Economics: Transformation Risk Sorry to spoil this thread's 8 yr history of 0 replies, but yr propositional layout is too important/tantalizing to ignore. "Brighter minds" are probably hoping no one suggests such a creation/use of EFT- shares because it (might) corrodes their current exemption status. Also, any loss of flexibility/control over the particular mix of their portfolios; they undoubted trade parts of their "buy and hold" ( resort the mix) when they deem it advantageous/ necessary, would be resisted.
But back to yr suggested structure, the concern would be: if the market is stressed enough to cause the funds issues converting bonds to cash to satisfy a margin call, won't "yr" EFT securities be downgraded in value when the end user converts them to cash?
But that's not the real issue is it? The CCP's purpose is to prevent the over reaching of pension funds... mismanagement that is, causing loss to the pension funds' investors. Can tying up a portion of a pension fund's collateral help or just take pressure of national governments propping up f/ailing pension funds? Probably!
The Australian Federal govt/Reserve Bank holds cash reserves of banks in country ( they were called Short and Long term deposits...50 yrs ago.Don't know the current name for them) in return for govt guaranteeing "extreme" margin calls...runs...
Sadly,this reply hasn't answered yr question, just restated the reason for yr creative thinking. Can't put the finger on it, but like you sense, there is a feeling that yr layout lacks something. Hope this hasn't wasted yr time (reading this), but at least shows there are others who share such interests, if not yr level of informedness...
Did the PFs eventually get brought into the CCP's net? If so, under which system, standard cash conversion or mixed quality bonds... pay good money for a pg in a poke?....smile tinged with world wise sadness.