在Finadium的年度会议上 利率 & 回购 会议上, 劳拉Klimpel, 存 General Manager of Fixed Income 清算 Corporation (FICC) & SIFMU业务发展负责人, joined other industry leaders to discuss the growing interest and benefits of central clearing of U.S. Treasury (UST) repos during the “回购 Economics & 安置地点”面板.
小组概述如下:
市场的好处
The central clearing of UST repos via FICC’s sponsored service clearing model has seen substantial growth in the past few years, increasing from just one sponsor in 2005 to currently three dozen sponsoring members, as well as a broadening of geographic range from only in the 美国, 全球近40个司法管辖区. 正如Klimpel在她的小组讨论中指出的那样, both public and private markets are reinforced by these high participation rates.
私人物品:
- 增加容量 due to the novation to a central clearing party (CCP), which allows for opportunities for balance sheet netting. 资本约束, 比如补充杠杆率, could potentially impair a dealer or bank from transacting with the client. “The CCP can allow market participants — both the buy and sell side — to increase their capacity to transact,克林佩尔说.
- 信用增级 due to the benefit of having a double A-rated SIFMU as a 帖子-novation counterparty, allowing the buy side to become comfortable transacting with a broader array of counterparties.
公共物品:
- 监管透明度, 因为所有的交易都是集中清算的. Pockets of opacity exist, particularly in the Treasury market, which are of concern to regulators. Central clearing is one way to increase transparency to regulators.
- 统一风险管理 由于活动的巩固, as the CCP risk manages all transactions across the market in the same way. This risk management protects both firms and the market as a whole in the event of a default and mitigates losses as well as the potential for fire sale risk. Klimpel补充道, “A CCP is in the unique position to manage the default of a market participant in a uniform and orderly manner.”
法定回购清算的经济影响
最近的 U.S. Securities and Exchange Commission (SEC) proposal, intended to increase cleared activity in UST repo clearing would require a significantly larger portion of tri-party and bilateral repo, 基础抵押品在哪里.S. Treasuries, to be submitted to a covered clearing agency. The proposal looks to reinforce risk management and market stability through uniform risk management practices.
Currently, FICC is the only CCP platform in the U.S. that clears UST tri-party repo and cash transactions, and this proposal will expose a wider array of UST repo transactions to the clearing requirement.
The SEC proposal would provide many benefits for market participants, such as balance sheet netting and increased capacity for a wider array of activities. 然而, the same liquidity and margin requirements that are required by the CCP through FICC’s voluntary sponsored clearing service will apply.
Klimpel addressed the margin and liquidity concerns, saying that FICC uses anti-procyclicality measures — including a 10-year lookback — to avoid major jumps in margin during times of volatility. She also added that the ultimate cost of a CCP will depend on how the new activity interacts with the current activity in central clearing. “We’ve seen market participants take full advantage of novating their buy-side into a CCP, resulting in CCLF obligations reduced due to netting.”
2020年3月中央结算的影响
看看2020年3月的危机, ccp赞助的模型改善了流动性, 抑制日常反应. Klimpel explained that while derivatives clearing requires the underlying client to 帖子 margin, the FICC-sponsored service offers a wide array of economic arrangements between clients and intermediaries, 而且许多参与者不提供保证金.
“We had our highest volume during that period — $564 billion on a voluntary basis —demonstrating the capital benefits of being able to reduce balance sheet frictions and capital costs that clearing provides,” causing activity to gravitate to FICC and help improve liquidity during that time.
降低回购交易成本
- 合作: 正如另一位小组成员所说, the FICC sponsored clearing model is a great example of how market participants can work together to drive solutions. FICC continues to make the cost of clearing as efficient as possible through optimizing margin and enhancing cross margin across CCPs.
- 提倡: The margin efficiency aspect proposal from the SEC would allow, 第一次, an intermediary that is a broker/dealer in FICC to rehypothecate and 帖子 to the CCP. 存 has been strongly advocating for the regulator to allow this type of rehypothecation, which is currently prohibited under existing law.
- 标准化: While there is standardization at the CCP level, Klimpel声明, “We need to come together to develop a template for cleared repo trades to help reduce costs.”
- 创造力: 存 believes in creative solutions instead of a one-size-fits-all approach. “We are looking at multiple access models and solutions to bring everyone into the fold,克林佩尔总结道.