美国三方回购市场：机制、系统性风险与监管

摘要

The US tri-party repo market was thought of safe harbor for short-term financing. Unfortunately, repo ran during the crises during 2007-2009 and its vulnerability was exposed. Daily "relaxation" mechanism and the intraday credit made clearing banks undertake default risk, interest rate risk and market risk of the collateral of all counterparties, any one party breaches will cost in bank capital ratio sharp decline, confidence shake in the market, and create systemic financial crisis. Therefore, to reform the market mechanism, strengthen the liquidity risk management, and enhance market transparency, will effectively reduce the systemic risk, and improve the stability of the financial system.%美国三方回购市场被认为是流动性高且比较安全的短期融资市场，然而，2007—2009年的金融危机暴露了该市场的脆弱性：每日“松绑”机制和日内信用使清算银行承担了所有的交易对手方违约风险、抵押品的利率风险和市场风险，任何一方违约都会造成清算银行资本比例的大幅下降，动摇市场信心，引发系统性金融危机。因此，对该市场机制进行改革、加强流动性风险管理、提高市场透明度等，将有效降低系统性风险，增强金融体系的稳定性。