CBLO and its impact on other Money Market Segments

Golaka C Nath & R Natarajan

*
Abstract
Collateralized Borrowing and Lending Obligations, more popularly known as CBLO, has
been taking the center stage in financial markets in recent months. CBLO has been a
innovative product that provides tremendous flexibility to the user which a Repo does not
provide. During the initial period of its launching, the volume in CBLO market was
negligible as it was a new product. Any new product takes time to integrate with
comparable products in the market. However as the time progressed, market participants
realized the utility of the product and the restrictions imposed in call market for non-bank
participants helped this market to grow. The CBLO, an infant in the financial world,
stands on its own in this market, and the statistics display a calibrated integration of
CBLO market with other markets due to its advantages like CRR exemption, SLR status
for the securities remaining unencumbered in the gilt accounts of the bank maintained
with the CCIL under the Constituents' Subsidiary General Ledger (CSGL) facility, lower
risk weight etc.
The statistical results presented in the paper have shown that introduction of CBLO is a
significant event in Indian financial market and it has a clear relationship with other
forms of the short term market. It has absorbed the liquidity mismatch arisen out of call
market restrictions imposed by RBI.
*
Shri Nath is Advisor, Eco. Research & Surveillance Dept. CCIL and Shri Natarajan is Manager, CBLO
Settlement, CCIL, Mumbai.
2
2
Introduction:
Collateralized Borrowing and Lending Obligations, more popularly known as CBLO, has
been taking the center stage in financial markets in recent months. The innovative
product developed by CCIL facilitates anonymous order matching system for efficient
price discovery. It has taken a huge leap forward since its launch on Jan 20, 2003. Initial
low volumes in the segment is a thing of the past and now it clocks about Rs.30000
million per day with record volume of Rs.45470 million on September 14, 2004. The
product is revolutionary in nature as it provided much needed flexibility to trade in a
Repo type of contract with guaranteed settlement. CBLOs have been designed not only to
provide an additional short term market for liquidity but also to provide an alternative to
market participants who have been moving out of call market due to restrictions by RBI.
There are 70 entities that include banks, primary dealers, mutual funds, insurance
companies, financial institutions and co-operative banks that have been regularly trading
in the product. CBLO is also likely to take care of the needs of corporates in managing
their short term liquidity.
CBLO has been attracting market participants in recent months as restrictions have been
progressively introduced in the overnight call market. Effective from June 26, 2004, the
exposure to call market by non-bank entities has been pared down to 45% of their
average call market lending in the year 2000-01. Prudential limits were imposed on
borrowing/lending by banks and primary dealers in the call money market. With the RBI
moving closer to its ultimate goal of making the call market a pure inter bank market with
only exception being PDs, it would be imperative for market participants to move to
other alternative markets for managing their short term liquidity. The aftermath of call
market restrictions is also prominent in Repo market wherein the average daily volume
has surged from Rs.28000millions to Rs.48000millions during this period. However, the
CBLO, as a product has an edge over the Repo as it overcomes the restrictions in the
traditional Repo. Unlike the Repo, the CBLO allows an exit route for the borrowers and
lenders during the contract period.
3
3
The present article tries to study the impact of CBLO market on other comparable
markets like call market and Repo markets. Chart-1 gives the business growth of CBLO
segment of CCIL since its inception.
Business Growth in CBLOsegment (January 03 to July 04)
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CBLO
Data
The study covers the period from January 20, 2003 to July 31, 2004. For the period, we
have used the weekly volume data (Saturday to Friday) for CBLO, Call, Repo and LAF
markets. During the period, the LAF was modified by RBI (first 1-day Repo to 7-day and
14-day Repo in April 04 and reintroducing 1-day Repo). We have seen significant
increase in LAF window and on a daily basis about Rs.400000millions are deposited by
banks with RBI earning the guaranteed Repo rate on such deposits. Chart-2 gives the
volumes movement of various market segments during the period of our study.
