The historical review of A-share securities lending business

It started since June, 2019
START Market opened, T0 strategies got approved by regulators

The guideline of mutual funds participating in securities lending transaction for refinancing business came out.

The amount of A-share securities lending is less than 10 billion yuan

It entered into a high growth stage since Feb,2020

Mutual funds completed patch lending system upgrade, Securities principle trading team traded ETFs by themselves, which have enriched the hedging tools for quant private funds

Profit return from newly listed stocks buying led to more declining of cost of stocks lending

The amount of A-share securities lending quickly increased into 140 billion yuan

Year2021, after era of prevalence of newly listed stock buying strategies

After the profit return from newly listed stocks buying fell, whether some other arbitrage strategies can continue to enlarge the securities lending amount?

As of end of Oct, the securities lending amount is 150 billion yuan.

The direction which private funds strategies moving on

According to statistics, as of end of Oct,2021, the AUM of private funds reached to 6 trillion yuan, among them, stock long only strategies accounting for about 65%, while stock long short strategies (including market neutral strategies) account for only 5%, which is less than 40% of which in oversea market

Strategies brief analysis:

Market neutral strategies accounting for more than 60% of stock long short strategies, quant stock long short strategies and fundamental stock long short strategies are still in an embryonic stage in mainland China market and the AUM of which are still tiny.

Index enhancement strategies is about 600billion yuan currently, accounting for 10% of the total market (being included into stock long only strategies), this strategy has received lots of attention recently, within the securities lending tools further improving, this strategy has great development potentialities in the future.

For the unique strategies of stocks lending and newly listed stocks buying strategies in A-share market, the peak AUM of such strategies was about 80 billion RMB, accounting for about 1% of the total market. But due to the new rule of bidding price released in September, the return of such strategies had fallen significantly recently and the AUM for the strategies are also falling. Block Trade Arbitrage Strategy(Buy stocks with block trade and sell with stocks lending), current AUM is 20 billion yuan, accounting for about 0.25%.

This strategy is expanding with the lenders are developing.

If insurance companies can participant in securities lending transactions for refinancing in the future and A-share market can achieve the fully implementation of registration system reform, the cost for securities lending will further decline, the securities lending resource will be more abundant, benefiting to stocks long short strategy.

私募策略发展方向

据统计，截至2021年10月底，私募投资基金存量规模达到6万亿元，其中股票多头策略规模占比约65%，而股票多空策略（含市场中性）规模占比仅约为5%，其规模占比不到境外市场4成

策略简析：

市场中性策略占多空策略规模60%以上，量化多空与基本面多空策略在境内市场的发展仍处于萌芽阶段，规模较小；指数增强策略目前规模约6000亿元，占全市场规模约10%（包含在股票多头），该策略在境内市场近期备受关注，随着融券工具的进一步完善，该策略未来发展潜力巨大

A股独有策略融券打新策略，峰值规模约800亿，占全市场规模约1%，然而受9月出台的报价新规影响，该策略收益率近期下滑明显，规模不断萎缩；大宗套利策略(大宗交易买入股票同时融券卖出)，目前200亿元，占全市场规模约0.25%，该策略规模随着出借人的不断开发，正在持续扩大。

转融通未来如果保险资金参与转融通证券出借以及A股实现全面注册改革制，融券成本有望进一步降低，券源将更加丰富，因此对多空策略的发展将更有利。

融券市场政策机会与未来发展方向

1. 全面注册制下的市场化转融券约定申报交易

作为A股全面注册制配套政策，沪深主板证券有望迎来市场化转融券约定申报，引入市场化费率，期限约定机制，并降低保证金比例及主板转融券约定申报费率差；该政策如果出台则会进一步加速融券市场化进度、降低投资机构业务成本、提升交易效率

2. 保险资金参与转融通证券出借交易

尽管证监会已批准保险机构参与出借，但由于银保监会暂未出具任何业务指导意见，目前市场上几乎没有任何保险资金参与出借；全市场保险资金对股票和证券类基金的投资约2.8万亿元，该资金长期持有成分股且调仓频率较低，具备良好出借条件，有望未来1-2年参与出借

3. 北交所上市证券标纳入转融通出街与两融范围

目前北交所上市证券暂未被纳入融资融券、转融通标的范围；受政策支持，未来北交所发展潜力巨大，后续北交所上市证券如被纳入两融范围将进一步丰富券池，为投资者策略的实施提供更广泛的选择

4. 证券公司自营参与融券交易

目前政策规定券商自营不能在自己公司开设信用账户。由于证券公司在券源丰富程度、价格等方面的客观优势，监管如果放开证券公司参与融券交易方面的限制将成为机构投资者提供更加多元化的融券手段

5. ETF纳入转融通标的

目前转融通规则中，ETF并不属于转融通标的，但属于融券标的，即“可卖不可借”，大大限制了ETF券源的数量。未来ETF纳入转融通标的后，预计将大大提升ETF券源供给，提高相关策略潜在规模、预期收益