重新审视美国国债市场的容量和弹性  

Revisiting Us Treasury Market Capacity and Resiliency

作　　者：彼得·瑞恩 徐恒革(编译) Peter Ryan(International Capital Markets and Strategic Initiatives at Securities Industry and Financial Markets Association)

机构地区：[1]证券行业和金融市场协会 [2]不详

出　　处：《金融市场研究》2024年第8期48-57,共10页Financial Market Research

摘　　要：近年来,市场更为频繁出现严重的干扰事件和波动性加剧现象,美国国债市场的容量和弹性受到质疑。这凸显了两个结构性问题:国债发行量快速增长和银行资本金要求限制了交易商提供流动性的能力。近期,关于银行机构实施《巴塞尔协议Ⅲ》最终资本改革要求的提案中的交易账簿基本审查(FRTB)和证券融资交易担保品最低折扣率框架,将进一步束缚交易商资产负债表,并严重扰乱国债回购市场的运作。而且结合修订全球系统重要性银行资本附加费计算方式的提案,将极大限制交易商在美国国债现货或期货期权市场的做市能力。此外,在美国国债市场扩大中央清算适用范围等市场结构改革举措将放大上述审慎规则对市场的负面作用。建议监管机构全面评估提案措施的成本和收益,根据需要进行实质性修订,促进而不是破坏美国国债市场的弹性,这对于维持美国政府低融资成本、全球金融稳定和美国经济增长至关重要。The capacity and resiliency of the U.S.Treasury market have been called into question in recent years as market disruption events and heightened volatility become more frequent.These events have highlighted two underlying structural problems:a rapid growth in Treasury issuance and the constrained intermediation capacity of dealers owing to bank capital requirements.However,the elements of U.S.banking agencies'Basel III Endgame proposal,such as the Fundamental Review of the Trading Book("FRTB")and the minimum haircut framework for securities financing transactions("SFTs"),would have a deleterious impact in U.S Treasury cash market and severely disrupt the functioning of the Treasury repo market.Taken together with the Federal Reserve's GSIB Surcharge proposal,Other Basel reforms would significantly constrain bank dealer capacity in the Treasury futures and options markets.In addition,the negative impacts of these prudential rule changes could be compounded by market structure reforms-such as the SEC's recently finalized rule expanding central clearing in the Treasury securities markets.It is recommended that U.S.regulators thoroughly evaluate the costs and benefits of these proposals and make material revisions as needed,to ensure that they promote rather than undermine the future resiliency of the U.S.Treasury markets,which is crucial to maintaining low financing costs for the U.S.Government,global financial stability and the U.S.economic growth.

关 键 词：巴塞尔协议Ⅲ 美国国债市场 FRTB 市场容量 市场弹性 

分 类 号：F831.51[经济管理—金融学]