美联储美国国债市场和中央清算的资产负债表净额结算

Balance-Sheet Netting in U.S. Treasury Markets and Central Clearing

Introduction

• Background: In March 2020, widespread sales of Treasury securities led to severe dislocations, necessitating large-scale asset purchases and repo operations by the Federal Reserve.
• Key Studies: Several studies, including Duffie (2020), Liang and Parkinson (2020), and the Group of Thirty Working Group on Treasury Market Liquidity (2021), argue that expanding central clearing in Treasury cash and repo markets could enhance dealer intermediation capacity and reduce regulatory capital costs.

Regulatory Context

• Supplementary Leverage Ratio (SLR): The SLR measures a bank's Tier 1 Capital relative to its Total Leverage Exposure, treating all on-balance sheet exposures equally. The eSLR standard requires U.S. GSIBs to maintain a SLR ratio above 5%.
• Concerns: The eSLR has become a general binding constraint, leading banks to reduce participation in lower-risk, lower-return business activities like repo financing and central clearing services.

Study Objectives

• Objective: Investigate the potential for expanded central clearing to reduce the costs associated with the SLR/eSLR on Treasury market intermediation.

Methodology

• Data: Combine detailed regulatory rules and unique regulatory data.
• Findings:
  • Netting Practices: Broker-dealers can already net their cash market transactions under various conditions, regardless of central clearing.
  • Central Clearing Impact: Expanded central clearing might reduce the impact of SLR/eSLR, but the effect is relatively small.
  • Empirical Evidence: When balance sheet costs are high, GSIBs increase netting activity in centrally cleared segments, optimizing their repo activity.

Key Results

• Balance Sheet Costs: Higher balance sheet costs lead GSIBs to increase netting activity, indicating an optimization strategy to reduce regulatory leverage constraints.
• Limited Impact: Current patterns of repo activity suggest limited impact on leverage constraints, but large BHCs may still adjust their activities under expanded central clearing.
• Other Benefits: Expanded central clearing could impose a more uniform margin regime and reduce market segmentation, but also increase liquidity needs and exposures to the central clearing counterparty.

Conclusion

• Summary: While expanded central clearing could offer some benefits, its impact on reducing balance sheet costs associated with the SLR/eSLR is limited. However, it could still have other positive effects and potential costs.