2015年-FSB全球金融稳定委员会_Standards_and_Processes_for_Global_Securities_Financing_Data_Collection_and_Aggregation_49页_729kb

Summary of Transforming Shadow Banking into Resilient Market-based Finance

Core Content

This document outlines the finalised standards and processes for global securities financing data collection and aggregation, aimed at enhancing financial stability monitoring and policy responses. It builds on the August 2013 Report by the Financial Stability Board (FSB), which initially proposed recommendations to address shadow banking risks in securities lending and repos. The FSB established a Data Experts Group (DEG) to develop consistent and comprehensive data frameworks.

The document focuses on the data elements, granularity, data architecture, and recommendations for national/regional authorities to collect and report data on securities financing transactions (SFTs), including repos, securities lending, and margin lending.

Main Views

1. Importance of Data Collection

• SFTs (securities financing transactions) are critical for market liquidity and price discovery.
• However, they also pose risks due to leverage and liquidity/maturity transformation.
• Enhanced data collection is essential for authorities to monitor financial stability effectively.

2. Purpose of the Framework

• To create timely and comprehensive global aggregates for SFTs.
• To ensure consistent and comparable data across jurisdictions.
• To support policy-making and risk management through better transparency.

3. Structure of the Framework

• Two-tier data architecture:
  • First tier: Data collection at the national/regional level.
  • Second tier: Data aggregation at the global level by the FSB.
• The framework includes flow data and stock data for both repos and securities lending.

4. Data Elements and Granularity

• A minimum set of data elements is defined for repos, securities lending, and margin lending.
• These data elements are used to ensure meaningful global aggregates.
• The framework recommends granularity based on:
  • Maturity buckets (e.g., overnight, 1–3 months, etc.)
  • Collateral types (e.g., government securities, corporate debt, etc.)
  • Collateral quality (investment grade, non-investment grade, etc.)
  • Sector and jurisdiction of counterparties
  • Cash and collateral currencies
  • Repo rates, securities lending fees, and rebate rates

Key Information

1. Data Elements

2. Reporting Requirements

• Flow data:
  • Includes the number, principal amount, currency, and maturity of transactions.
  • Only reverse repo cash leg is reported.
• Stock data:
  • Includes the total gross amount of loans and collateral.
  • Separate reporting for loan and collateral data.
  • Data should be reported monthly.

3. Data Architecture

• First tier: National/regional authorities collect data from market participants.
  • Sources: Market participants, intermediaries, custodians, etc.
  • Reporting population: Entities involved in SFTs, using a locational approach.
  • Confidentiality: Addressed by prudential or other regulators.
• Second tier: FSB aggregates data globally.
  • Legal and operational issues: Addressed through clear definitions and governance.
  • Data confidentiality: Maintained through appropriate mechanisms.
  • Double-counting: Mitigated by using a "locational" approach and over-netting.

4. Double-Counting and Over-netting

• Double-counting occurs when both counterparties report the same transaction.
• Over-netting is a method used to address this by considering the location of the transaction and the jurisdiction of the entities involved.
• Transactions conducted within the same legal entity or with central banks are excluded from global reporting.

5. Recommendations for National/Regional Authorities

• Six recommendations are provided to:
  • Ensure consistency in data collection.
  • Improve the quality of global aggregates.
  • Avoid duplications in international data collections.
• Recommendations include:
  • Adopting common definitions and reporting guidelines.
  • Ensuring timeliness and frequency of reporting.
  • Including additional data elements for monitoring haircuts and consistency across jurisdictions.

Use of Aggregated Data

• Aggregated data can be used for:
  • Flow analysis to track market trends.
  • Stock analysis to assess outstanding positions.
  • Collateral analysis to monitor risk exposure and leverage.
• The data can also be used to:
  • Identify systemic risks.
  • Support policy responses.
  • Monitor market transparency and financial stability.

Next Steps

• The FSB outlines next steps for the implementation of the global data collection.
• A timeline for implementation is included.
• The FSB is prepared to update the framework to include new market practices as they emerge.

Annexes

• Annex 1: Recommendations for improving market transparency in the August 2013 Report.
• Annex 2: Example of the use of TRs (Transaction Reports) as the main source of data: the EU reporting framework for SFTs.
• Annex 3: Data on repos for financial stability purposes.
• Annex 4: Data on securities lending for financial stability purposes.
• Annex 5: Data on margin lending for financial stability purposes.