every day. If the market value of a stock certificate fluctuates, the collateral pledged as collateral will be over or under. In the present invention, checking excess or deficiency of the amount of collateral is called “mark-to-market”, and adjusting the excess or deficiency and setting a new amount of collateral is called “re-wash”. This system has a function of automatically performing such a mark-up / re-washing process.

A specific structure for achieving the above-mentioned functions will be described below. As shown in FIG. 1, this system has an input unit 8, an output unit 9, a processing unit 10, a data storage unit 11, and a communication device 12.

The input unit 8 is composed of a keyboard 13 and a mouse 14, and the output unit 9 is composed of a display 15 and a printing device 16. The processing unit 10 calculates and sets the collateral rate for a predetermined stock certificate based on the transaction type determination unit 18 for determining the transaction type (special transaction or general transaction) and the stock information as described later. A collateral amount setting unit 19, a collateral amount setting unit 20 for setting a collateral amount based on brand data including the collateral amount, a transaction data recording unit 17 for recording the set transaction data,
It has a collateral amount rewashing processing unit 22 which carries out mark-to-market and revaluation of collateral money in accordance with changes in stock prices and the like.

Further, the data storage unit 11 includes a transaction data file 24 for storing transaction data, a transaction data file 25 for storing information on a transaction partner, and a vendor information file 26 for storing information such as stock price. , A brand data file 27 that stores collateral rates, etc., a brand information file 28 that records brand information received from the outside such as the market price and volume, and a mark-to-market that temporarily stores mark-to-mark / re-mark data. And a washing data file 30.

Further, the communication device 12 obtains various information from an information provider 29 such as a financial institution, presents transaction conditions to the stock bond borrower 2 and the stock bond lender 3, notifies the security amount, etc. It is used to communicate.

It should be noted that these systems may be realized by installing software (computer program stored in a storage medium) including instructions for executing the functions of the above-described components in a computer system. good.

Next, the operation of this system will be described with reference to FIGS. FIG. 3 is a conceptual diagram showing the function and processing flow of this system. The processing in this system is roughly divided into a collateral amount setting processing 31 and a mark-to-market / re-charging processing 32, as indicated by the dashed line in the figure. That is, after the contract condition including the collateral amount is output in the collateral amount setting step 31, the mark-to-mark and mark-replace processing is performed in the mark-to-mark and mark-reserve step 32 for the transaction for which the transaction contract is established.

First, the collateral amount setting step 31 will be described. First, transaction information is input in step S34.
As described above, the information to be input differs between the special transaction and the general transaction.

In the special transaction, when an offer from the stock certificate borrower is received, as described above, "I want to borrow 100,000 stock certificates of A Works from May 1 to May 25", the operator Find a stock certificate lender who owns 100,000 or more stock certificates of A Factory and can lend them from the customer data file. This work may be done manually by the operator or may be automatically searched.

Then, the information of the offer from the borrower and the information of the lender are input as transaction information (step S34). On the other hand, in general trading, there are two cases. In the first case, from the share certificate borrower, "5
From January 1st to May 25th, I would like to borrow a total of 100 million yen, as long as it is a partially listed stock certificate.
This is the case when the offer to that effect is received. In this case, the operator searches stockholder data files and the like for stock certificate lenders who own and can lend stock certificates with a market capitalization of 100 million yen or more.

In the second case, contrary to the above case, there is an offer from a stock certificate lender, "I want to procure funds with stock certificates totaling 100 million yen as collateral". In this case, the operator selects a person (share certificate borrower) who can lend cash with the share certificate as collateral.

These operations may be performed manually by the operator or may be automatically searched. Then, the offer information, the information of the stock certificate borrower and lender, and the stock certificate issueable information of the stock certificate are input as transaction information (step S34). The above two general transactions will be referred to as “first general transaction” and “second general transaction” below.

When such transaction information is input, the transaction type determination unit 18 determines in step S35 whether it is a special transaction or a general transaction. Next, the collateral amount setting unit 20 adjusts the collateral amount in step S36, and calculates a specific collateral amount for the issue based on the collateral amount in step S37.

The collateral rate adjustment S36 is performed by extracting the collateral rate corresponding to the transaction type of the issue from the issue data file 27. As will be described later,
The collateral rate stored in the stock data file 27 is
This is automatically calculated by the collateral rate setting unit 19 in step S38. Then, the collateral amount calculation S37 is performed by multiplying the market price of the issue by the collateral amount.

