OFR-流动性及融资图谱.pdfVIP

Financial Research Advisory Committee Liquidity and Funding Working Group August 1, 2013 Executive Summary Overview • The Liquidity and Funding Working Group of the FSRM focused its work efforts around the development of a “Funding Map,” which illustrates the funding risks across financial market participants • A Funding Map is a graphical balance sheet view of the primary business activities and funding sources of a financial market participant • The Funding Map highlights key funding risks associated with the funding sources used by financial market participants, providing key insight into potential weaknesses and risks that could affect overall market financial stability • Approach: • The Working Group began by choosing “Bank / Dealers” as the sample financial market participant • First, the Working Group identified the primary business activities and funding sources for Bank / Dealers • Subsequently, the Working Group defined the key participants that interact with Bank / Dealers, grouping these into three categories: Cash Providers, Securities Lenders, and Leverage Takers • Given some activities require an intermediary between the Bank / Dealer and its counterparties, these were also identified and grouped into three categories: Triparty Agents, Repo Central Counterparties, and Clearing Exchanges • Directional arrows were added to connect external participants and intermediaries to the Bank / Dealer, reflecting the exchange of cash and/or securities • As a next step, the Working Group evaluated the durability of the Bank / Dealer’s funding sources, categorizing these into less and more durable funding types • The risks identified with less durable funding sources were highlighted and described on the Funding Map • As a final step, the group recognized several stress triggers that co