升级全球金融安全网：综合储备存款的影响

Upgrading the GlobalFinancial Safety Net:Implications of a Synthetic ReserveDeposit Giovanni Dell’Ariccia, Pascal Farahmand, Pierre-Olivier Gourinchas,Istvan Mak, Adrian Peralta-Alva, and Francisco Roldan WP/26/125 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2026JUN IMF Working PaperResearch Department Upgrading the Global Financial Safety Net: Implications of aSynthetic Reserve Deposit Prepared by Giovanni Dell’Ariccia, Pascal Farahmand, Pierre-OlivierGourinchas, Istvan Mak, Adrian Peralta-Alva, and Francisco Roldan* Authorized for distribution by Julie KozackJune 2026 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:Sovereigns self-insure via reserve accumulation, prioritizing liquidity over yield. This practiceimposes opportunity costs and can amplify the convenience premium on traditional reserve assets. This paperevaluates Synthetic Reserve Deposits (SRDs), a pooling mechanism designed to improve the return-liquiditytrade-off. Participants would hold floating-value claims on a vehicle comprising a settlement buffer, aninvestment portfolio, and, in some designs, an optional collateralized liquidity window. The architectureseparates the allocation of portfolio risk from the provision of short-term foreign-currency liquidity: market riskremains with SRD holders, while liquidity is provided through redemption at contemporaneous executable valueor through secured advances. Simulations illustrate that the structure can shift the return-liquidity frontieroutward under explicit downside-risk constraints. General equilibrium modeling suggests that, if implemented atsufficient scale and under appropriate conditions, reallocating reserve demand through this mechanism couldincrease the effective supply of reserve claims and affect the global financial cycle, creating aggregate welfaregains and possibly Pareto improvements depending on initial global asset positions. Upgrading the Global Financial Safety Net:Implications of a Synthetic Reserve Deposit∗ Giovanni Dell’Ariccia1, Pascal Farahmand2, Pierre-Olivier Gourinchas1, IstvanMak3, Adrian Peralta-Alva1, and Francisco Rold´an1 1Research Department, International Monetary Fund2Finance Department, International Monetary Fund3Monetary and Capital Markets Department, International Monetary Fund June 26, 2026 Abstract Sovereigns self-insure via reserve accumulation, prioritizing liquidity over yield. Thispractice imposes opportunity costs and can amplify the convenience premium on tra-ditional reserve assets.This paper evaluates Synthetic Reserve Deposits (SRDs), apooling mechanism designed to improve the return-liquidity trade-off.Participantswould hold floating-value claims on a vehicle comprising a settlement buffer, an invest-ment portfolio, and, in some designs, an optional collateralized liquidity window. Thearchitecture separates the allocation of portfolio risk from the provision of short-termforeign-currency liquidity:market risk remains with SRD holders, while liquidity isprovided through redemption at contemporaneous executable value or through securedadvances. Simulations illustrate that the structure can shift the return-liquidity fron-tier outward under explicit downside-risk constraints.General equilibrium modelingsuggests that, if implemented at sufficient scale and under appropriate conditions, re-allocating reserve demand through this mechanism could increase the effective supplyof reserve claims and affect the global financial cycle, creating aggregate welfare gainsand possibly Pareto improvements depending on initial global asset positions. Contents 1Introduction42Related Literature7 3The Economics of Self-Insurance8 3.1The Insurance Value of Reserve Accumulation . . . . . . . . . . . . . . . . .93.2Structural Fragmentation of the Global Financial Safety Net. . . . . . . .103.3The Opportunity Cost of Reserves and the Safe-Asset Scarcity Externality .11 4Balance Sheet Mechanics13 4.1Claim Structure and Valuation. . . . . . . . . . . . . . . . . . . . . . . . .144.2Issuance and Redemption at Contemporaneous Market Value. . . . . . . .154.3Optional Standing Borrowing Window . . . . . . . . . . . . . . . . . . . . .164.4Margining and the Role of the Public Layer . . . . . . . . . . . . . . . . . .17 5Quantitative Illustrations 18 5.1Risk-Return Properties Relative to Traditional Reserves. . . . . . . . . . .195.2Asset Pricing Interpretation . . . . . . . . . . . . . . . . . . . . . . . . . . .21 6Liquidity Frictions and Tail Risk22 6.1Haircuts, Ma