JPH113373A - Stock certificate debit and credit control system - Google Patents

Abstract

PROBLEM TO BE SOLVED: To provide a stock certificate debit and credit control system realizing the stock certificate debit/credit transaction of high reliability. SOLUTION: A stock certificate debit/credit transaction control system for managing stock certificate debit/credit transaction is provided with a transaction kind judging part 18 judging a transacting kind from an inputted transacting condition, a mortgage amount setting part 20 setting the mortgage money rate of stock certificates including the transacting condition based on the transacting kind and setting a mortgage amount based on this and a mortgage re-washing part 22 executing the value wash and re-wash of the mortgage amount with the fluctuation of the stick price.

Description

DETAILED DESCRIPTION OF THE INVENTION

[0001]

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

[0002]

2. Description of the Related Art In Japan, stocks are traded on eight stock exchanges nationwide, such as the Tokyo Stock Exchange, and traded otherwise. (Trading market that takes place in between).

[0003] In the field of such stock trading, there is a trade called "stock certificate lending transaction". In simple terms, if a securities company sells stocks that it does not hold, it can be borrowed from securities financing companies and other financial institutions or securities companies and delivered to the other party. It can be defined as a transaction to make.

[0004] By the way, the stock borrowing and lending transaction in the current situation is
Securities companies, etc., use their own accounts to specify Nikkei 225 futures transactions, arbitrage transactions for Nikkei 225 futures options and underlying stocks, or arbitrage transactions on customer accounts, and only for transactions that specify individual stocks (specified stocks). It is just done. For this reason, the market size may be small.

[0005] One of the causes is that there is no institutionalized secured transaction, that is, taking security when borrowing or borrowing stock. In other words, when borrowing and borrowing stock certificates, it is possible to do so without security, but this means that the system is low in reliability, and it is possible to trade only with some highly reliable counterparties. There is. Therefore, to make this system more reliable,
It is necessary to conduct 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 fair value of the borrowed stock certificate at all times during the lending period, so it is necessary to deliver the excess and deficiency money every day. In this case, in addition to the normal business, a slip for calculating the collateral is generated every day, it is difficult to make a fund preparation for collateral adjustment, and there is also a problem of a remittance fee. Also, since the number of types of stock certificates rises to an extremely large number, setting these security deposits is troublesome.

[0007]

As described above, there are various problems in institutionalizing the securities lending and borrowing transactions, and there is a demand for a system that can solve these problems. SUMMARY OF THE INVENTION An object of the present invention is to provide a stock borrowing and lending transaction management system capable of realizing a highly reliable stock borrowing and borrowing transaction.

[0008]

Means for Solving the Problems To achieve the above object, a first means of the present invention is a stock certificate lending transaction management system for managing a stock certificate lending transaction. A transaction type determining unit for determining the type, a collateral amount setting unit for setting a collateral amount of a security included in the transaction condition based on the transaction type, and setting a collateral amount based on the collateral ratio, and a change in the stock price Accordingly, a collateral amount renewal processing unit for marking and revaluating the collateral amount is provided.

The second means is a stock lending transaction management system according to the first means, wherein a security rate setting unit for calculating a security rate based on issue information including issue ranking for each transaction type; Means for updating the security deposit rate based on the change in the brand information.

[0010] A third means is the stock lending transaction management system of the first means, wherein the mark-to-market replacement means calculates a necessary security amount from the stock price information, and based on the calculated security amount, an upper limit allowable amount and a lower limit allowable amount. It is characterized in that the amount is obtained and the renewal processing is performed only when the current amount of collateral deviates from this range.

The fourth means is a storage medium storing a program including a procedure for causing a computer system to manage a stock borrowing / borrowing transaction, wherein the procedure is for determining a transaction type based on input transaction conditions. A program for setting a security rate of the stock certificate included in the transaction condition based on the transaction type, and setting a security amount based on the security rate.