Chart-2 Weekly Cumulative Volume
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Weekly Cummulative Volume (January 03 to July 04)
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C
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LAF
Call
Repo
CBLO
It is observed from the graph that call market weekly volume which remained over
Rs.600,000million till October 2003 has started tapering down slowly while CBLO and
Repo volumes have increased. Repo volumes have been surging steadily throughout the
study period indicating that a sizeable share of the reduction in call volume has spilled
over to Repo market. The CBLO market has witnessed heightened activity from January
2004 after the non-bank entities, especially the mutual funds, joined the segment. As
shown in the Chart-3, the CBLO market has achieved about 40% to 50% of the Repo
volumes in recent months, and the share is expected to increase with the participation of
all the market participants.
Chart-3 CBLO Repo Volume and Spread
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CBLO_Repo Volume_Spread
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CBLO
REPO
Spread
Chart-3 indicates the spread between CBLO and Repo rates during the initial months of
CBLO launching was above the neutral level but has been hovering around the zero level
in recent months. Logically the spread should be close to zero as both the market are
collateralized though CBLO provides more flexibility and hence rates in CBLO segment
should be lower than that of the Repo market. However, from January 2004, the spread
between the two markets has narrowed down signifying the fast integration of CBLO
market with other money market instruments.
It is observed from Chart-2 that RBI s Liquidity Adjustment Facility (LAF) which
peaked during the last week of July 2003 declined gradually till November 2003 and
thereafter reversed the position in a big way touching Rs.4,500,000 million during June
2004. The extension of tenor of the LAF to seven days from March 29, 2004 has not
deterred participants from parking funds in the window. LAF insulates the banks against
any southward interest rate risk when liquidity is high in the system thereby preventing
effective price discovery in the market and also shuts the door for the emergence short
term yield curve.
6
6
Methodology
The aim of the present paper is to study the impact of CBLO on other segments like Call,
Repo and LAF. The paper tries to find the relationship among various segments of the
market in terms of their trading volumes. We have used the weekly trading volumes as
well as their weekly changes to understand the relationship.
We have used all the log values of 4 variables as dependent as well as independent
variables to run the regressions. We have used the following equations to run the
regression analysis:
+ + + + =
3 3 2 2 1 1
* * * X X X Y
where Y can be log values of either CBLO or LAF or REPO or CALL weekly volumes
and depending on the sequence X
1
, X
2
and X3 would be LAF, REPO, CALL or CBLO
respectively.
We have made an event study to see if the introduction of this new product has any
impact in the overnight call or not. For this we have used a dummy variable that would
take the value of 1 after the introduction of CBLO and 0 before its introduction. For
this we have used the following equation where Call Volumes of week t is a function of
Call volumes of week t-1:
+ + + =
t t t
DUMMY Call Call * *
) 1 (
Results
We have studied the correlation of the segments and find that the correlations of these
market segments are significant at 1% level indicating strong relationship among these
markets. However, we have found that LAF is negatively correlated with Call, Call is
negatively correlated with all three segments and Repo is negatively correlated with Call
while CBLO is negatively correlated with Call. Table-1 gives the correlation results:
7
7
Table-1: Correlation of LAF, Call, Repo & CBLO
Segment s LAF Cal l Repo CBLO
LAF 1. 00000 - 0. 50923 0. 43622 0. 70022
( <. 0001) ( <. 0001) ( <. 0001)
Cal l - 0. 50923 1. 00000 - 0. 51189 - 0. 69354
( <. 0001) ( <. 0001) ( <. 0001)
Repo 0. 43622 - 0. 51189 1. 00000 0. 81481
( <. 0001) ( <. 0001) ( <. 0001)
CBLO 0. 70022 - 0. 69354 0. 81481 1. 00000
( <. 0001) ( <. 0001) ( <. 0001)
Note: Figures in parenthesis are p-values
We have extended the analysis to the change in volumes by taking only incremental
weekly amounts. We have seen that some relationships are significant. However, we find
that the change in CBLO volumes are significantly related to change in Call volumes as
well as change in Repo volumes and their signs are found to be rationally explainable.
Table - 2 gives the correlation result of the weekly changes in volumes.
