Pledge style repo is that both parties of the transaction take bonds asPledge of rightsShort term conductedFinancingBusiness.
Under pledgeRepurchase transactionMiddle, fund recipient（Repurchase party）(ontrading system "Financing" *) is displayed in the entrustment of（Reverse repurchase party）(Entrusted display of "financed securities" in the trading system *) At the same time of financing, both parties agreed that at a certain date in the futurePositive repurchasedirectionReverse repurchaseParty B returns the principal and as agreedRepurchase rateThe calculated interest is that the reverse repo returns pledged bonds to the positive repo party.
In the process of pledge repo, the ownership does not transfer, and the bond is generallyThird party custodyThe institution freezes the trusteeship and unfreezes it when it expires.
The nature of the business is completely different and should not be confused.
*Treasury bond repurchase business"Financing" refers to:Positive repurchase。That is, to exchange bonds for capital and obtain financing with bond collateral.Generally, it is required to operate at the securities dealers' counters, and retail investors are not allowed to buy back.
*In the treasury bond repurchase business, "securities lending" refers to:Reverse repurchase。That is to say, exchange capital for bonds to obtain mortgaged bonds (the bonds do not belong toReverse repurchase partyAssets, representing onlyRepurchase partyMortgage voucher, no other operations are allowed).It can be operated in the "sell" channel of securities entrustment in trading software and telephone.
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1. ExistingShanghai SecuritiesThe account can trade new pledge repo.But it has already done repurchase registrationSecurities account, cannot participate in the new pledge style repo transaction before canceling the repo registration.That is, securities accounts not registered for repurchase can participate in new pledgeRepurchase transaction。Shenzhen is the existing Shenzhen securities account.
2. Since May 8, 2006, Shanghai Stock Exchangetrading system No longer accept the declaration of repurchase registration for the securities account, but accept the declaration of repurchase cancellation.
3. All listed treasury bonds of SSE (including[1]newListed national debt, does not containCorporate bonds）Can be used as pledged bonds after warehousing declaration, and the pledged bonds will be converted intoStandard couponIt is used for new pledge style repo transaction (code 204XXX).
In addition to pledge type treasury bond repo ("R-XXX" for short), Shenzhen also supports corporate bond repo transactions ("RC-XXX" for short).
The Shenzhen Clearing Company calculates the total amount of the repurchase financing limit of investors by taking the securities company as the unit, and the standard bonds between different accounts can be used in tandem.
5. The issue/receipt declaration cannot be performed at the time of collective bidding.
6. ShanghaiT dayThe purchased treasury bonds can be declared and submitted as pledged bonds on T day, and can be used for repurchase financing on T day (i.ePositive repurchase）。
The treasury bonds purchased by Shenzhen on T day can be declared and submitted as pledged bonds on T day, and can be used for repurchase financing on T day（Immediate repurchase）(Refer to the Implementation Rules of Shenzhen Stock Exchange for Bond Trading (Revised in 2016)).
7. The pledged bonds in Shanghai pledge warehouse can be replaced in real time on the same day;Excess pledged bonds can be reported to be transferred back to the original securities account in real time, and spot bonds can be traded.
Shenzhen pledged bonds can be reported to be transferred back to the original securities account, but the transferred bonds cannot be traded on the same day.
8. Repurchasedue date，Financing partyIt is possible to carry out newFinancing repurchaseTo realize rolling financing;On the maturity date of Shanghai repo, the financing party can declare to transfer the relevant pledged bonds back to the original securities account and sell them on the same day, and the funds sold can be used to repay the due purchase receipts.
9. The number of repo transactions declared in Shanghai must be an integral multiple of 100 lots (100000 funds), and the number of a single transaction must not exceed 10000 lots (10 million funds);The repurchase price is the annual rate of return per 100 yuan of funds due, and the minimum change unit is 0.005 yuan.
The reported quantity of Shenzhen repo transaction must be an integral multiple of one order (1000 yuan);The repurchase price is the annual rate of return per 100 yuan of funds due, and the minimum change unit is 0.001 yuan.
*One hand=10 pieces, and one bond=100 yuan.stayReverse repurchaseDuring operation, use the "sell" channel of securities trading to declareQuantity unitZhang.
*Calculation method of annual yield per 100 yuan of capital maturity:present price=Interest rate, reverse repo reporting price=self set interest rate.
