美国股市史无前例的交易量和波动性飙升.S. 3月份美国国债市场, 以应对COVID-19大流行, rekindled an ongoing discussion around the ideal market structure for these securities. 在这些讨论中, greater use of central clearing has remained as an essential improvement for the marketplace.
的 库务市场实务组 (TMPG)由纽约联邦储备银行发起，在一份报告中指出 白皮书 that “bilateral clearing involves varying 风险管理 practices that are less uniform and less transparent . . . 而且在净额敞口和抵押品使用方面可能效率较低, 与中央结算相比.“TMPG在2018年估计”12.直接购买和销售的7%.S. Treasury transactions are centrally cleared for both original counterparties, and that 19.4% of transactions are centrally cleared between an interdealer broker (IDB) and one of the original counterparties but not the other counterparty. 剩下的67个.9%的交易, 其中大多数是客户对经销商, 不涉及CCP[中央交易对手].”
回顾这些发现, Professor Darrell Duffie of the Stanford Graduate School of Business presented a paper at the Brookings Institution in June, 仍然是世界的避风港?:重新设计美国.S. 新冠肺炎危机后的美国国债市场. 他指出，“美国普遍缺乏中央清算.S. Treasury market is a significantly missed opportunity to improve market robustness and efficiency. Central clearing also improves market safety by lowering exposure to settlement failures [and] reduces the amount of dealer balance sheet space necessary to maintain liquid markets.”
在过去的几年里, we've seen substantial improvements in the accessibility of clearing for market participants. 然而, varying incentives for different types of participants have resulted in an uneven level of central clearing adoption.
危机期间的清算
就其本身而言, 存 provides CCP services to the Treasury market through the Government Securities Division (德牧)，其附属公司“固定收益结算公司”. (FICC). 德牧为提交提供了一系列服务, 比较, 风险管理, 其成员在美国执行的交易的净额和结算.S. 政府证券市场. FICC provides a guaranty of settlement of all compared trades and serves as the central counterparty for the settlement obligations it novates.
FICC平均出清4美元.2万亿美元.S. 每日库务活动, 包括直接投资和融资, 目前有177个净会员和近2个,000名赞助会员. FICC's rules-based framework provides certainty to market participants in the face of threats to market stability, which mitigates the risk of generalized runs on the market and fire sales in a member default scenario.
的 soundness of this infrastructure was demonstrated during the COVID-19 crisis: 清算 volumes exceeded a peak over $6 trillion during 3月ch 2020, FICC有效保持流动性. Even ceasing to act for a 德牧 member during the crisis did not result in an adverse market impact nor any loss allocation to members.
在过去的几年里, we've seen substantial improvements in the accessibility of clearing for market participants. 然而, varying incentives for different types of participants have resulted in an uneven level of central clearing adoption."
FICC admits eligible regulated firms as direct clearing members who can clear their trading activity with other FICC members. 成为中国共产党的直接党员, a firm needs to satisfy prescribed capital requirements and be responsible to FICC for satisfying margin, 由其创新活动产生的流动性和损失分配义务.
系统的弹性
因为中央结算的好处, FICC has invested considerably in recent years to expand access to clearing for more and different types of market participants across asset classes, tailoring services in response to market needs to also include sponsored membership.
作为美国的主要CCP.S. 美国国债, FICC has the established infrastructure for supporting this activity and maintaining the market's safety, 稳健和弹性. 也, 作为中共党员, FICC is uniquely able to orderly control the liquidation of a defaulted member and prevent the risk of drain on liquidity in the U.S. 美国国债市场处于压力情景.
因为这些系统性的好处, the capital requirements for banks and broker-dealers with respect to their securities financing transactions, 包括回购, generally incentivize them to centrally clear as much of this activity as possible. 具体地说, centrally clearing repo transactions at FICC may alleviate capital constraints on members by enabling them to reduce capital usage via balance sheet netting and lower risk weights in their risk-based capital ratios. 通过减轻银行和经纪自营商对手方的资本限制, 在FICC参与集中清算的回购, 反过来, offers institutional clients the potential for growth of their on-loan balances and income as counterparties shift their demand to CCP channels.
PTF异常
的se benefits provide incentives for most, but not all, intermediaries to centrally clear U.S. 国债市场活动.
主要贸易公司(ptf), 例如, 继续双边参与财政领域, 尽管他们通过做市来提供流动性. PTFs typically employ algorithmic and high-frequency trading strategies to actively buy and sell large volumes of U.S. 他们的自营账户的国库券. Treasury officials estimate PTFs average about 20% of overall volumes and account for around 60% of electronic IDB volume.
因此，ptf在价格发现过程中发挥着重要作用. 除了, 它们通常会充当短期流动性提供者, 但很少会在一夜之间运送大量库存. 运营支持, 然而, 主要是由ptf外包给他们的主要经纪人吗, who provide bilateral settlement services and both same-day and long-term financing to their clients if necessary.
因此, 如果有大量未平仓敞口或失败的PTF在日内违约, 那么除了PTF提供的流动性损失之外, there could be larger systemic impacts if the default caused the firm's prime broker or IDB to suffer significant losses or liquidity shortfalls. Central clearing mitigates this risk by providing an infrastructure that carefully manages such defaults through the use of margin collection, 这进一步有助于减轻中介机构的集中度担忧.
更多的清算，更少的风险
增加信托基金参与中央结算, FICC has sought to ease impediments to clearing by lowering fees and broadening access to clearing. 尽管这些阻碍中央清算的关键障碍已经被消除, 在这方面需要更多的激励措施.
持续的碎片化从一个资本的角度伤害了市场, 流动性或风险管理的观点, 而且可以说，在交易商违约的情况下，这增加了贱卖的风险. 基础设施已经到位, 然而, 支持所有选择进入集中清算的参与者的活动.
在经济激励很强的地方，比如买方使用 支持服务，我们看到在清理方面有很强的吸收. 哪里的经济激励更弱, 额外的措施, such as requiring PTFs and other market participants to centrally clear Treasuries when specified liquidity or trading volume thresholds are triggered, may be the best means to achieve increased participation in centralized clearing across the U.S. 美国国债市场.
Such measures could further serve to promote stable market functioning and facilitate the provision of liquidity by involving U.S. 国库流动性提供者在中央清算的共同风险计划.
本文首次发表于11月25日的GARP风险情报.