的 unprecedented trading volume and volatility spikes in the U.S. Treasuries market in March, in response to the COVID-19 pandemic, 重新点燃了围绕这些证券理想市场结构的持续讨论. Throughout these discussions, 更多地使用中央结算仍然是市场的一项重要改进.
的 Treasury Market Practices Group (TMPG), sponsored by the Federal Reserve Bank of New York, states in a 白皮书 这种“双边清算涉及不同的风险管理做法，不太统一，也不太透明。 . . . and may be less efficient with regard to netting exposures and use of collateral, as compared to central clearing.” TMPG estimated in 2018 that “12.7% of outright purchase and sale of U.S. 国债交易是为原始交易对手双方集中清算的.4%的交易是在交易商间经纪人(IDB)和其中一个原始对手方之间集中清算的，而不是在另一个对手方之间. 剩下的67个.9%的交易, most of which are customer-to-dealer, do not involve a CCP [central counterparty].”
Reviewing those findings, 斯坦福大学商学院(Stanford Graduate School of Business)教授达雷尔·杜菲(Darrell Duffie)今年6月在布鲁金斯学会(Brookings Institution)发表了一篇论文, Still the World's Safe Haven?:重新设计美国.S. Treasury Market After the COVID-19 Crisis. He noted that “the general lack of central clearing in the U.S. 国债市场明显错过了提高市场稳健性和效率的机会. 中央清算还通过降低结算失败的风险来提高市场安全性，(并)减少了维持流动性市场所必需的交易商资产负债表空间.”
Over the past several years, 我们看到，市场参与者在清算的可及性方面有了实质性的改善. 然而, 对不同类型参与者的不同激励导致了中央清算采用水平的不平衡.
清算 During the Crisis
就其本身而言, 存透过政府证券部(德牧) of its subsidiary, the Fixed Income 清算 Corp. (FICC). 德牧 offers a suite of services for the submission, 比较, 风险管理, netting and settlement of trades executed by its members in the U.S. government securities market. FICC为所有比较交易的结算提供担保，并作为其更新的结算义务的中央对手方.
On average, FICC clears $4.2万亿美元.S. Treasury activity daily, including both outright and financing, and currently has 177 netting members and almost 2,000名赞助会员. FICC基于规则的框架为市场参与者在面对市场稳定威胁时提供了确定性, 在成员国违约的情况下，如何降低市场普遍挤兑和贱卖的风险.
这一基础设施的健全在2019冠状病毒病危机期间得到了证明:清算额在2020年3月超过6万亿美元的峰值, and FICC effectively maintained liquidity. 即使在危机期间停止代理德牧成员，也不会对市场造成不利影响，也不会对成员造成任何损失分摊.
"Over the past several years, 我们看到，市场参与者在清算的可及性方面有了实质性的改善. 然而, 对不同类型参与者的不同激励导致了中央清算采用水平的不平衡."
FICC承认合资格的受规管公司为直接清算会员，可与其他FICC会员清算其交易活动. To become a direct member of the CCP, 公司需要满足规定的资本要求，并向FICC负责满足保证金要求, liquidity and loss allocation obligations generated by its novated activity.
系统的弹性
Because of the benefits of central clearing, 近年来，FICC投入了大量资金，为更多不同类型的市场参与者扩大了清算渠道, 根据市场需求量身定制的服务还包括赞助会员.
As the primary CCP for U.S. 美国国债, FICC拥有支持这一活动和维护市场安全的既定基础设施, soundness and resiliency. 也, 作为中共党员, FICC是唯一能够有序地控制违约成员的清算，并防止美国流动性枯竭的风险.S. Treasury market in a stress scenario.
Because of these systemic benefits, 银行和经纪自营商进行证券融资交易的资本要求, 包括回购, 通常鼓励他们集中清理尽可能多的活动. 具体地说, 在FICC集中清算回购交易，使会员能够通过资产负债表净额减少资本使用，并降低其基于风险的资本比率中的风险权重，从而减轻对会员的资本限制. 通过减轻银行和经纪自营商对手方的资本限制, participating in centrally cleared repo at FICC, 反过来, 随着交易对手将需求转向CCP渠道，为机构客户提供贷款余额和收入增长的潜力.
PTF异常
这些好处为大多数(但不是全部)中介机构提供了集中清算美国国债的动机.S. Treasury market activity.
Principal trading firms (PTFs), 例如, continue to participate in the Treasury space bilaterally, though they provide liquidity through market-making. ptf通常采用算法和高频交易策略，积极买入和卖出大量美国国债.S. Treasuries for their proprietary accounts on an intraday basis. 财政部官员估计，ptf平均约占总交易量的20%，占电子IDB交易量的60%左右.
PTFs, therefore, serve an important role in the price discovery process. 除了, they will typically act as short-term liquidity providers, but will rarely carry large amounts of inventory overnight. 运营支持, 然而, is predominantly outsourced by PTFs to their prime brokers, 谁在必要时为客户提供双边结算服务和当日及长期融资.
因此, if a PTF with large open-position exposures or fails defaulted intraday, then in addition to the loss of liquidity provided by that PTF, 如果违约导致该公司的主要经纪商或美洲开发银行遭受重大损失或流动性短缺，可能会产生更大的系统性影响. 中央结算通过提供一种基础设施，通过使用保证金收取来仔细管理此类违约，从而降低了这种风险, which further serves to lessen concentration concerns among intermediaries.
More 清算, Less Risk
To increase PTF participation in central clearing, FICC试图通过降低费用和扩大清算渠道来缓解清算障碍. Though these key impediments to central clearing have been removed, greater incentives in this area are needed.
Continued fragmentation hurts the market from a capital, liquidity or 风险管理 perspective, and arguably increases the risk of a fire sale in the event of a dealer default. 的 infrastructure is in place, 然而, to support all activity of participants that choose to enter centralized clearing.
Where economic incentives are strong, such as with the buy side in using the 支持服务, we see a strong uptake in clearing. Where economic incentives are weaker, 额外的措施, 比如要求ptf和其他市场参与者在特定的流动性或交易量阈值被触发时集中清算美国国债, 可能是在整个美国实现更多参与集中清算的最佳途径.S. 美国国债市场.
这些措施可以进一步促进稳定的市场运作，并通过让美国参与进来，促进流动性的提供.S. Treasury liquidity providers in central clearing's mutualized risk program.
This article first appeared in GARP Risk Intelligence on November 25.