(Note: The annual interest accrual days of pledge style repo in Shanghai and Shenzhen are365 days。Shanghai changed 360 days to 365 days in the bond pledge repo rules implemented on May 22, 2017.)
(The following current interest is called "interest", and the repo yield of treasury bonds is called "treasury bond interest")
For example, if you buy the 7-day treasury bonds to buy back 204007 on T day, the funds will return to the account seven calendar days later, that is, T+7 days later.
The interest of national debt is recorded on T day - T+6 day.There are 7 natural days in total.(In case of long holiday funds, only 7 natural days' bond interest will be recorded *)
*Since this business is very easy to involve the current interest on the balance of the capital accountInterest calculationThe method is as follows:
Situation ①: If the fund for purchasing 204007 on T day is "available fund", that is, the fund that can be transferred to the bank on that day, then there is interest on T day.
The fund received on T+7 is“Available funds”That is, the funds that cannot be transferred to the bank on the current day will have no interest.
On the other hand, the funds for purchasing 204007 on T day are "available funds", that is, the funds obtained through other securities transactions that cannot be transferred to the bank on the same day but can continue to participate in transactions, then no interest will be charged on T day.
The funds received on T+7 are "available funds" and still have no interest.
Situation ②: In case of a long holiday orholiday and vacationsWhen.Since the example product is the 7-day treasury bond repurchase, take the 9-day long holiday as an example.
For the purchase of 204007 on T day, the interest accrual of "available" and "available" funds on T day is the same as that of ①, without repetition.
Trading stopped on T+7 due to the 9 day long holiday.If the funds cannot be received on time, no interest will be charged during the long vacation.
First after long vacationTrading dayThe fund received is "available fund", and the interest accrual is the same as ①, not the same.
Situation ③: premise: there is no long holiday on normal trading days, and the funds for operating treasury bond repurchase on Thursday are "available funds".
Take 204001 (1-day treasury bond repurchase) as an example:
Buy 204001 on Thursday, because interest will be recorded if the current day is "available capital".National debt interest recorded on the day.
On the day of T+1, i.e. Friday, if the funds received are "available funds", no interest will be charged.At the same time, since the settlement of securities trading is the T+1 day after the funds arrive in the account and the funds are available, that is, the next Monday (here, T day is the Friday fund arrival day), the interest will not be charged on Saturday and Sunday.
Similarly, on T+1 (Friday) (where T is the trading day on Thursday), 204001 will be bought again, and no interest will be charged on Saturday and Sunday.
Situation ④: premise: there is no long holiday on normal trading days, and the funds for operating treasury bond repurchase on Friday are "available funds".
Take 204001 (1-day treasury bond repurchase) as an example:
Buy 204001 on Friday, because interest will be recorded if the current day is "available capital".National debt interest recorded on the day.Since the transaction settlement is on T+1 day (next Monday), the interest will be paid on Saturday and Sunday.
On the day of T+1, i.e. Monday, if the funds received are "available funds", no interest will be charged.
11. Shanghai investors who have submitted pledged bonds shall notDesignated transactionChange.
12. The settlement system will process the inbound and outbound orders declared by investors through the trading system at the end of T day.That is to say, whether or not the issue/receipt application with a successful intraday return of the trading system can be successfully transferred out or transferred into the pledge library will be determined after the day end processing of the settlement system.If the intraday receipt/issue is successful, the settlement system may not succeed in day end processing.
13. The transfer out quantity during issue is in yuan, but must be an integer multiple of 1000.The excess will be rounded off.If based onStandard couponThe balance can be transferred out by 1900 yuan, but only 1000 yuan can be transferred out due to rounding off.The results of delivery declaration can be partial success or partial failure.
14. The interest paid during the pledge period of treasury bonds is directly distributed to investors.For redemption during the pledge period, on the day of processing, the system first checks whether there is any pledged securities account involved in the redemption of national debtOut of stock。If there is no shortage, the balance of standard bonds will be used to cash the national debtConversion rate of standard bondsCalculate the quantity of redeemable national bonds and make redemption and transfer, and the transfer of redeemable national bonds is prior to that of non redeemable national bonds.If there is any shortage, all will not be cashed temporarily.The system will retain the treasury bond exchange payment of the securities account in the form of exchange payment right in the pledge library, andConversion ratecalculationStandard couponUntil the treasury bond redemption right is cashed
*Note: The nature of business is completely different and should not be confused.
