亚开行-抵押品资格标准的比较分析（英）-2024.2-14页_760kb

Summary of COMPARATIVE ANALYSIS OF COLLATERAL ELIGIBILITY CRITERIA

• Introduction and Context:
  Collateral eligibility criteria play a pivotal role in supporting financial transactions and enhancing risk management post-global financial crisis (GFC). The Cross-Border Settlement Infrastructure Forum (CSIF) focuses on studying local currency (LCY) bond collateral and frameworks like the Cross-Border Collateral Arrangement (CBCA) to foster regional financial stability and LCY bond market development. Central banks and global regulators adopt generally conservative approaches, emphasizing legal certainty, credit quality, and operational efficiency.

• Key Findings from Comparative Analysis:

  • Central Bank Frameworks:
    • Collateral criteria for open market operations (OMO) repo and foreign currency (FCY) denom collateral vary widely. Developed economies (e.g., Eurosystem, BOJ) accept broader asset ranges, including private sector bonds, while ASEAN+3 regional banks are more conservative, preferring government and public sector assets. FCY eligibility is limited in the region.
    • Criteria emphasize high credit ratings (e.g., AAA or BBB), domestic currencies, and restrictions to mitigate risks.
  • CCP Frameworks:
    • CCPs provide narrow and broad collateral baskets for repo clearing and margin requirements. Narrow baskets (e.g., ECB basket) focus on high-quality public sector assets, while broad baskets include lower-rated private sector debt with risk-based haircuts and concentration limits. Regional CCPs lack standardized GC baskets due to immature market infrastructures.
  • Global Regulatory Frameworks:
    • The Principles for Financial Market Infrastructures (PFMI) and Basel III LCR set conservative standards, requiring high liquidity and low market risk for eligible collateral (e.g., HQLA liquid assets). FCY-denominated assets face additional risks and haircuts. Haircuts and concentration limits are used to manage risks, with Basel III categorizing collateral into levels with tiered haircuts.

• Policy Implications and Recommendations:

  • Expand Eligible Collateral Criteria: Recognize regional government bonds and FCY assets as cross-border eligible collateral to promote LCY bond use.
  • Revamp Market Infrastructures: Strengthen interoperability between central securities depositories (CSDs) and payment systems to facilitate efficient collateral transactions.
  • Revise Market Regulations: Harmonize legal practices with global standards and adopt standardized collateral documents, such as Asian common legal frameworks.
  • Conduct Further Study: Deepen research on the CBCA's role in collateral transactions and regional eligibility pools to support policy harmonization.

These steps aim to enhance regional LCY bond market development, improve financial stability, and address the conservative nature of current collateral frameworks through targeted reforms and cross-border collaboration.