Table-2: Correlation of Changes in volumes of LAF, Repo, Call and CBLO
DLLAF DLCL DLRP DLCBL
DLLAF 1. 00000 0. 30716 - 0. 05376 0. 04227
( 0. 0056) ( 0. 6358) ( 0. 7097)
DLCL 0. 30716 1. 00000 0. 39479 0. 40075
0. 0056 0. 0003 0. 0002
DLRP - 0. 05376 0. 39479 1. 00000 0. 31060
0. 6358 0. 0003 0. 0050
DLCBL 0. 04227 0. 40075 0. 31060 1. 00000
0. 7097 0. 0002 0. 0050
Note: Figures in parenthesis are p-values
From the study of correlations, we find that CBLO has a significant relationship with
other markets and has been found to have integrated with other forms of short term
markets like LAF, CBLO and Repo.
Now we move on to see if introduction of CBLO has any impact on the call market on
not. For this we have taken the Call weekly volumes from 04-Jan-2002 to 30-Jul-2004.
We found that the dummy variable becomes significant at 1% level indicating
introduction of CBLO has an impact in the call market.
8
8
Now we move to study the robustness of the relationships using the regression analysis.
i. Effect of LAF on others: We found that weekly LAF volume has a negative
relationship with weekly call and Repo and positive relationship with CBLO
volumes through we find the p-values for CBLO and Repo being significant at
1% level of significance.
ii. Effect of Call on others: We found that weekly call volumes have a negative
relationship with LAF and CBLO while it has a positive relationship with
Repo though relationship is not found to be significant with LAF and Repo at
conventional levels. The relationship with CBLO was found to be significant
at 1% level.
iii. Effect of Repo on others: We found that weekly Repo volumes have a
negative relationship with LAF but positive relationship with Call and CBLO
though the relationship was found to be significant with CBLO and LAF at
1% level.
iv. Effect of CBLO on others: We found that CBLO has a negative relationship
with Call while maintaining a positive relationship with Repo and LAF. We
found the relationship of CBLO with all three market segments to be
significant at 1% level. For robustness check, we took the weekly changes in
all volumes of all four segments and run the regression. We find that changes
in CBLO weekly volumes has a significant relationship with changes in
weekly Call market volumes at 1% level.
Table-3: Regression Results
Variable: LAF
Independent Variables Coefficients t Stat P-value
Call -0.01268 -0.04 0.9665
Repo -0.70581 -2.96 0.0041
CBLO 0.58194 6.36 0.0001
Variable: Call
LAF -0.00184 -0.04 0.9665
Repo 0.09949 1.05 0.2990
CBLO -0.16742 -4.34 0.0001
Variable: Repo
Call 0.14256 1.05 0.2990
LAF -0.14659 -2.96 0.0041
CBLO 0.34091 10.13 0.0001
Variable: CBLO
Call -1.18554 -4.34 0.0001
Repo 1.68467 10.13 0.0001
LAF 0.59727 6.36 0.0001
9
9
It is observed from the above results that trading volume in the call market has inverse
relationship with CBLO volumes as indicated by the negative co-efficient and
significance levels. The results point out the fact the call market restrictions have resulted
in moving business from call to other markets like CBLO and Repo. It also points out the
fact that the liquidity generated in the system by the call market restrictions and also by
the fresh inflows in the system has contributed to the development of all these markets.
Money Market Rate Movements
Market efficiency tells us that interest rate in related markets must be very close to each
other. However, LAF rate is a rigid rate at 4.5% while other market rates like Repo, Call
and CBLO depend on demand and supply conditions and the market participants
arbitrage capabilities. To understand the linkage dynamics of Call, Repo and CBLO rates,
we have taken all deals of respective markets for the month of August 2004 (25 days) and
arrived at their weighted average rates. The data reveals very high and significant
correlation between all three rates indicating high level of convergence. The average call
market rate has been found to be higher than Repo and CBLO indicating risk premium
for uncollateralized market. Table-4 gives us the summary statistics and Table 5 gives the
correlation of the above 3 market interest rates:
Table-4: Summary Statistics of Repo, Call & CBLO Rates
Variables N Mean Std. Dev Minimum Maximum
Repo Rate 25 4.16019 0.25623 3.76058 4.88179
Call Rate 25 4.32555 0.20116 3.95343 4.99758
CBLO Rate 25 4.18352 0.33353 3.36000 4.94000
Table-5: Correlation of Repo, Call and CBLO Rates
Repo Rate Call Rate CBLO Rate
Repo Rate 1.00000 0.87419 0.91313
(<.0001) (<.0001)
Call Rate 0.87419 1.00000 0.86141
(<.0001) (<.0001)
CBLO Rate 0.91313 0.86141 1.00000
(<.0001) (<.0001)
10
10
The Chart-4 gives the movement of all 3 rates during August 2004. As can be seen from
the chart, all rates have moved in tandem though most of the time, CBLO has a tendency
to reach lower levels vis--vis Repo or Call rates.
