80 The market value of the fund is refinanced to short and make profits? Fund managers say it s all

Mondo Finance Updated on 2024-02-03

On February 2, ** was in the midst of a downturn, and a series of rumors to vent emotions were flying all over the sky. A big V posted on Weibo that through the **annual report, it was found that 80% of the market value of ** positions was refinanced and shorted to earn high interest for profit, and some people said that behind the fermentation of the WuXi AppTec incident was caused by the refinancing and lending of a medical ETF.

In addition, a report letter about "a huge amount of quantitative funds on the CSI 300 ETF false declaration, a huge amount of fast pending orders and other operations, disrupting the market order" also attracted attention.

A number of industry insiders said that the above news is a rumor. There is a quantitative** manager who said: "A look is fake. ”

A number of industry insiders clarified.

On February 2, an article on "**refinancing lending and shorting" swiped the screen. A big V issued a document saying that at least 80% of the market value of ** positions is refinanced and lent short to earn high interest for profit, which is not included in the net value.

In this regard, the reporter asked a number of industry insiders to verify that the news was untrue, which can be described as very "outrageous".

A public offering quantitative manager said that, first of all, from the starting point of public offering ** to participate in refinancing lending, the only purpose is to thicken the income of holders, and the lending income is all included in **assets, not **company income. At present, only closed-end **, index ** and strategic placement ** can be refinanced, and at the same time, the supervision has strict requirements on the average daily scale, single bond lending ratio, lending asset ratio, lending period, etc.

Secondly, from the perspective of the overall impact of this business on the A** market, theoretically, the balance of securities borrowing and lending will have an impact on the market trend, rather than the total amount of securities lending. In the past few years, the balance of securities lending and borrowing in the whole market has fluctuated around 100 billion yuan for a long time, and has declined recently, as of February 1, the balance of securities lending and borrowing accounted for 011%, reaching a nearly three-year low.

***wind

Third, from the perspective of investors actually using securities sources to practice their investment strategies. At present, the downstream securities strategy is mainly based on T0, long and short, and hedging, all of which are long-short matching strategies, and the establishment of 1** short positions will be simultaneously established at the same time as 1** longs, which does not constitute the short selling power of the market.

Another public offering manager also said that the operation of public offering ** to participate in the refinancing ** lending business is very common in overseas markets, and the refinancing ** lending is only ** lending the constituent bonds to the brokerage through the securities company, and the brokerage may not all carry out securities lending to investors, even if all are converted into securities lending, then 730The market value of 2.2 billion yuan of refinancing** lending only accounts for 0% of the total market value of the current A-shares11%, with very limited impact on the market. In addition, a considerable number of investors participate in the securities lending business for the purpose of hedging long**, that is, the amount of securities borrowing and lending basically matches the amount of long**, rather than simply naked short selling, for example, market makers of some industry-themed ETFs, due to the lack of matching ** contracts, may choose to integrate a basket of constituent bonds for hedging. Finally, the original intention of the establishment of the securities lending business itself is to enhance the balance of buying and selling forces, improve the effectiveness and accuracy of pricing, correspondingly, the scale of the refinancing lending business is essentially determined by the supply and demand of the bottom **, if the market believes that a ** value is underestimated, then the demand for securities lending and selling will be very small, and the corresponding ** holding ** can not "borrow" out, for example, the constituent securities market research of the CSI 300 index is relatively sufficient, and the pricing is more effective. The difficulty of lending is greater than that of small and medium-cap indices, so the change in the balance of securities lending, including refinancing**, is more of a "consequence" than a "cause" of market performance.

In order to improve the capital market securities lending mechanism and standardize the behavior of public offering to participate in the refinancing lending business (hereinafter referred to as the lending business), the China Securities Regulatory Commission (CSRC) issued the Guidelines for Public Offering of **Investment** to Participate in the Refinancing ** Lending Business (Trial) (hereinafter referred to as the "Guidelines") stipulates that clear requirements are put forward for the participation of open-end ** index ** and related connection** in the lending business.

First, the lending of ** assets shall not exceed 30% of the ** net asset value;

Second, a single ETF lending business shall not exceed 30% of the total amount held; A single ** participating in the lending business of other open-end index** and ETF connection ** shall not exceed 50% of the total amount held**;

Third, the average daily ** net asset value in the last 6 months shall not be less than 200 million yuan;

Fourth, the average remaining term of the loan shall not exceed 30 days, and the average remaining term shall be calculated on the basis of a market capitalization weighted average.

Wind data shows that as of the end of 2023, a total of 335 ETFs have participated in the refinancing lending business in the public offering market, with a cumulative market value of nearly 80 billion yuan, including 264 ETFs, with a total market value of about 7302.2 billion yuan. In addition, the market value of the above-mentioned similar refinancing lending business accounts for less than 30% of the net asset value.

In terms of scale, the refinancing and lending business of large-scale broad-based ETFs such as CSI 500 ETF, ChinaAMC SSE Science and Technology Innovation Board 50 ETF, E Fund SSE Science and Technology Innovation Board 50 ETF, and ChinaAMC CSI 300 ETF is more than 2 billion yuan, but the proportion is relatively low compared with the net asset value.

As of the end of 2023, the market value of the refinancing** lending business of some public offering institutions.

Data**: wind

However, some people said that there is indeed a certain gray area in this business in the lending of securities, and some private equity sources said: "There are indeed certain loopholes, and there are many interests involved behind it, but it is not the short market as rumored." ”

False declaration of huge quantitative funds" is untrue.

In addition, on the evening of February 1, a report letter about "a huge amount of quantitative funds to the CSI 300 ETF false declaration, a huge amount of fast pending orders and other operations, disrupting the market order" became popular.

The screenshot shows that the content of the report letter said that for many days, unknown quantitative trading funds on broad-based ETFs such as E Fund 300 ETF took false declarations, huge fast spot orders and other abnormal violations and illegal behaviors that seriously disrupted the order of market operation. For example, in the continuous auction trading stage, there are a large number of pending orders and rapid cancellation of orders in the position of selling 1, selling 2 or selling 3 positions, and abnormal trading behaviors such as batch pending orders and cancellations are obviously automatic transactions for machines, and there will be many times in the vicinity of the price in one second when it is fast, for example, on January 31, the batch sell orders reached more than 50 orders of 1 million shares, and when the market price reaches the market, the orders will be moved in batches quickly, and the orders will be placed at a higher level.

In this regard, a number of interviewed index ** managers responded that the content of the report was untrue.

It is purely to vent emotions, there are too many negative emotions in the market now, and some people use these emotions to 'do things', and the batch sell orders described in the report letter are normal market maker behaviors, not unknown quantitative funds. A public offering quantitative manager in Beijing explained. The market maker system plays an important role in discovering and promoting market liquidity, and all brokers who carry out this business are recognized by the exchange. "Market makers are obliged to put enough orders in the position of selling one, selling two and selling three, if the IOPV (** share reference net value) has risen, the previous sell orders are low, and it is normal for market makers to cancel orders and re-list. The market maker itself is programmatic trading, and it is normal for a basket to be redeemed and 50 1 million shares. The content of the report is not professional. He said.

Another quant manager also said that the behavior described is the normal behavior of market makers adjusting their orders based on market fluctuations.

*: China ** Daily.

Editor: Xiaoya.

Related Pages