Fifth means is a storage medium storing a program including a procedure for causing a computer system to manage a stock borrowing / borrowing transaction, wherein a procedure for storing a security rate and a security amount of the stock certificate, Receiving the fluctuation information, calculating the required amount of collateral from this and the collateral rate, and obtaining an upper limit allowable amount and a lower limit allowable amount based on the calculated amount;
The present invention is characterized in that a program is stored which includes a procedure for performing a collateral amount renewal process only when the current collateral amount deviates from the range of the upper limit allowable amount and the lower limit allowable amount.

[0013]

An embodiment of the present invention will be described below with reference to the drawings. FIG. 1 is a schematic configuration diagram showing a configuration of a stock certificate loan transaction management system according to an embodiment of the present invention. This system is placed at the broker of the stock lending transaction. As shown in FIG. 2, the transaction intermediary 1 is a person who mediates between the stock borrower 2 and the stock borrower 3 to execute and manage transactions. Next, the stock lending transaction will be briefly described with reference to FIG.

In this transaction, the stock certificate borrower 2
Borrows the necessary stock certificate (step S4), and instead provides cash as collateral (step S5).
Basically, In addition, the stock borrower 2 pays the lending amount to the lender 3 for borrowing the stock certificate (step S6), and the lender 3 pays an interest rate (unfavorable interest rate) for the cash deposited from the borrower 2 (step S7). . The intermediary makes a difference between the rates presented to the lender and the borrower for the rent and interest rate, and receives the spread.

The form of the stock lending transaction managed by this system is divided into a special transaction and a general transaction. Here, the special transaction is when the stock borrower 2
The term “transaction” refers to a transaction in which the name of a stock certificate to be borrowed is specifically designated. The term “general transaction” refers to a transaction in which the total number of stock certificates to be procured is specified but the name of the stock certificate is not particularly specified.

That is, in the special transaction, the stock borrower 2 transmits, for example, “A Manufacturing Co., Ltd. stock certificate from May 1 to May 2
I want to borrow 100,000 shares until the 5th. " On the other hand, general trading is caused by the offer of "From May 1 to May 25, we can borrow a total of 100 million yen, as long as the stock is partially listed and any stock can be used." .

[0017] Both transactions are no substitute for collateral in cash. However, 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 share lender 3 receives an offer to “purchase cash using a security with a market capitalization of 100 million yen as collateral,” This is because the stock borrower 2 may be selected for this purpose. Therefore, the ratio of the cash collateral to the cash equivalent of the stock certificate (hereinafter referred to as market capitalization) (hereinafter referred to as the “security rate”) must be different between the special transaction and the general transaction depending on the risk.

That is, in the case of a special transaction, a collateral rate of 100% or more with respect to the market capitalization can be set.
You can only set a collateral rate of less than 10%. In general transactions, it is necessary to fluctuate the security rate according to the ranking of stocks in order to avoid risks. The system of this embodiment has a function of automatically setting a security rate according to a transaction type and a brand in order to appropriately cope with such a situation.

On the other hand, in this transaction, it is necessary to always link the market value (market capitalization) of the stock certificate with the collateral amount. That is, since stock certificates are bought and sold on stock exchanges and over-the-counter markets, their market values fluctuate every day. If the market value of stocks fluctuates, the amount of collateral pledged as collateral will be over or under. In the present invention, checking for excess or deficiency in the amount of collateral is referred to as "price-clearing", and adjusting the excess or deficiency and setting a new amount of collateral is referred to as "refreshing". This system has a function of automatically performing such price washing / replacement processing.

Hereinafter, a specific configuration for achieving the above functions will be described. This system includes an input unit 8, an output unit 9, a processing unit 10, a data storage unit 11, and a communication device 12, as shown in FIG.

The input unit 8 includes a keyboard 13 and a mouse 14, and the output unit 9 includes a display 15 and a printing device 16. The processing unit 10 includes a transaction type determination unit 18 that determines a transaction type (special transaction or general transaction) as described below, and a security deposit for setting a security deposit rate for a predetermined stock certificate based on brand information or the like. A rate setting unit 19, a security amount setting unit 20 for setting a security amount based on the security data including the security rate, a transaction data recording unit 17 for recording the set transaction data, It includes a collateral amount revaluation processing unit 22 for marking and revaluating collateral.

