2016年-FSB全球金融稳定委员会_Public_Responses_to_the_August_2016_discussion_note_on_Essential_Aspects_of_CCP_Resolution_Planning_7页_248kb

Summary of ABN AMRO Clearing Bank N.V. Response to FSB Discussion Note on CCP Resolution Planning

Core Content

ABN AMRO Clearing Bank N.V. (AACB) has responded to the Financial Stability Board (FSB) Discussion Note on Essential Aspects of CCP Resolution Planning. The response emphasizes the importance of developing a robust, globally harmonized recovery and resolution framework for central counterparty (CCP) failures. AACB supports the FSB's initiative and aligns with the joint industry response from FIA, IIF, ISDA, TCH, and GMFI.

AACB highlights the differences between exchange-traded derivatives (ETD) and bilateral over-the-counter (OTC) derivatives cleared by a CCP, arguing that these differences significantly affect risk profiles, liquidity, and the effectiveness of resolution tools. AACB stresses that a one-size-fits-all approach is not feasible and that recovery and resolution measures should be tailored to the specific CCP based on a range of objective factors.

Main Views

• ETD and OTC derivatives are fundamentally different in terms of structure, liquidity, and market characteristics.
• CCPs should have segmented default funds for different asset classes, with distinct risk weightings, to avoid spill-over effects and ensure more straightforward recovery.
• VMGH (variation margin gains haircutting) is a potentially dangerous tool that could lead to significant market instability, especially in ETD markets. AACB advocates for its limited and supervised use only in specific circumstances.
• Rulebook-led recovery measures should be prioritized over interventions by resolution authorities (RAs), and RAs should continue these measures when possible.
• Initial margin haircutting (IMH) is supported, but its implementation must be carefully considered.
• Partial tear-up (PTU) should be applied under pre-defined rulebook procedures and with the supervision of competent authorities or RAs.
• Central banks as liquidity providers are seen as beneficial, but their role should be accompanied by enhanced governance and oversight to prevent moral hazard.

Key Information

1. Differences Between ETD and OTC Derivatives

• ETDs are standardised, fully collateralised, and traded on exchanges or MTFs.
• OTC derivatives are bilateral, non-standardised, and often long-term.
• ETD markets are more liquid and transparent, while OTC markets are less so.
• ETDs are primarily used for risk-limiting transactions such as futures and options.
• ETDs are subject to netting, margining, and quick close-out in case of default.

2. Tailored Recovery and Resolution Frameworks

• Recovery and resolution measures must be customized to each CCP, considering:
  • Type of CCP (horizontal vs. vertical)
  • Asset classes cleared
  • Market liquidity
  • Number of clearing members and shareholders
  • Contract duration
  • Market structure and participants
  • Interoperability and cross-margining
  • Legal structure and supervisory regime
  • Access to central bank liquidity

3. Rulebook-Led Measures

• Existing rulebooks already include:
  • Use of margins and default funds
  • Skin-in-the-game (SIG) mechanisms
  • Depletion of default fund contributions
  • Additional cash calls
• These measures should be exhausted before involving resolution authorities.
• The RA should support and continue rulebook-led measures to ensure continuity and predictability.

4. VMGH Considerations

• VMGH is not suitable for ETD markets due to its potential to disrupt liquidity and create unhedged positions.
• VMGH should only be applied in limited scenarios:
  • In cleared OTC markets without market makers
  • For long-term contracts
  • For contracts difficult to replace
  • Where VM applies to all contracts
  • With a limited number of business days
  • Under the supervision of competent authorities or RA
  • Resulting in senior debt claims

5. PTU and IMH

• PTU should be applied in a sequential manner, starting with limited contracts.
• Clearing members should receive equity participations or senior debt claims based on the fair value of affected contracts.
• IMH is supported, but its use must be carefully calibrated.

6. Role of Central Banks

• Central banks as liquidity providers can help in times of crisis.
• Their role should be accompanied by enhanced governance and oversight to prevent moral hazard.

AACB believes that the development of a global, transparent, and predictable resolution framework is essential to ensure the stability and resilience of CCPs and the broader financial system.