2017年-FSB全球金融稳定委员会_Analysis_of_Central_Clearing_Interdependencies_28页_1mb

Summary of "Analysis of Central Clearing Interdependencies"

Introduction

This report, published on 5 July 2017, presents findings from the Study Group on Central Clearing Interdependencies (SGCCI), which was established by several international regulatory bodies to analyze and quantify interdependencies between central counterparties (CCPs) and major clearing members and financial service providers. The study aimed to better understand the systemic implications of central clearing and inform work on CCP resilience, recovery planning, and resolution. The analysis is based on a bespoke data collection from 26 CCPs across 15 jurisdictions in North America, South America, Europe, and Asia-Pacific, as of 30 September 2016. The data focus on private sector entities and exclude government institutions. The analysis is static, based on a single point in time, and does not consider second-round effects or endogenous feedback mechanisms.

Key Findings

• Concentration of Financial Resources: Financial resources (initial margin and default fund) are concentrated in a small number of CCPs. The top ten CCPs account for approximately 88% of the total financial resources provided to all CCPs.
• Concentration of Exposures: Exposures to CCPs are concentrated among a small number of institutions. The top 20 clearing members account for about 75% of the total financial resources provided to CCPs.
• Network Structure: The central clearing system is characterized by a core of highly connected CCPs and financial institutions, with a periphery of less connected entities. Even peripheral entities often maintain connections to the central part of the network, suggesting potential for contagion.
• Role of Clearing Members: Clearing members often provide multiple services to CCPs, such as custodianship, settlement, liquidity, and credit. However, the size of a clearing member as a clearing participant does not strongly correlate with its role as a service provider.
• Diversification of Cash Investments: CCPs' use of cash investment counterparties is reasonably well-diversified, with the top five cash investment counterparties accounting for just over one-third of all cash investments.

Data Overview

• Scope: Data were collected from 26 CCPs and 307 clearing members, covering a wide range of products and jurisdictions.
• Data Types: The data include both quantitative and qualitative information on various relationships such as:
  • Clearing members
  • Custodians (excluding central banks and CSDs)
  • Settlement banks (excluding central banks)
  • Intraday liquidity and settlement line providers
  • Credit and liquidity facilities providers
  • Third-party investment managers
  • Cash and non-cash investment counterparties
• Anonymization: CCPs provided anonymized data to protect identities, and only exposures to their top 25 clearing members were reported for each clearing service.
• Network Visualization: Node sizes in the network charts reflect the total financial resources or service provision, and the charts illustrate the interconnectedness of CCPs and their clearing members, as well as other financial service providers.

Interdependencies Between CCPs and Their Clearing Members

• The CCP-clearing member network is highly interconnected, with a core group of CCPs and clearing members that are very highly connected and a periphery of less connected entities.
• The largest clearing members often provide multiple services to CCPs, such as custodianship, settlement, and credit.
• The default of a CCP's top two clearing members could impact up to 23 other CCPs, though this is not a common pattern across all types of relationships.
• The default of the top five clearing members could lead to impacts on other CCPs, with the median number of affected CCPs being around two.
• Client initial margin represents a significant portion of the total margin posted by the largest clearing members, with the median being approximately 60% and in some cases close to 100%.

Interdependencies Between CCPs and Custodian and Settlement Banks

• Custodian and settlement banks are important for the operations of CCPs, providing collateral management and settlement services.
• The analysis of custodian and settlement banks is grouped due to their similar functions, but their data types differ: custodians deal with stock variables (assets under custody), while settlement banks deal with flow variables (settlement flows).
• The CCP-custodian and CCP-settlement bank networks are visualized, highlighting the distribution and scale of their relationships with CCPs.

Conclusion

• This report provides a descriptive analysis of the central clearing system and does not include policy recommendations.
• The findings highlight the concentration of financial resources and exposures within the system, as well as the potential for contagion through interconnected networks.
• The report underscores the importance of understanding these interdependencies to enhance CCP resilience and improve the overall stability of the financial system.