Toward Further Development of
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1 Toward Further Development of the Tokyo Financial Market Issues on Repo Market Reform May 13, 21 Takehiro Sato Bank of Japan Chart 1 Amount Outstanding of Repos Gensaki transactions Gentan repos CY Source: Japan Securities Dealers Association. 1
2 Chart 2 Amount Outstanding in the Money Market Transactions with the Bank's operations CD/CP, CD/CP repos Currency swaps Repos Call (collateralized/uncollateralized) Jul.8 Jul.9 Jul.1 Jul.11 Jul.12 Jul.13 Jul.14 Note: Cash borrowing side. Source: Bank of Japan 2 Chart 3 Discussions by the G2 and the FSB Nov. 21 Nov. 211 Aug. 213 Oct. 214 Nov. 214 The G2 asked the FSB to develop recommendations to strengthen the oversight and regulation of the shadow banking system (Seoul summit). The G2 acknowledged the FSB report "Shadow Banking: Strengthening Oversight and Regulation," and consideration was begun on strengthened regulation of shadow banking (Cannes summit). The FSB published the report "Policy Framework for Addressing Shadow Banking Risks in Securities Lending and Repos," and regulation was finalized for securities lending and repos, excluding the regulatory framework for haircuts. The FSB published the report "Regulatory Framework for Haircuts on Non-Centrally Cleared Securities Financing Transactions," and the regulatory framework for haircuts was finalized, excluding some portions. The FSB published the report "Standards and Processes for Global Securities Financing Data Collection and Aggregation." 3
3 Chart 4 The FSB's Main Policy Recommendations Recommendation Data collection Qualitative standards for methodologies to calculate haircuts Numerical haircuts floors Regulations on re-hypothecation of client assets Summary Authorities should collect data on the amount of repo and securities lending transactions and on other items at the national/regional level and at the global level to improve transparency. Authorities should set qualitative standards that must be satisfied by the methodologies used to calculate haircuts on non-centrally cleared repo and securities lending transactions. For non-centrally cleared repo and securities lending transactions in which banks provide financing to non-banks, authorities should introduce the framework of numerical floors for haircuts by type of collateral, excluding government bonds. Authorities should regulate re-hypothecation activity, in which client assets deposited for a certain period as part of repo and securities lending transactions are reused by financial intermediaries in other transactions. 4 Chart Numerical Haircut Floors Residual maturity of collateral Corporate and other issuers Securitized products Main index equities Other assets within the scope of the framework 1year debt securities, and FRNs > 1year, years debt securities > years, 1years debt securities.% 1.% 1.% 4.% 3.% 6.% 6.% 1.% 1years debt securities 4.% 7.%
4 Share of Amount Outstanding of Repos by Type of Collateral Bond Chart 6 % 1 Corporate bonds and others Floating-rate government bonds Inflation-indexed government bonds Fixed-rate coupon-bearing bonds and T-Bills 9 8 Jul.1 Jul.12 Jul.13 Jul.14 Jul.1 Jul.12 Jul.13 Jul.14 GC repos SC repos Note: Bond lending side. Source: Bank of Japan. 6 Chart 7 Implementation of Haircuts 3% % 11% Implemented Partially implemented Not implemented Others 81% Note: Excludes respondents who do not engage in repos. The data are as of July 214. Source: Bank of Japan. 7
5 Chart 8 Amount Outstanding of Overnight Transactions in the GC Repo Market by Starting Date 4 T+3 and over T+2 (S/N) % T+1 (T/N) T+ (O/N) T+ (O/N) ratio (right-hand scale) Jul.8 Jul.9 Jul.1 Jul.11 Jul.12 Jul.13 Jul.14 Note: Cash borrowing side. Source: Bank of Japan. 8 Chart 9 Amount Outstanding of Overnight Transactions in the Call and GC Repo Markets by Sector Others Tanshi companies Trust banks Securities companies City banks Others Tanshi companies Trust banks Securities companies City banks Call (O/N) Cash borrowing side GC repos (T/N) 9. Call (O/N) Cash lending side GC repos (T/N) Note: Among call transactions, the figures for uncollateralized call transactions include direct dealing transactions. The data are as of July 214. Source: Bank of Japan. 9
6 Share of Amount Outstanding of Repos by Type of Contract 3% Chart 1 Gentan repo 3% 9% Kyu-gensaki Shin-gensaki (without substitution) Shin-gensaki (with substitution) 8% Note: Total of cash borrowing and lending. The data are as of July 214. Source: Bank of Japan. 1
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