In the case of a special transaction, the collateral rate of the stock certificate of A Co. is multiplied by the market price of the stock certificate obtained from the vendor information file and multiplied by the number of stock certificates (100,000 shares). The amount is fixed. For example, if the stock price of the stock certificate is 1000 yen and the collateral rate of the special transaction is 105%, the collateral amount = 1000 yen x 1
05% x 100,000 shares = 105 million yen.

On the other hand, in the case of the first general transaction,
The number of required stock certificates is calculated by multiplying the market value of the specified stock certificate by the collateral rate and dividing the required amount of 100 million yen by this value. Since the number of stock certificates needs to be in the unit of trading stocks, the number of stocks matching this trading unit is calculated. Next, for this number of shares, (market price x collateral rate)
The collateral amount can be obtained by multiplying by. Since the number of shares is adjusted to suit the transaction unit in this way, the collateral amount may not match the required amount (100 million yen).

For example, if the stock price is 1000 yen, the collateral rate is 75%, and the trading unit is 1000 shares, first, the market price (1000 yen) is multiplied by the collateral rate (75%),
If you divide this by 100 million yen, you get 133333 shares. Since the trading unit is every 1000 shares, the number of required stock certificates is 1
34,000 shares. Since this number of shares is multiplied by (market price x collateral rate), the collateral amount is 105 million yen.

In the case of the second general transaction, the market value of the stock certificate, that is, 100 million yen is multiplied by the collateral rate, as described above,
Calculate the amount of collateral (the amount that can be procured). Collateral rate is 7
If it is 5%, the collateral amount, that is, the procurable amount is
That's 75 million yen.

Next, in step S39, the transaction data thus determined is stored in the transaction data file 24, and this data is output as a contract condition (step S40).

In the case of a callable transaction or a non-call transaction, settlement date information is input in step S41. In this embodiment, the "callable transaction" means a transaction in which a stock certificate borrower can unilaterally notify the stock certificate lender of the transaction settlement date to end the above transaction period, which is a non-call transaction. Means a transaction in which either the bond lender or the borrower can specify the transaction settlement date later without setting the transaction settlement date in advance. On the other hand, a transaction in which the transaction settlement date set in advance cannot be changed is called a term transaction.

Output of the contract conditions (step S41)
Is performed for each share certificate lender and borrower. For example, in the above special transaction, if the stock certificate borrower is A, the stock certificate lender is B, and the intermediary is A, the contract condition including the following information is output.

[0040] On the other hand, in the case of the first general transaction, the contract conditions output are as follows.

[0041] In the case of the second general transaction, the contract conditions that are output are as follows.

[0042] If the contract details are presented to the stock certificate borrower A and the stock certificate lender B, respectively, and both parties approve, the transaction will be completed.

Next, the collateral rate is determined (step S3).
8) will be described. As described above, the collateral money rate stored in the stock data file 27 is set (calculated) / updated by the collateral money rate setting unit 19, and this setting is performed as shown in FIG. Done.

As shown in FIG. 4, the setting unit 19 first acquires brand information in step S42. As for the stock information, as shown in this figure, for example, "company quarterly report data" 43, "month (previous month) trading volume top stock data"
44, “Nikkei 500 class adopted stock data” 45, “Moody's stock stock rank data” 46, “Individual stock option adopted stock data” 47, “Market capitalization top stock data” 48 and the like are stored and stored in the stock information file 28. Then, the stock information is sorted and acquired for each stock.

Next, the collateral rate setting unit 19 performs ranking based on the acquired brand information (step S
49). The ranking is performed by deriving the dependency of each data depending on the rank by a ternary tree and calculating a weighted average. Then, based on this ranking, a specific collateral rate is set according to the type of transaction.

For example, in the case of a special transaction, the upper limit of the collateral money rate is set to, for example, 105% (step S50), but in the case of a general transaction, the top 500 types (step S51) and other types (step S52). Calculate and determine separately. For example, as shown in this figure,
As the top 500 collateral rates, 80 from the 1st to the nth
%, 75% from the n + 1st rank to the mth rank, 70% from the m + 1st rank to the 500th rank, and 65% thereafter.

These are used as brand data together with the brand name,
It is stored in the brand data file 27. The rank information is updated according to the update of each source data (step S54).

