Refinancing Securities Lending Business
On June 21, 2019, the Securities Regulatory Commission issued the Guidelines on Public Offered Securities Investment Funds Participating in Refinancing Securities Lending Business, which regulates the behavior of public offered funds participating in refinancing securities lending business.
At present, the development of margin trading business is unbalanced. In 2018, the margin trading volume of the market was 190.2 billion yuan, accounting for only 2% of the total margin trading volume and 0.2% of the total market trading volume. As an important part of the margin trading business, refinancing Securities Lending accounted for less than 1/4, and failed to play a corresponding role.
The supply of securities and the possible reduction of margin rate brought about by the development of refinancing will expand the trading space of reverse arbitrage in the case of negative spread of stock index futures, and it is expected that it will have a certain convergence and promotion effect on negative spread of stock index futures.
Basis repair
Since 2016, the basis of stock index futures has gradually increased from discount to premium convergence. SSE50 converged at the end of 2016. CSI300 converged in 2017, and CSI500 is still in a relatively discount.
From the perspective of market trading, the long-term substitution of index funds and the reverse arbitrage of arbitrage investors are two important driving factors for the long-term convergence of stock index futures basis.
Refinancing Securities Lending assists basis repair
There are two conditions for the reverse arbitrage of stock index futures: the interest rate and the margin of the stock index futures. Because of the large discount of the basis, the end of the interest rate of the stock index futures does not restrict the arbitrage; the insufficient securities source is the main reason for the blockage of the reverse arbitrage trading path and the long-term existence of the negative basis of the stock index futures.
The Lending Guidelines stipulate that the linked funds of index funds can also participate in the refinancing business. The main investment object of the linked funds is the corresponding index ETF. The linked funds are expected to become one of the main investors of the index ETF. Compared with the current balance of securities trading, the size of securities trading provided by the linked fund is significantly ahead. For the reverse arbitrage investors of stock index futures, more securities mean more trading opportunities, which further promotes the repair of negative basis of stock index futures.
Following last week's approval of eligibility to participate in securities lending business, Harvest Fund Company, one of the leading enterprises in the domestic public securities investment fund industry, formally participated in and launched securities lending business on July 22, that is, yesterday.
According to publicly disclosed information, there were five index funds under Harvest Fund that completed the stock lending yesterday.
However, when consulting employees within the fund for detailed lists and quantities of shares lent, they refused to provide detailed lending information on the grounds of confidentiality.
Therefore, it is not known which and how many stocks are currently lent by Harvest Fund Company and used by investors who are trading securities to sell them. However, according to the fact that only five index funds have lent stocks, it can be concluded that they are the constituent stocks of the broad-based index funds such as the SSE50 index, the CSI300 index, the CSI500 index and so on.
转融通证券出借业务
2019年6月21日证监会发布《公开募集证券投资基金参与转融通证券出借业务指引》,规范公募基金参与转融通证券出借业务的行为。
目前融资融券业务发展不均衡,2018年两市融券交易额1902亿元,仅占两融交易额2%,占全市场交易额0.2%;转融通作为融券业务的重要组成部分占比不足1/4,未能发挥相应作用。
转融通业务发展带来的券源供给以及可能的融券利率下调,将使得股指期货负基差情况下反向套利的交易空间扩大,预期将对股指期货负基差产生一定的收敛推动作用。
基差修复双轮驱动
2016年以来,股指期货基差逐步由深度贴水向升水收敛,其中IH即上证50股指期货约在2016年底收敛,IF即沪深300股指期货约在2017年中收敛,IC即中证500股指期货目前仍处于较深的贴水区间。
从市场交易角度出发,指数基金的多头替代以及套利投资者的反向套利是股指期货基差长期收敛的两个重要驱动因素。
转融通助力基差修复
股指期货反向套利存在两大条件:融券利率以及融券额度,由于基差贴水较多,因此融券利率端并不对套利构成制约;券源不足是导致反向套利交易路径堵塞,股指期货负基差长期存在的主要因素。
《出借指引》规定指数基金的联接基金亦可参与转融通业务,联接基金主要投资对象为对应指数ETF,联接基金有望成为指数ETF的主要融出方之一。相比目前的融券余额,联接基金能够提供的融券规模大幅领先。对于股指期货的反向套利投资者来说,更多的券源意味着更多的交易机会,由此进一步推动股指期货负基差的修复。
继上周获批参与转融通证券出借业务资格后,作为国内公募证券投资基金行业龙头企业之一的嘉实基金公司,已经于7月22日也就是昨天正式参与并开展了转融通证券出借业务。
据公开披露信息证实,昨天嘉实基金旗下共有5只指数基金完成了“转融通”也就是出借股票交易。
但是向基金内部员工咨询具体出借股票的明细清单和数量规模时,他们都以保密为由,拒绝提供详细的出借资料。
因此,目前有哪些股票和多少数量的股票被嘉实基金公司借出并被融券的投资者用于卖出尚不得而知。但依据只有5只指数基金出借了股票的情况说明,可以断定是在上证50指数、沪深300指数、中证500指数等等这些宽基指数基金里的成分股。