The data storage unit 11 includes a transaction data file 24 for storing transaction data, a supplier data file 25 for storing information on suppliers, and a vendor information file 26 for storing information such as stock prices. , A security data file 27 that stores the security deposit rate, etc., a security information file 28 that records security information received from the outside such as market value and trading volume, and a price wash that temporarily stores data for And a replacement data file 30.

The communication device 12 obtains various types of information from an information provider 29 such as a financial institution, and provides the stock borrower 2 and the stock lender 3 with transaction conditions, notification of a security amount, and the like. Used for communication.

Note 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 components in the 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 broadly divided into a collateral amount setting processing 31 and a mark-to-market / clearing 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 transaction for which the transaction contract has been established is subjected to mark-to-market and mark-to-market processing in the mark-to-market / clearing step 32.

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

In the special transaction, as described above, when the stock borrower receives a request to “borrow 100,000 shares of A Seisakusho from May 1 to May 25”, the operator: A stock lender who has more than 100,000 shares of A Seisakusho and can lend it is searched for from the customer data file. This operation may be performed manually by an operator, or may be automatically searched.

Next, 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, there are two cases in general trading. In the first case, “5
From January 1 to May 25, we can borrow a total of 100 million yen because we can use any stock that is partially listed. "
This is the case when an offer to that effect is received. In this case, the operator finds a stock lender capable of holding and lending a stock certificate with a market capitalization of 100 million yen or more from a business partner data file or the like.

In the second case, contrary to the above, there is a case in which a stock lender offers a request to “procure funds with a security of 100 million yen in total as security.” In this case, the operator selects a person (stock borrower) who can lend cash using the stock certificate as collateral.

These operations may be performed manually by an operator, or may be automatically searched. Next, the offer information, the information of the stock borrower and the lender, and the stock certificate brand information that can be lent are input as transaction information (step S34). The above two general transactions are hereinafter referred to as “first general transaction” and “second general transaction”.

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

The adjustment of the security rate S36 is performed by extracting the security rate corresponding to the transaction type of the issue from the issue data file 27. In addition, as described later,
The security rate stored in the issue data file 27 is
It is automatically calculated by the security deposit rate setting unit 19 in step S38. The calculation of the security amount S37 is performed by multiplying the market value of the issue by the security rate.

In the case of a special transaction, the security ratio is calculated by multiplying the security rate of the stock certificate of the factory A by the market value of the stock certificate obtained from the vendor information file, and multiplying by the number of stock certificates (100,000 shares). The amount is fixed. For example, assuming that the stock price of the stock certificate is 1000 yen and the security rate of the special transaction is 105%, the security amount = 1000 yen × 1
05% x 100,000 shares = 105 million yen.

On the other hand, in the case of the first general transaction,
The number of necessary stock certificates is calculated by multiplying the market value of the specified stock certificates by the security rate and dividing the required amount of 100 million yen by this value. Since the number of the stock certificates needs to be in the number of trading shares, the number of shares suitable for the trading unit that is equal to or larger than this number is obtained. Next, the security amount can be obtained by multiplying the number of shares by (market value × security rate).
As described above, in order to adjust the number of shares suitable for the transaction unit, the collateral amount may not match the required amount (100 million yen).

For example, assuming that the stock price is 1,000 yen, the security rate is 75%, and the trading unit is 1000 shares, first, the market price (1000 yen) is multiplied by the security rate (75%).
If you divide this by 100 million yen, it will be 133,333 shares. Since the trading unit is every 1000 shares, the number of required stock certificates is 1
34,000 shares. The number of shares is multiplied by the market value x the security rate, so the security amount is 1.5 million.

In the case of the second general transaction, the market value of the stock certificate, ie, 100 million yen, is multiplied by the security rate,
Calculate the collateral amount (the amount that can be procured). Collateral rate is 7
If it is 5%, the collateral amount, that is, the amount that can be raised,
That would be 75 million yen.

Next, in step S39, the transaction data determined in this way is stored in the transaction data file 24, and this data is output as the 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 term “callable transaction” refers to a transaction in which the stock borrower can end the above transaction period by unilaterally notifying the stock lender of the transaction settlement date, and a non-call transaction. The term “transaction” refers to a transaction in which either a stock lender or a borrower can specify a transaction settlement date later without setting a transaction settlement date in advance. On the other hand, a transaction in which a predetermined transaction settlement date cannot be changed is called a term transaction.