When the contract conditions are fixed and the contract between the stock certificate lender 3 and the borrower 2 is established as described above, the mark-to-market / wash-back process 32 is executed during the transaction period. This step is executed by the collateral amount renewal processing unit 22. As shown in FIG. 3, the processing unit 22 first
In step S56, the vendor information is received. The vendor information includes the stock price of each issue (the closing price of yesterday) and the like.

In this embodiment, the collateral amount currently pledged is referred to as "insertion collateral amount" and the amount thereof is referred to as "insertion collateral amount". The same amount of information as this collateral amount stored in the transaction data file 24 is stored in the mark-to-market data file 30. In addition, the required amount of collateral calculated from the closing price on the previous day is called the "standard collateral amount". That is, standard collateral amount = (closing price of yesterday)
X (collateral deposit rate) x (number of shares).

Then, the processing section 22 carries out step S5.
In step 7, an upper limit allowable collateral amount and a lower limit allowable collateral amount are calculated from the reference collateral amount and compared with the inserted collateral amount. In this embodiment, the upper limit allowable collateral amount is 105% of the standard collateral amount, and the lower limit allowable collateral amount is 95% of the standard collateral amount.

Therefore, when the standard collateral amount is 100 million yen, the upper limit allowable collateral amount is 105 million yen and the lower limit allowable collateral amount is 95 million yen. Posting security amount is 9
In the case of 7.5 million yen, the lower limit allowable collateral amount <inserted collateral amount <the upper limit allowable collateral amount, and therefore the washing process (step S58) is not performed. On the other hand, if the amount of secured collateral paid is 80 million yen, the amount is less than the lower limit allowable collateral amount, and therefore the rewashing process of step S58 is performed.

In the washing process S57, first, the excess / deficiency amount is calculated. The excess or deficiency amount is the amount of the pledged collateral minus the standard collateral amount. In the above example,
80 million yen-100 million yen = -20 million yen.

Then, the processing unit 22 records this data in the transaction data file 24 and outputs it to the output unit 9
If there is a shortage, a bill is output, and if there is an excess, a payment notice is output (step S40).

On the other hand, the processing unit 22 sets the pledged collateral amount to the same amount as the reference collateral amount, and updates the mark-to-mark / replacement data file 30 and the transaction data file 24.

Next, in step S59, it is determined whether or not the next day is the transaction end date, and if it is not the transaction end date yet, in step S60, the same process as above (steps S56 to S59) is performed on the next day. .

On the other hand, when the next day is the transaction end date,
This mark-to-market process is completed, and this is recorded in the transaction data file 24. Further, the statement is output by the output unit 9 (step S40).

With the above arrangement, the following effects can be obtained. That is, according to this system,
The collateral rate can be changed depending on the transaction type, ranking, etc., and an appropriate collateral amount can be calculated. Then, even if the collateral amount has an excess or deficiency, it can be automatically processed.

As a result, the reliability of the transaction can be improved and the load on the operator can be minimized, so that there is an effect that the secured transaction can be carried out for all stock certificates.

Further, in the present invention, mark-to-market of the collateral amount is
In the washing process, the upper limit allowable collateral amount and the lower limit allowable collateral amount are set, and the washing process is carried out only when the current pledged collateral amount exceeds these amounts. Therefore, the load on the system is reduced, and there is an effect that the mark-to-market processing can be performed at high speed even when managing a large number of transactions.

The present invention is not limited to the above-described one embodiment, but can be variously modified without changing the gist of the invention. For example, in the above embodiment, the collateral amount setting process 31, the mark-to-market process 32, and the collateral amount automatic setting S38 are realized by a single piece of hardware or software.
You may make it implement | achieve by separate hardware or software.

Further, the concrete numbers such as the collateral rate are not limited to the above-mentioned one embodiment. Further, in the above-described one embodiment, the washing process (step S58).
Was carried out by sending an invoice, payment notice, etc. to the stock certificate borrower and lender, but the present invention is not limited to this.

For example, as shown in FIG. 1, this system is connected to a banking system 63 (a system capable of performing deposit / withdrawal processing such as online transfer between accounts). Then, in step S64 in FIG. 3, the deposit / withdrawal process for the excess / deficiency of the collateral may be automatically performed through the banking system 63.