Chart-4: Money Market Rates Movement (August 2004)
Money Market Rates Movement (August 2004)
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RepoRATE CallRATE CBLORATE
Conclusions:
CBLO has been a innovative product that provides tremendous flexibility to the user
which a Repo does not provide. During the initial period of its launching, the volume in
CBLO market was negligible as it was a new product. Any new product takes time to
integrate with comparable products in the market. However as the time progressed,
market participants realized the utility of the product and the restrictions imposed in call
market for non-bank participants helped this market to grow. The CBLO segment has
reached a trading volume of Rs.45470millions on September 14, 2004 indicating its
utility to market participants. Today it has fully integrated to the short term market
structure. The CBLO, an infant in the financial world, stands on its own in this market,
and the statistics display a calibrated integration of CBLO market with other markets due
to its advantages like CRR exemption, SLR status for the securities remaining
unencumbered in the gilt accounts of the bank maintained with the CCIL under the
11
11
Constituents' Subsidiary General Ledger (CSGL) facility, lower risk weight etc. The
wider usage of the instrument is expected to receive impetus from the establishment of
real time connectivity between the Public Debt Office (PDO) of the Reserve Bank and
CCIL and value-free transfer of securities between market participants and CCIL. RBI, in
its Credit Policy, has announced automatic value free transfer of securities through NDS
for the CBLO Segment.
The statistical results presented in the paper have shown that introduction of CBLO is a
significant event in Indian financial market and it has a clear relationship with other
forms of the short term market. It has absorbed the liquidity mismatch arisen out of call
market restrictions imposed by RBI.
Data Source: CCIL, RBI publications
12
12
Annexure-1: Overnight Call market Weekly Volumes
Date
Call Volume (Rs. in
crores Date
Call Volume (Rs. in
crores
04-Jan-02 66738.245 17-Apr-03 18192.22
11-Jan-02 85212.9 25-Apr-03 55619.15
18-Jan-02 108993.83 02-May-03 33550.96
25-Jan-02 95522.435 09-May-03 63842.46
01-Feb-02 199394.69 14-May-03 39963.36
08-Feb-02 106853.33 23-May-03 61481.80
15-Feb-02 108389.065 30-May-03 63814.99
22-Feb-02 97592.855 06-Jun-03 72403.13
01-Mar-02 184080.53 13-Jun-03 76279.38
08-Mar-02 102591.745 20-Jun-03 75700.91
15-Mar-02 79612.74 27-Jun-03 57207.11
22-Mar-02 109391.045 04-Jul-03 55771.87
28-Mar-02 92085.285 11-Jul-03 54457.24
05-Apr-02 105092.765 18-Jul-03 57133.69
12-Apr-02 133996.15 25-Jul-03 61263.15
19-Apr-02 227509.71 01-Aug-03 52176.75
26-Apr-02 107718.055 08-Aug-03 51790.51
03-May-02 97121.155 14-Aug-03 54706.75