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

[0040] On the other hand, in the case of the first general transaction, the executed contract condition is as follows.

[0041] In the case of the second general transaction, the output contract condition is as follows.

[0042] The contents of the agreement are presented to the shareholder borrower A and the shareholder borrower B, respectively, and if both parties approve, the transaction is completed.

Next, the above-mentioned security deposit ratio is determined (step S3).
8) will be described. As described above, the security rate stored in the issue data file 27 is set and updated by the security rate setting unit 19, and this setting is performed as shown in FIG.

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

Next, the security rate setting unit 19 ranks the security based on the acquired brand information (step S).
49). In the ranking, the degree of dependence of each data depending on the rank is derived by a trinomial tree, and a weighted average is obtained. And, based on this ranking,
Set a specific collateral rate according to the type of transaction.

For example, in the case of a special transaction, the upper limit of the collateral rate is set to, for example, 105% (step S50). In the case of a general transaction, the top 500 types (step S51) and others (step S52). It is calculated and determined separately. For example, as shown in this figure,
The top 500 collateral settings are 8 for the first to nth positions
0%, 75% from n + 1 to m, m + 1 to 500
It is set to 70% up to the order, and set to 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 in accordance with the update of each source data (step S54).

As described above, when the contract conditions are determined and the contract between the stock lender 3 and the borrower 2 is established, a price-refreshing step 32 is executed during the transaction period. This step is executed by the collateral amount change processing unit 22. As shown in FIG. 3, the processing unit 22 first
In step S56, the vendor information is received. This vendor information includes the stock price of each issue (the closing price of yesterday) and the like.

In this embodiment, the collateral currently deposited is referred to as “deposited collateral” and the amount is referred to as “deposited collateral amount”. The same information as the security amount stored in the transaction data file 24 is stored in the mark-to-market data file 30. The required collateral amount calculated from the previous day's closing price is referred to as the “base collateral amount”.
That. That is, the standard collateral amount = (Yesterday's closing price) x
(Collateral rate) x (number of shares).

Next, the processing section 22 proceeds to step S5.
In step 7, the upper limit allowable collateral and the lower limit allowable collateral are calculated from the reference collateral, and are compared with the inserted collateral. In this embodiment, the upper limit allowable collateral amount is set to 105% of the reference collateral amount, and the lower limit allowable collateral amount is set to 95% of the reference collateral amount.

Therefore, when the reference security amount is 100 million yen, the upper limit allowable security amount is 105 million yen and the lower limit allowable security amount is 95 million yen. 9 pledged collateral
In the case of 7.5 million, since the lower limit allowable collateral amount <the inserted collateral amount <the upper limit allowable collateral amount, the refining process (step S58) is not performed. On the other hand, if the deposited collateral amount is 80 million, the value is lower than the lower limit allowable collateral amount, so that the renewal process in step S58 is performed.

In the replacement process S57, first, an excess / deficiency amount is calculated. The excess or deficiency amount is obtained by subtracting the base collateral amount from the posted collateral amount. In the example above,
80 million yen-100 million yen = -20 million yen.

Next, the processing section 22 records this data in the transaction data file 24 and outputs the data to the output section 9.
As a result, a bill is output if the amount is insufficient, and a payment notice is output if the amount is excessive (step S40).

On the other hand, the processing unit 22 sets the amount of the posted collateral to be equal to the reference amount of collateral, and updates the mark-to-market data file 30 and the transaction data file 24.

Next, in step S59, it is determined whether the next day is the transaction end date. If it is not the transaction end date, the same processing (steps S56 to S59) is performed on the next day in step S60. .

On the other hand, if the next day is the transaction end date,
This price-marking process is completed, and this is recorded in the transaction data file 24. The output unit 9 outputs a statement (step S40).

According to the above configuration, the following effects can be obtained. That is, according to this system,
The collateral rate can be varied depending on the transaction type, ranking, etc., and an appropriate collateral amount can be calculated. Then, even if an excess or deficiency occurs in the collateral amount, this can be automatically processed.

