Page 22 - 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

during the bond market volatility in 2020, volatility increased in U.S. Treasury bonds

as dealers’ balance sheets were constrained. During this time, many UST ETFs traded

at tighter bid-ask spreads than their portfolio of underlying bonds. For example,

dislocations in U.S. Treasuries caused the bid/ask spreads of “off-the-run” bonds with

a maturity of 20+ years to widen to almost 20 times that of the iShares 20+ Year

Treasury Bond ETF (TLT).

The inclusion of U.S. Treasury ETFs as eligible IM collateral under the CFTC

Margin Rules for Covered Swap Entities would enhance the robustness and resilience

of the collateral pipeline. This enhancement, driven by factors such as diversification,

liquidity, efficiency, and market stability, could prove beneficial for end-users seeking

a wider range of eligible IM, CSEs and the broader financial markets. Allowing UST

ETFs as IM collateral could not only help safeguard CSEs from counterparty default,

but also help reduce the overall risk in the financial system and limit the potential for

contagion arising from uncleared swaps.

The GMAC recommends the CFTC expand the universe of liquid assets that can

be posted as uncleared margin, specifically to include U.S. Treasury ETFs.

Technical Issues Subcommittee Recommendation – Publication of Resource
Document to Support Transition to T+1 Securities Settlement

As the United States prepares to transition to next-day trade settlement (T+1) for

securities in May 2024, the Subcommittee crafted a resource document to support

market participants. The document details products covered by the transition to T+1,

timelines for transition in various markets, and the benefits to the transition. The

document also highlights the implications T+1 has for various markets – particularly

foreign exchange markets, and discusses its impacts on transaction processes for

various products, including cross-border impacts. Further, it provides a list of

resources to help firms prepare for the transition.

Digital Asset Markets Subcommittee Recommendation – Adoption of an

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