[0063]

According to the structure described above, the collateral rate can be determined by the transaction type, the ranking, etc., and an appropriate collateral amount can be calculated. And
Even if the collateral amount has an excess or deficiency, it can be automatically processed.

As a result, the reliability of the transaction can be improved, and the load on the operator can be minimized, so that there is an effect that the secured transaction can be performed for all the stock certificates.

Further, in the present invention, mark-to-market of the collateral amount is
In the washing process, the upper limit allowable collateral amount and the lower limit allowable collateral amount are set, and the washing process is carried out only when the current pledged collateral amount exceeds these amounts. Therefore, the load on the system is reduced, and there is an effect that the mark-to-market processing can be performed at high speed even when managing a large number of transactions.

[Brief description of drawings]

FIG. 1 is a block diagram showing a schematic configuration of a system according to an embodiment of the present invention.

FIG. 2 is a diagram for explaining a stock certificate lending transaction.

FIG. 3 is a flow chart showing a main processing flow of this system as well.

FIG. 4 is a flow chart showing a collateral rate setting flow of this system.

[Explanation of symbols]

8 ... Input section, 10 ... Processing unit 11 ... Data storage unit 18 ... Transaction type determination unit 19 ... Collateral rate setting section 20 ... Collateral amount setting section 21 ... Transaction data recording section 22 ... Cash amount washing processing section

Continuation of the front page (56) References Yasuichi Kagawa, Hiromi Tokuda, Michiru Kitahara, <New Edition> Financial Practice Dictionary, Institute for Financial and Fiscal Affairs, July 10, 1995, 1st edition, 43rd edition, 43rd edition Pp. 978-979, The Bank of Japan, Financial Transaction Certificates, Financial and Financial Situation Research Association, February 23, 1996, 184-187, 200-212 (58) Fields investigated (Int.Cl. ⁷ , DB name) G06F 17/60 G06F 19/00 JISST file (JOIS)

Claims (4)

(57) [Claims] [Claim 1] Stock certificate lending for managing stock certificate lending transactions
A pull management system,Input to the input means The type of transaction for stock loan transactions is Gene
Transaction type determination unit that determines whether it is a Lull transaction or a special transaction
When, Shares based on stock information including stock rank for each transaction type
Security rate operation to calculate the security rate of stock certificates subject to ticket lending transactions
Arithmetic department,Information on the stock price or market value of the stock certificates subject to the stock certificate lending transaction
A data storage unit for storing Judgment made by the transaction type judgment unit Stock Lending Transaction
Based on transaction typeThe relevant mortgage rate calculation unit has calculated
Acquire the collateral ratio of the stock certificates subject to the stock certificate lending transaction,Get this
Mortgage rate and the stock certificate stored in the data storage unit
Stock price or market price informationSet collateral amount based on
Collateral amount setting section to Mark-up / re-purchase of the collateral amount due to changes in the stock price
(Cash transfer calculation)
A stock certificate lending transaction management system characterized by having. 2. The stock bond lending transaction management system according to claim 1, wherein the collateral rate calculating unit performs stock ranking based on stock information including the stock rank, and the collateral money is based on the stock ranking. A stock certificate lending / transaction management system comprising means for calculating a rate and means for updating the collateral rate based on a change in the stock information. 3. The stock certificate lending transaction management system according to claim 1, wherein the collateral amount rewashing processing unit calculates a required collateral amount from stock price information and obtains an upper limit allowable amount and a lower limit allowable amount based on the calculated collateral amount. The system is characterized in that the renewal process is performed only when the current amount of collateral deviates from this range. 4. A computer that stores a program for causing the managing stock lending transactions in a computer system
It is a readable storage medium, and it is based on the procedure to judge whether the transaction type of the stock bond lending transaction entered into the input means of the computer system is general transaction or special transaction and the stock information including the stock rank for each transaction type. The above calculation is performed based on the procedure for calculating the collateral ratio of the stock certificate lending transaction subject to the stock lending transaction and the determined transaction type of the stock lending transaction.
It has been acquired the collateral rate of the stock lending transaction target share certificates, stored in the data storage unit thus acquired collateral rate
Information on the stock price or market value of the stock certificates subject to the stock certificate lending transaction
Computer, wherein bets and procedures for setting the amount of collateral based on, the storage of programs and a procedure to perform value wash-laundering of the amount of collateral with the variation of the stock price (collateral mobile computing) Readable
Do storage medium.