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压力测试和流动性风险管理

概述

存流动性风险管理(LRM)项目负责测量, 监控, 和 managing the liquidity risks that arise in or are born by each of the 存 清算 Agencies: The Depository Trust Company (直接转矩), 国家证券结算公司(NSCC)和固定收益结算公司(FICC). LRM monitors the sufficiency of each of the 清算 Agencies’ liquid resources in all relevant currencies to ensure they are able to effect same-day, 盘中, 和多日结算付款义务, 是适用的, with a high degree of confidence under a wide range of foreseeable stress scenarios that includes the default of all members of the Affiliated Family with the settlement obligation that would generate the largest aggregate payment obligation in extreme but plausible market conditions (Cover One st和ard). LRM is also responsible for advising each 清算 Agency in deploying its liquidity tools to meet their settlement obligations. 中进一步描述了这些活动 存 清算 Agency Disclosure 框架s for Covered 清算 Agencies 和 Financial Market Infrastructures – Principle 7: Liquidity risk; CCAS 17Ad-22(e)(7).

目标

The objective of Liquidity Risk Management at 存 is to prepare for the potential insolvency of a member or affiliated family with the largest aggregate liquidity exposure (i.e.，符合第一期标准). LRM monitors liquidity risk by performing daily simulations that measure liquidity needs over the settlement cycle 和 seeks to assess 和 maintain qualifying liquid resources in an amount sufficient to cover 和 manage this risk under a wide range of foreseeable stress scenarios. 流动性风险小组积极监测未来的结算日期，并根据需要进行外展. These simulations utilize regulatory 和 informational stress scenarios which represent a wide range of historic 和 hypothetical events with various levels of stress applied. These scenarios are developed either by LRM or in collaboration with the Stress Testing 和 Systemic Risk Office, 遵循已定义的治理流程来创建, 修改, 退休的情景.

Liquidity Risk is presented differently in each 清算 Agency; therefore, 风险管理实践是澳门赌场独特的, FICC, 直接转矩:

为股票提供集中清算和结算服务, 公司债券, 市政债券, 及单位投资信托基金. NSCC为测量维持流动性风险管理框架, 监测和管理其潜在的流动性需求, which is designed to ensure that NSCC maintains sufficient liquid resources to timely meet its payment (principally settlement) obligations in the event of a Participant default. 在日常生活中, FRM measures the amount of liquidity that would be required by NSCC in the event that the Participant or Participant family with the largest aggregate liquidity exposure fails to settle (Cover One st和ard). 然后，澳门赌场寻求维持合格的液体vns6060威尼斯城官网，其数量足以覆盖这一风险. NSCC’s liquidity resources include (i) cash in its 清算 Fund; (ii) cash that would be obtained from NSCC’s committed 364-day credit facility with a consortium of lenders; (iii) supplemental liquidity deposits, 哪些是为了弥补流动性风险的增加, required from those Participants whose activity would pose the largest liquidity exposure to NSCC; 和 (iv) a default liquidity facility comprised of cash from the sale of commercial paper, 发给机构投资者的可延期票据和定期债券.

NSCC provides daily reports to its members to view their current liquidity obligations 和 available resources via 美国公共电视台.

LRM manages FICC Government Securities Division (GSD) 和 Mortgage Back Securities Division (MBSD) liquidity risks with the objective to maintain sufficient liquidity resources to be able to fulfill obligations that have been guaranteed by FICC to non-defaulting members in the event of the default of the largest individual member or affiliated family of a GSD 和/or MBSD member. LRM calculates member-level liquidity needs for GSD 和 MBSD 和 aggregates the amounts to the affiliated family level assuming all affiliates fail simultaneously.

MBSD为待公布机构(TBA)证券提供结算服务, 机构TBA选项, 和机构指定池. A Funds only 结算 (FOS) charge is also included in the liquidity need calculation when applicable.

  • TBA一般在每月4个TBA SIFMA分类结算日(A、B、C、D)进行结算。. 美国的抵押贷款支持证券.S. 通常是按TBA交易的吗, meaning the identity of the securities to be delivered to the buyer is not specified exactly at the time of the trade.

邮政服务署为合资格的美国公司提供结算服务.S. 国库券, 笔记, 财政部条, 政府机构证券, 一般担保工具(GCF)和回购协议交易(repo). A Funds only 结算 (FOS) charge is also included in the liquidity need calculation when applicable.

  • GSD’s peak liquidity needs are generally observed around quarter-end 和 year-end as well as in line with treasury auction dates.

FICC’s qualifying liquid resources include (i) cash in its 清算 Fund 和 (ii) the Capped Contingent Liquidity Facility (CCLF), which allows FICC to obtain short term financing (subject to a cap per member) collateralized by the incoming securities being delivered to the defaulter 和 securities deposited to the FICC 清算 Fund (see GSD规则22A，第2a节 和 MBSD规则17,Section 2a).

FICC为GSD和MBSD提供每日报告 RTTM to allow members to view their current 和 rolling CCLF obligations 和 to manage 和 track their projected obligation for the upcoming reset.

直接转矩提供寄存和入账服务, 包括证券凭证和其他票据的托管, 以及符合条件的证券类型的结算和资产服务，包括, 等, 股票, 认股权证, 权利, 公司债务及票据, 市政债券, 政府证券, 资产支持证券, 存托凭证和mmi. LRM’s activities assume that 直接转矩 operates on a fully collateralized basis 和 limits its members’ settlement obligations to the amount of available liquidity resources such that potential secured borrowing needs are supported by sufficient collateral. 直接转矩’s liquidity resources are an all-cash Participants’ Fund as well as a committed 364-day credit facility with a consortium of lenders.

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