2017年-FSB全球金融稳定委员会_Chairs_Report_on_the_Implementation_of_the_Joint_Workplan_for_Strengthening_the_Resilience_Recovery_and_Resolvability_of_Central_Counterparties_11页_363kb

Summary of the Chairs' Report on the Implementation of the Joint Workplan for Strengthening the Resilience, Recovery and Resolvability of Central Counterparties

Overview

In 2009, the G20 committed to clearing all standardised OTC derivatives through central counterparties (CCPs). Since then, the share of centrally cleared transactions has grown significantly, and the number of financial institutions using CCPs has expanded. Given the critical role of CCPs in the financial system, authorities must ensure that they do not become a source of systemic risk.

In 2015, the Chairs of several international bodies, including the FSB, CPMI, IOSCO, BCBS, and the FSB Resolution Steering Group, agreed to coordinate their efforts to enhance CCP resilience, recovery planning, and resolvability. A joint workplan was adopted, which aimed to develop further guidance and analysis of central clearing interdependencies. Implementation of the workplan has largely been completed.

The next phase of the work focuses on:

• Continued monitoring of the PFMI principles for CCP resilience and recovery, and finalising the supervisory stress testing framework.
• Implementation of the FSB Key Attributes for CCP resolution, including the establishment of Crisis Management Groups (CMGs) for systemically important CCPs in more than one jurisdiction.
• Further analysis of central clearing interdependencies.
• Assessing the impact of post-crisis reforms on incentives to centrally clear.

I. Resilience and Recovery

The CPMI and IOSCO have developed a comprehensive framework for CCP resilience and recovery through the PFMI. A review of the first Level 3 assessment report (August 2016) found that CCPs have made meaningful progress in implementing standards, but some gaps remain in financial risk management and recovery practices.

Key Publications:

• Resilience of CCPs (5 July 2017): Provides further guidance on financial risk management, including governance, credit and liquidity stress testing, coverage of financial resources, margin, and the use of financial resources to cover losses.
• Framework for Supervisory Stress Testing (28 June 2017): A consultative report on a framework for supervisory stress testing (SST) of CCPs, expected to be finalised in 2018.
• Guidance on CCP Recovery (5 July 2017): Offers additional clarifications in four areas: operationalisation of the recovery plan, replenishment of financial resources, non-default related losses, and transparency of recovery tools.

II. Interaction between Recovery and Resolution

The CPMI, IOSCO, and FSB have collaborated to ensure consistency between recovery and resolution standards. Key considerations include:

• Shared objectives: Preserving financial stability and ensuring continuity of critical CCP functions.
• Common principles: Participants should be able to measure, manage, and control exposures to losses or liquidity shortfalls, with flexibility in extreme scenarios.
• No creditor worse off than in liquidation (NCWOL): Assumes the full application of a CCP's loss allocation rules in resolution.
• Distinction between recovery and resolution: Recovery is managed by the CCP under regulatory oversight, while resolution is conducted by a resolution authority through a special administrator.

The FSB Key Attributes and FMI Annex provide a framework for CCP resolution that complements the resilience and recovery standards.

III. Resolution and Resolution Planning

On 5 July 2017, the FSB released Guidance on CCP Resolution and Resolution Planning, based on a discussion paper (August 2016) and a consultative document (February 2017). The guidance aims to support resolution planning and promote international consistency, particularly by:

• Clarifying the objectives and powers of resolution authorities.
• Identifying indicators for triggering resolution.
• Applying the NCWOL safeguard and determining the liquidation counterfactual.
• Developing resolution plans and conducting resolvability assessments.
• Establishing and operating CMGs.
• Enhancing cross-border cooperation and the effectiveness of resolution actions.

IV. Interdependencies in Central Clearing

The joint workplan identified the need to better understand the interdependencies among CCPs and their clearing members. A study group was formed to map these relationships and assess their systemic implications. Key findings include:

• Financial resources (initial margin and default fund) are concentrated in a small number of CCPs.
• Exposures to CCPs are concentrated among a small number of institutions.
• The network structure is characterised by a core of highly connected CCPs and financial institutions, with a periphery of less connected entities.
• Even less connected CCPs are linked to highly connected institutions, which connect them to the central part of the network.
• Clearing members and their affiliates provide critical services to CCPs, often maintaining multiple relationships with different CCPs.
• A small number of entities dominate each network, indicating potential systemic risk from shocks to these central elements.

Priorities for 2017/18:

• Conduct a streamlined data collection to quantify changes in central clearing interdependencies.
• Support ongoing analysis to assess the value of future and regular data collections.

V. Impact of Other Regulatory Initiatives on Incentives to Centrally Clear

Post-crisis reforms, such as the Basel III leverage ratio, margin requirements for non-centrally cleared derivatives, and capital requirements for exposures to CCPs, may influence the incentives for central clearing. It is important to evaluate these reforms' impact on the attractiveness of central clearing.

Priorities for 2017/18:

• A Derivatives Assessment Team (DAT) will review the incentives for central clearing, focusing on the interaction between margin requirements and other regulatory reforms.
• A final report is expected by the end of 2018.

VI. Actions and Timelines for 2017/18