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

Further, according to the present invention, in the mark-to-market change processing of the security amount, the upper limit allowable security amount and the lower limit allowable security amount are set, and the replacement processing is performed only when the current inserted security amount exceeds these. I have to. For this reason, there is an effect that the addition of a system is reduced, and the price washing process can be performed at high speed even when managing a large amount of transactions.

The present invention is not limited to the above-described embodiment, but can be variously modified without changing the gist of the invention. For example, in the above-described embodiment, each processing of the security amount setting processing 31, the mark-to-market / clearing processing 32, and the automatic setting of the security rate S38 is realized by a single hardware or software.
It may be realized by separate hardware or software.

The specific figures such as the security deposit ratio are not limited to the above-described embodiment. Further, in the above embodiment, the washing process (step S58).
Was sent to the stock borrower and the lender by sending an invoice, a payment notice, etc., but is not limited to this.

For example, as shown in FIG. 1, this system is connected to a banking system 63 (a system that can perform deposit / withdrawal processing such as transfer between accounts online). Then, in step S64 in FIG. 3, the processing for obtaining the excess or deficiency of the security money may be automatically performed through the banking system 63.

[0063]

According to the configuration described above, the security rate can be determined based on the transaction type, ranking, and the like, and the appropriate security amount can be calculated. And
Even if an excess or deficiency occurs in the collateral amount, this can be automatically processed.

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

Further, in the present invention, in the mark-to-market change processing of the security amount, the upper limit allowable security amount and the lower limit allowable security amount are set, and the replacement processing is performed only when the current inserted security amount exceeds these. I have to. For this reason, there is an effect that the addition of a system is reduced, and the price washing process can be performed at high speed even when managing a large amount of transactions.

[Brief description of the 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 lending transaction.

FIG. 3 is a flowchart showing a main processing flow of the system.

FIG. 4 is a flowchart showing a collateral rate setting flow of the system.

[Explanation of symbols]

 8 Input Unit, 10 Processing Unit 11 Data Storage Unit 18 Transaction Type Judgment Unit 19 Collateral Ratio Setting Unit 20 Collateral Amount Setting Unit 21 Transaction Data Recording Unit 22 Collateral Amount Reprocessing Unit

Claims (5)

[Claims] 1. A stock lending transaction management system for managing a stock lending transaction, comprising: a transaction type judging unit for judging a transaction type from input transaction conditions; and a transaction type judging unit included in the transaction conditions based on the transaction type. A collateral amount setting unit that sets the collateral ratio of the share certificate to be set and sets the collateral amount based on the collateral amount, and the collateral amount that performs the mark-to-market / rewrite (collateral transfer calculation) of the collateral amount in accordance with the change in the stock price A stock lending and loan transaction management system, comprising: a replenishment processing unit. 2. The stock borrowing and lending transaction management system according to claim 1, wherein for each of the transaction types, a security money rate setting unit that calculates a security money rate based on security information including security ranking, Means for updating the security deposit ratio based on the fluctuation. 3. The stock loan transaction management system according to claim 1, wherein the mark-to-market replacement means calculates a necessary security amount from the stock price information, and calculates an upper limit allowable amount and a lower limit allowable amount based on the calculated security amount. A system in which a renewal process is performed only when the current collateral amount deviates from this range. 4. A storage medium storing a program including a procedure for causing a computer system to manage a stock borrowing / borrowing transaction, comprising: a step of determining a transaction type based on input transaction conditions; A program for setting a security rate of a stock certificate included in the transaction condition and setting a security amount based on the security rate. 5. A storage medium which stores a program including a procedure for causing a computer system to manage a stock borrowing / borrowing transaction, the procedure comprising storing a security rate and a security amount of a stock certificate, and receiving information on a change in the stock price. Calculating the required amount of collateral from this and the collateral rate, and calculating the upper and lower permissible amounts based on the calculated amount; and the current collateral amount is the range of the upper and lower permissible amounts. A storage medium storing a program including a procedure for performing a collateral amount renewal process only when the amount deviates.