2024-03-07-亚开行-抵押品资格标准的比较分析（英）_14页_686kb

Comparative Analysis of Collateral Eligibility Criteria Summary

Introduction

This brief examines collateral eligibility criteria across central banks, central counterparties (CCPs), and global regulatory frameworks to support cross-border financial transactions and LCY bond markets. Eligible collateral is pivotal for managing risk and enhancing financial stability, with key focus on conservatism in central bank criteria, operational efficiency in CCP frameworks, and alignment with global standards like PFMI and Basel III.

Key Findings

• Eligible Collateral Importance: Eligible collateral supports secured financial transactions by ensuring market liquidity, transferability, and minimal risk. Central banks adopt conservative criteria to mitigate losses, while CCPs and global regulations emphasize efficiency and broad coverage.
• General Criteria: Common factors include legal certainty, minimum credit quality, simplicity, operational efficiency, market neutrality, transparency, and market liquidity. Central banks prioritize high credit ratings, often requiring AAA or above, and restrict foreign currency use.
• Central Bank Frameworks:
  • OMO Repo Transactions: Developed economies accept a broad range of high-quality assets (e.g., government bonds, central bank bills), with conservative credit standards (e.g., BBB– for some). ASEAN+3 central banks are more restrictive, focusing only on public sector debt.
  • FCY-Denominated Collateral: Central banks in developed markets accept FCY assets more widely than regional counterparts, who limit eligibility to domestic currencies or specific cases (e.g., Philippines central bank).
• CCP Frameworks:
  • Underlying Collateral for CCP-Cleared Repos: Narrow baskets (e.g., ECB, LCH SA, FICC) limit eligible assets to high-liquidity, high-credit securities like government bonds and covered bonds. Broad baskets allow a wider scope but apply haircuts and concentration limits. Regional CCPs have less integrated markets, so they rarely provide GC baskets.
  • Initial Margin Collateral: CCPs impose restrictions like haircuts and concentration limits to manage risks, varying by institution and asset type.
• Global Regulatory Frameworks:
  • PFMI and Basel III LCR: Emphasize high-quality liquid assets (HQLA), with Level 1 assets (e.g., government bonds) unrestricted, and Level 2 assets subject to haircuts. Basel III requires sufficient HQLA for 30-day liquidity stress scenarios.
  • Margin Requirements: Standards for NCCDs call for conservative haircuts and limits to prevent concentration risks, aligning with PFMI principles.

Comparative Analysis

• Similarities: Central banks and CCPs broadly accept government and high-quality public sector assets. Global regulations like PFMI and Basel III reinforce high credit and liquidity standards. Market neutrality and transparency are common across all frameworks.
• Differences: Central banks are more conservative than CCPs and regulations, which aim for broader coverage and efficiency. Currency restrictions vary; developed central banks accept FCY assets more freely. Regional frameworks in ASEAN+3 are stricter due to less integrated markets and regulatory constraints.

Conclusion and Policy Implications

Collateral criteria are evolving in response to financial reforms, leading to increased demand for high-quality liquid assets and changes in risk management practices. Policy recommendations include:

• Expanding eligible collateral criteria to recognize regional bonds and FCY assets.
• Revamping market infrastructures to improve interoperability and cross-border settlements.
• Harmonizing regulations and developing standard legal practices for collateral transactions.
• Conducting further studies to address regional challenges and leverage the CBCA for LCY bond market development.