OFR-抵押物图谱全解.pdfVIP

Financial Research Advisory Committee Financial Services and Risk Management Subcommittee Collateral Map Recommendation Recommendation: The Financial Services and Risk Management (FSRM) Subcommittee recommends that the Office of Financial Research (OFR) consider building and populating collateral maps that depict the flow of collateral among market participants, their inter-linked relationships, and potential pressure points for key sectors of the financial market. The Subcommittee has developed a proof-of-concept for such a map outlining the flow of collateral to and from a Securities Lending Agent and to and from a derivative user, a Futures Commission Merchants (FCMs), and Derivative Clearing Organizations/Central Clearing Participants (DCOs/CCPs). Further, the Subcommittee recommends that the OFR focus attention on understanding the risks inherent in the flows of financial collateral, including the impact of large scale collateral liquidations, maturity mismatch risk between the terms of the collateral and the implicit liability being collateralized, the non-linear risks created by “semi-collateralized” exposures, and the potential risks associated with collateral transformation. Background: The Financial Research Advisory Committee (FRAC) previously recommended that the OFR develop a series of funding maps to highlight the sources and uses of funds, access to liquidity, and inter-linkages of participants in different sectors of financial markets, based on a proof-of- concept map that the Committee developed for the flow of funds to and from U.S. broker- dealers. Building on the prior recommendation, the FSRM Subcommittee is now proposing that the funding maps be extended to highlight the flow of collateral in key market sectors.   The use of collateral is widespread and often flows in the opposite direction of funding. Some of the more significant uses of financial collateral include securing: