2016年-FSB全球金融稳定委员会_Possible_Measures_of_Non_15页_342kb

Summary of "Transforming Shadow Banking into Resilient Market-based Finance"

Core Content

This document outlines the FSB's efforts to understand and measure non-cash collateral re-use in financial markets, with the aim of improving financial stability by identifying risks associated with the practice. It explores various measures and metrics for tracking collateral re-use and the data elements required to support these measures. The focus is on securities financing transactions (SFTs), which are central to the re-use of collateral.

Collateral re-use refers to the practice where a market participant, such as a bank, uses securities received as collateral in one transaction as collateral in another. This enhances market liquidity and efficiency but also introduces risks such as increased interconnectedness, excessive leverage, counterparty risk sensitivity, and amplified market stress during crises.

To address these risks, the FSB is working on defining collateral re-use metrics and data elements that can be collected at the national/regional level and aggregated to the global level. These data elements and metrics are intended to support the monitoring of financial stability risks and inform potential policy responses.

Main Points

1. Scope of Collateral Re-use Measurement

• Two types of scope are considered:

  • Scope A: Limited to securities financing transactions (SFTs) only.
  • Scope B: Extended to all types of transactions involving collateral.

• The FSB has opted for Scope A to align with its focus on SFTs and to avoid the complexity and cost associated with Scope B.

2. Measures of Collateral Re-use

Three methodologies are proposed for measuring collateral re-use:

Exact Measure

• Requires entities to report whether the collateral they post is own assets or received from previous transactions.
• Calculated using the formula:
  $$
  \text{collateral}{ij}^{\text{reused}} = \text{collateral}{ij}^{\text{posted}} - \text{assets}_{ij}^{\text{own,encumbered}}
  $$
• More accurate but may require changes in business practices and IT systems.

Approximate Measure

• Uses total own assets, collateral received (eligible for re-use), and collateral posted.
• Formula:
  $$
  \text{collateral}{ij}^{\text{reused}} = \left(\frac{\text{collateral}{ij}^{\text{received,eligible_for_reuse}}}{\text{collateral}{ij}^{\text{received,eligible_for_reuse}} + \text{assets}{ij}^{\text{own}}\right) \times \text{collateral}_{ij}^{\text{posted}}
  $$
• Assumes that the probability of a security being used as collateral is independent of its source.

Indirect Approximation

• Relies on existing data elements and defines re-use as the minimum of collateral received and posted.
• Formula:
  $$
  \text{collateral}{ij}^{\text{reused}} = \min(\text{collateral}{ij}^{\text{received}}, \text{collateral}_{ij}^{\text{posted}})
  $$
• Less precise and may overstate re-use activity.

3. Metrics for Collateral Re-use

• Collateral Re-use Rate: Proportion of total collateral received that is re-used.
  $$
  \text{reuse}^{\text{rate}} = \frac{\text{reuse}}{\text{collateral}^{\text{received}}}
  $$
• Re-use Reliance Rate: Proportion of posted collateral that is re-used.
  $$
  \text{reuse}^{\text{reliance}} = \frac{\text{reuse}}{\text{collateral}^{\text{posted}}}
  $$
• Concentration of Re-use Activities: Share of the top 5 or 10 entities in total re-use activities.
  $$
  \text{concentration}{k} = \frac{\sum{i=1}^{5} \text{collateral}{i}^{\text{reused}}}{\text{collateral}{k}^{\text{reused}}}
  $$
• Collateral Circulation Length: Approximates the average length of collateral chains.
  $$
  \text{length}{k} = \frac{1}{1 - \text{reuse}{k}^{\text{rate}}}
  $$
• Collateral Multiplier: Measures the velocity of collateral re-use.
  $$
  \text{multiplier} = 1 + \frac{\text{reuse}}{\text{assets}^{\text{total}}}
  $$

4. Data Elements for Reporting

The following data elements are proposed to be submitted to the FSB:

These data elements help in calculating the re-use measures and are intended to be reported at the national/regional level and aggregated to the global level.

5. Data Architecture Considerations

• The document discusses data collection and transmission processes, emphasizing the importance of accurate and consistent reporting at both the entity and transaction levels.
• It also highlights double-counting issues and suggests that these should not be a concern as the metrics only rely on collateral legs of transactions.
• At the global level, re-used collateral is aggregated across jurisdictions, with weights based on the volume of collateral received (except for the re-use reliance rate, which uses collateral posted).

Key Information

• The FSB aims to transform shadow banking into a more resilient and transparent system by better understanding and monitoring collateral re-use.
• Collateral re-use improves market efficiency and liquidity but poses risks to financial stability.
• The FSB is seeking input from market participants and researchers to refine its approach and define meaningful metrics for assessing re-use.
• The data architecture is designed to ensure quality global aggregates, with entity-level calculation of re-use being essential.
• Implementation challenges include the need to update business practices and IT systems, as well as the accuracy of data collection.

Conclusion

This document provides a comprehensive framework for understanding and measuring collateral re-use in financial markets, with a focus on SFTs. It outlines three measures, six metrics, and the necessary data elements for reporting. The FSB is seeking feedback on these proposals to refine its approach and improve the resilience of market-based finance.