Page 21 - 期货和衍生品行业监管动态（2024年3月）

期货和衍生品行业监管动态

CCP default simulation, and improvement of trade reporting data to monitor systemic

risk.”

Commissioner Pham added, “In a major step forward, the digital asset taxonomy

framework provides valuable foundational guidelines to further advance the

discussion and promote U.S. regulatory clarity, and was extensively vetted by

stakeholders such as regulatory authorities, financial institutions, asset managers,

market infrastructures, and service providers. I’m grateful to all of the GMAC and

Subcommittee members, especially the workstream leads, and the GMAC leadership

team for their substantial work.”

Each recommendation was approved without objection at the GMAC

meeting Wednesday, March 6. The meeting also included a keynote presentation from

Financial Stability Board (FSB) Secretary General John Schindler on the FSB’s 2024

work program and priorities, a panel discussion on the impact of the Basel III

endgame proposal on derivatives markets and access to clearing, and an update on the

GMAC’s earlier recommendation regarding appropriately calibrated swap block and

cap sizes to enhance market liquidity and financial stability.

Recommendations

Global Market Structure Subcommittee Recommendation - Inclusion of U.S.

Treasury ETFs as Eligible Initial Margin Collateral [forthcoming[

The use of exchange traded funds (ETFs) that invest in U.S. Treasury bonds has

dramatically increased in recent years. While standalone U.S. Treasury bonds can be

used as initial margin (IM) collateral for uncleared swaps, ETFs that invest in them

are not similarly eligible as collateral, despite being more diversified which can

mitigate idiosyncratic risk.

During many historic volatile trading sessions, certain UST ETFs have acted

globally as “shock absorbers,” providing real-time prices and liquidity. Most notably,

8