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Standard coupon
The so-called standard coupon refers torepurchase transaction of bondsMedium, bystock exchangeorInterbank borrowingAccording to the stock of bonds in the securities account of the bond repo financier, the Center calculates the standardized bonds for repo mortgage according to different types of bonds and their respective conversion ratios.It can be seen that the standard bond is a kind of virtual repurchase comprehensive bond, which is converted and added by various bonds according to a certain conversion rate.It can also be said that standard bonds are formed by converting different types of bonds at corresponding conversion rates to determine the availabilityRepurchase transactionThe amount of financing.
Bond repurchase standard
The establishment of standard bonds simplifies the setting of repo varieties and overcomes the original setting of different repo terms according to specific types of securitiesRepurchase transactionThe various limitations brought by varieties have realized the standardization of bond repurchase varieties, that is, the establishment of bond repurchase standard varieties has facilitated the development of repurchase transactions.
Standard variety
The so-called standard variety refers to the standardization of securities holding at face value, regardless of the type of securities, only depending on the repurchase periodrepurchase transaction of bondsvarieties.China's Shanghai and Shenzhen SecuritiesexchangeWhen the bond repo business was just launched, the setting of its varieties was non-standard.At that time, both exchanges were set according to different repurchase periods for specific types of securitiesRepurchase transactionOf a variety.Judging from the situation at that time, because our countryTreasury bond marketSingle variety, in terms of quantity andterm structure It is far from the WestDeveloped marketsTherefore, it is still operable to start repurchase for specific securities.However, as China's national debtPrimary marketThe expansion, variety enrichment and the reform of the issuance system will inevitably lead to a situation of concentrated trading and investment of a few types of securities while some types of securities are left out.and,Securities financingThe inventory of a specific type of securities used as collateral by Party A is limited, which also directly limits the development of repurchase transactions and repurchasevolumeExpansion of.For this reason, Shanghai Stock Exchange and Shenzhen Stock Exchange respectively cancelled the original method of setting up repurchase varieties according to the types of securities and repurchase periods in September 1994 and July 1995, and set up standardized treasury bond repurchase standard varieties that do not divide the types of securities, only divide the repurchase periods, and uniformly calculate the securities holdings according to the face value.The Shanghai and Shenzhen Stock Exchanges set up a separate standard bond library for corporate bond repo, which is different from the currentStandard bonds for treasury bond repurchaseLibrary parallelism.
Regulations of Shanghai
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According to《Shanghai Stock ExchangeDetailed Rules for the Implementation of Bond Trading, Shanghai Stock Exchange launched a new pledge mode on May 8, 2006Treasury bond repurchase transactionvarieties.The new pledge repo is parallel to the original pledge repo, but the two varieties areSecurities codeAnd securities account are isolated from each other.The biggest difference between new and old repurchases is that new repurchases are traded according to securities accounts andStandard couponAccounting and realizing the transfer and possession of pledged bonds.One year after the new and old repurchases were carried out in parallel, Shanghai Stock Exchange decided to start from June 8, 2007Old government bondsPledge style repo and new repo run in parallel.This means that the pledge style repo of old treasury bonds has been completed after 14 yearsHistorical mission, Exitcapital marketstage.The repurchase of new pledged treasury bonds is divided into 9 types, namely, 1 day, 2 days, 3 days, 4 days, 7 days, 14 days, 28 days, 91 days, and 182 days.
Shenzhen Regulations
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Shenzhen Stock ExchangeThere are 11 types of bond pledge repo with codes of R-001, R-002, R-003, R-004, R-007, R-014, R-028, R-063, R-091, R182 and R-273, which are one day, two days, three days, four days, seven days, 14 days, 28 days, 63 days, 91 days, and 182 days, 273 days, respectively, under the standard bond system;There are four types of pledged corporate bond repo with standard bond system: one day, two days, three days and seven days, and the codes are R-001, R-002, R-003 and R-007 respectively.
Regulations of Shenzhen Stock Exchange,repurchase transaction of bondsOfApplicantIs, and there is one 100 yuan standard coupon, and the minimum quotation change is 0.01 yuan or its integer multiple;The number of declarations is 10 and its integer multiple, and single declarationMaximum quantityIt should not exceed 100000.Other regulations andShanghai Stock Exchangesimilar.[2]
