Post on 10-Jan-2016
description
11/15/2001
SECURITIES LENDINGPROGRAM
11/15/2001
BTC – BANCO DE TÍTULOS CBLCSECURITIES LENDING PROGRAM
• Legal Basis
• Main Characteristics
• Operational Procedures
• Risk Management
• Historical Data
• Next Steps
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LEGAL BASIS
• CMN- National Monetary Council (Resolution nº 2268 of April 10,1996)
• CVM – Securities Commission ( Ruling nº 249 of April11,1996)
• CBLC – Companhia Brasileira de Liquidação e Custódia ( Resolution nº 009 of April 22,1996)
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MAIN CHARACTERISTICS
• Settlement , registration and custodial entities are authorized to lend shares issued by publicly-held companies , subject to the CVM prior approval;
• All types of investors can participate as a lender or borrower in Securities Lending Program;
• The Custody Agent, lenders of the assets,must enter into an adhesion agreement with CBLC , whereby they expressly authorize the lending and transfer Assets to CBLC;
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MAIN CHARACTERISTICS
• The Custody Client, Lender of the assets, must enter into an agreement with his Custody Agent , whereby the former expressly authorizes the lending and transfer his Assets to CBLC;
• The Brokerage Firm and the Clearing Agent as a representative of a Borrower, must enter into an adhesion agreement with CBLC;
• The Eligible Assets ( stocks issued by publicly-held companies) must be deposited at CBLC´s Fungible Custody Services;
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MAIN CHARACTERISTICS
• Custody Clients and Custody Agents qualify as Asset Borrowers must be represented by a Brokerage Firm and under the responsibility of a Clearing Agent of CBLC;
• There´s no relationship between the borrowers and lenders ( CBLC assume the counterpart as a guarantor);
• Participants access the Securities Lending Program through CBLC´s Network
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MAIN CHARACTERISTICS• The original stock owner (Lender) is entitled to all
dividends, bonuses and subscription rights that may come to be declared by the company;
• The Borrower must deposit the required margin with CBLC , through the respective Clearing Agent
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MAIN CHARACTERISTICS• Use of Borrowed Assets:
– Sold on the cash market;
– Used to settle operations carried out on the cash market;
– Used as guarantee for operations carried out on futures markets;
– Used to cover call options;
– Used in any other way as may be established by CBLC.
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OPERATIONAL PROCEDURE• Through CBLC’s network the Participants ( Custodians
and Brokerage Firms) have the access to BTC;• In BTC the Participants can:
– Entry: Lenders and Borrowers’s offers– Closing against registered offers– Inquiry: registered closings,borrowers interested, securities
available for lending,etc.
• The Participants and Investor can also access information related the Securities Lending Program of CBLC through Bloomberg.
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BTC
Entry: OffersLenders
Borrowers
Inquiry: OffersLenders
Borrowers
Deletion: OffersLenders
Borrowers
Closing againstRegistered
Offer
Lender
CustodyAgent
Borrower
BrokerageFirm
ClearingAgent
CBLC’S NETWORK
BrokerageFirm
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RISK MANAGEMENT• Limits of Position
– Investor– Clearing Member– Whole Market
Limits are disclosed by CBLC’s website ( www.cblc.com.br)
Margin Calculation– By Investor– System employed CM-TIMS ( OCC)
• Measurement Risk in stress scenario– By Clearing Agent– System employed RiskWatch( Algorithimcs)
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RISK MANAGEMENT• Deposit of Guarantee
– Through The CBLC’s Guarantee System;– Collateral accepted
• Letters of Credit ( domestic and international);
• Brazilian Federal Public Instruments;
• Shares ( the most liquid);
• Gold certificates;
• CD’s; and
• International assets*
* CBLC has accounts in DTCC , EUROCLEAR and CLEARSTREAM
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M
E
T
O
D
O
L
O
G
Y
PORTFOLIOS
HIERARCHY
CONSOLIDATION
RULES
MODELS
Positions
CASH
OPTION
FORWARD
BTC
Prices
Curves
Volatil.
Parâmeters
Market data
Scenarios
RISK MANAGEMENT
ANALYSIS OF RISKS
REPORTS
BACK TESTING
FUTURE
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RISK MANAGEMENT
CASH
DERIVATIVES BTC
CM-TIMSMARGINING
COLLATERALSYSTEM
RISKWATCHSETTLE. FUND
SYSTEM DEVELOPED BYOCC- THE OPTIONS CLEARING
CORPORATION
SYSTEM DEVELOPED BY CBLC
SYSTEM DEVELOPED BY ALGORITHMICS INC
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HISTORICAL DATANUMBER OF PUBLICLY-HELD COMPANIES IN BTC - ANNUAL
1222
5257
74 78
0102030405060708090
1996 1997 1998 1999 2000 2001** = until 10/19/2001
NUMBER OF PARTICIPANTS( CUSTODIANTS AN BROKERAGE FIRMS) IN BTC - ANNUAL
2126
37 33
53
65
010203040506070
1996 1997 1998 1999 2000 2001*
* = until 10/19/2001
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HISTORICAL DATA
VOLUME OF REGISTRED CONTRACTS IN BTC(in million)
-
1.000,00
2.000,00
3.000,00
4.000,00
5.000,00
6.000,00
1996 1997 1998 1999 2000 2001*
R$ (million) US$ (million) * = until 10/19/2001
NUMBER OF CONTRACTS REGISTRED IN BTC
66 341983
1.4602.530
9.400
-
2.000
4.000
6.000
8.000
10.000
1996 1997 1998 1999 2000 2001** =until 10/19/2001
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NEXT STEPS• The Securities Lending Program ( BTC) will be
extended to:– Private Bonds ( Debenture,Commercial Papers,etc)– Public Bonds ( Brazilian Government Bonds);
• The settlement system will be automatically linked to BTC– In case of default in settlement process CBLC will
registered automatically, a securities lending position in the name of the defaulter.
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NEXT STEPS• The new version of BTC will be launched
in December/2001 with:– a new platform;– access through CBLC’s intranet;– new operational facilities
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