10-May-02 142290.39 22-Aug-03 69813.53
17-May-02 109063.835 29-Aug-03 74170.63
24-May-02 120977.855 05-Sep-03 53685.34
31-May-02 217979.89 12-Sep-03 70301.20
07-Jun-02 101617.51 19-Sep-03 75999.94
14-Jun-02 93729.905 26-Sep-03 76392.19
21-Jun-02 94778.8 03-Oct-03 45745.73
28-Jun-02 80907.16 10-Oct-03 71456.30
05-Jul-02 189131.42 17-Oct-03 71257.69
12-Jul-02 97394.59 24-Oct-03 72304.88
19-Jul-02 107308.125 31-Oct-03 55126.07
26-Jul-02 100954.57 07-Nov-03 57845.61
02-Aug-02 84045.37 14-Nov-03 49432.46
09-Aug-02 109374.505 21-Nov-03 46665.32
16-Aug-02 89783.095 28-Nov-03 30412.71
23-Aug-02 96566.555 05-Dec-03 41668.19
30-Aug-02 109596.3 12-Dec-03 47913.98
06-Sep-02 97301.295 19-Dec-03 50799.25
13-Sep-02 86393.935 26-Dec-03 39870.27
20-Sep-02 104999.845 02-Jan-04 51507.19
27-Sep-02 89885.06 09-Jan-04 51856.05
04-Oct-02 59358.005 16-Jan-04 47855.93
11-Oct-02 106281.52 23-Jan-04 49856.32
18-Oct-02 76800.16 30-Jan-04 33599.42
25-Oct-02 95921.33 06-Feb-04 32272.58
01-Nov-02 99311.2 13-Feb-04 32738.57
08-Nov-02 93843.755 20-Feb-04 25871.37
15-Nov-02 92609.115 27-Feb-04 29161.90
13
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22-Nov-02 65531.83 05-Mar-04 26706.02
29-Nov-02 64981.915 12-Mar-04 32977.61
06-Dec-02 65745.74 19-Mar-04 44818.05
13-Dec-02 135120.625 26-Mar-04 44483.42
20-Dec-02 87634.055 02-Apr-04 15019.63
27-Dec-02 62449.745 08-Apr-04 23838.14
03-Jan-03 82397.355 16-Apr-04 26846.72
10-Jan-03 77374.88 23-Apr-04 31605.06
17-Jan-03 78188.755 30-Apr-04 23692.92
24-Jan-03 72200.05 07-May-04 25867.34
31-Jan-03 70821.79 14-May-04 28788.55
07-Feb-03 69021.47 21-May-04 32453.28
14-Feb-03 52435.21 28-May-04 27544.31
21-Feb-03 67870.10 04-Jun-04 31064.79
28-Feb-03 67566.64 11-Jun-04 23275.76
07-Mar-03 70806.64 18-Jun-04 32517.63
13-Mar-03 67318.35 25-Jun-04 37588.43
21-Mar-03 67698.72 02-Jul-04 27266.97
28-Mar-03 76404.70 09-Jul-04 33934.38
04-Apr-03 50021.21 16-Jul-04 36812.98
10-Apr-03 54849.79 23-Jul-04 31157.60
14
14
Annexure - 2: Weekly Cumulative Volumes in LAF, CALL, REPO & CBLO
Date LAF Call Repo CBLO
24-Jan-03 14660.00 72200.05 6532.26 35.00
31-Jan-03 11740.00 70821.79 8881.38 32.50
07-Feb-03 34045.00 69021.47 9483.71 96.00
14-Feb-03 8044.00 52435.21 6561.33 107.00
21-Feb-03 36470.00 67870.10 7290.78 56.00
28-Feb-03 2670.00 67566.64 15106.21 72.00
07-Mar-03 31030.00 70806.64 12361.65 61.50
13-Mar-03 2810.00 67318.35 11885.06 165.00
21-Mar-03 13360.00 67698.72 9317.89 76.50
28-Mar-03 17203.22 76404.70 14060.71 110.70
04-Apr-03 66605.00 50021.21 2337.04 77.50
10-Apr-03 110994.00 54849.79 6592.40 98.00
17-Apr-03 43743.00 18192.22 3429.90 40.00
25-Apr-03 175125.00 55619.15 8606.50 162.80
02-May-03 124020.00 33550.96 6032.32 138.25
09-May-03 138820.00 63842.46 7016.68 115.70
14-May-03 50665.00 39963.36 3781.33 72.30
23-May-03 129576.00 61481.80 3762.96 89.00
30-May-03 172160.00 63814.99 6621.16 100.00
06-Jun-03 152895.00 72403.13 7639.00 97.45
13-Jun-03 97818.00 76279.38 7074.59 47.70
20-Jun-03 118270.00 75700.91 6691.69 51.00
27-Jun-03 150163.00 57207.11 8507.28 77.50
04-Jul-03 149535.00 55771.87 7624.53 174.00
11-Jul-03 224080.00 54457.24 12405.05 279.40
18-Jul-03 216785.00 57133.69 10068.89 266.00
25-Jul-03 222005.00 61263.15 8462.08 204.20
01-Aug-03 238900.00 52176.75 5280.41 251.00
08-Aug-03 248735.00 51790.51 9592.22 460.70
14-Aug-03 158200.00 54706.75 8918.13 463.40
22-Aug-03 184640.00 69813.53 8784.50 240.25
29-Aug-03 163130.00 74170.63 11363.33 527.00
05-Sep-03 210635.00 53685.34 12980.10 601.00
12-Sep-03 164440.00 70301.20 9463.27 627.65
19-Sep-03 167295.00 75999.94 8435.17 320.75
26-Sep-03 105974.00 76392.19 12067.63 1000.25
03-Oct-03 108790.00 45745.73 8685.03 117.00
10-Oct-03 108815.00 71456.30 9559.44 328.00
17-Oct-03 70270.00 71257.69 11613.90 355.75
24-Oct-03 48406.00 72304.88 15856.62 359.20
31-Oct-03 25800.00 55126.07 21438.96 210.60
07-Nov-03 95305.00 57845.61 16576.16 701.50
14-Nov-03 85805.00 49432.46 13324.04 637.60
21-Nov-03 108445.00 46665.32 20252.62 193.20
28-Nov-03 114920.00 30412.71 14447.17 211.20
15
15
05-Dec-03 179965.00 41668.19 15466.27 920.00
12-Dec-03 166565.00 47913.98 14021.17 879.90
19-Dec-03 148205.00 50799.25 11762.44 439.20
26-Dec-03 122960.00 39870.27 11069.13 593.30
02-Jan-04 188575.00 51507.19 16346.17 363.75
09-Jan-04 230680.00 51856.05 19128.53 1346.65
16-Jan-04 184825.00 47855.93 16753.53 1330.65
23-Jan-04 158645.00 49856.32 17752.83 2612.45
30-Jan-04 154430.00 33599.42 12020.56 1613.25
06-Feb-04 189520.00 32272.58 10632.49 3057.25
13-Feb-04 217055.00 32738.57 15031.08 3900.25
20-Feb-04 186475.00 25871.37 13836.00 3598.85
27-Feb-04 240340.00 29161.90 11684.48 3816.20
05-Mar-04 216790.00 26706.02 15119.06 4998.15
12-Mar-04 283090.00 32977.61 14832.07 5754.80
19-Mar-04 273775.00 44818.05 15472.45 5198.45
26-Mar-04 293915.00 44483.42 17397.81 7115.20
02-Apr-04 214815.00 15019.63 26383.97 3856.10
08-Apr-04 266880.00 23838.14 33501.72 5569.40
16-Apr-04 314775.00 26846.72 33156.79 4002.40
23-Apr-04 407220.00 31605.06 38030.75 9077.65
30-Apr-04 305825.00 23692.92 30562.85 7961.05
07-May-04 315760.00 25867.34 27255.40 7665.85
14-May-04 443880.00 28788.55 40361.99 11269.20
21-May-04 439845.00 32453.28 31880.74 13163.30
28-May-04 452540.00 27544.31 31487.30 11390.60
04-Jun-04 411990.00 31064.79 31759.94 12026.85
11-Jun-04 363565.00 23275.76 43691.51 11868.60
18-Jun-04 361920.00 32517.63 35808.37 12000.60
25-Jun-04 367875.00 37588.43 35663.69 13293.70
02-Jul-04 382720.00 27266.97 15505.25 10347.40
09-Jul-04 393355.00 33934.38 21991.00 12590.10
16-Jul-04 350960.00 36812.98 27335.11 13754.40
23-Jul-04 309725.00 31157.60 27186.60 13921.25
30-Jul-04 356505.00 32333.73 28956.22 12861.95
Note: all volumes in Rs. Crores