2018年-BIS国际清算银行_Incentives_to_centrally_clear_over-the-counter_OTC_derivatives_126页_4mb

Summary of Incentives to Centrally Clear Over-the-Counter (OTC) Derivatives – A Post-Implementation Evaluation of the Effects of the G20 Financial Regulatory Reforms

Core Content

This report, prepared by the Derivatives Assessment Team (DAT) under the Financial Stability Board (FSB) framework, evaluates the post-implementation effects of the G20 financial regulatory reforms on the incentives for centrally clearing OTC derivatives. It focuses on the interaction between regulatory reforms and market behavior, particularly in the context of capital, margin, and clearing requirements, and their impact on systemic stability and market transparency.

Main Views and Key Information

Regulatory Reforms and Central Clearing

• The G20 reforms aimed to reduce systemic risk in OTC derivatives markets by promoting central clearing.
• The central clearing of standardised OTC derivatives is a key pillar of the G20 commitments, including the clearing mandate, margin requirements, and capital and liquidity rules.
• Post-crisis reforms have led to a marked increase in central clearing, especially for interest rate and credit derivatives, with clearing levels rising from 24% (2009) to 62% (2017) for interest rate derivatives.
• Regulatory data and survey responses indicate that the combination of capital, margin, and clearing reforms has created a strong incentive for dealers and larger clients to centrally clear OTC derivatives.

Incentives and Cost Analysis

• Cost-Benefit Considerations: The reforms have introduced cost advantages for central clearing, particularly in terms of initial margin requirements and netting efficiencies.
• All-in Cost Comparisons: The report compares the cost of centrally clearing with bilateral trading, showing that central clearing is often more cost-effective, especially for frequently traded products.
• Voluntary Clearing: Some non-mandated derivatives are also being centrally cleared, driven by netting benefits and reduced capital requirements.
• Fixed Costs: Smaller or less active clients may face higher fixed costs for accessing central clearing, which can reduce their incentive to clear.

Market Access and Concentration

• Client Clearing Services: Most OTC derivatives market participants access central clearing through clearing service providers (CCSPs), rather than being direct members of central counterparties (CCPs).
• Concentration of Services: A small number of bank-affiliated firms dominate the client clearing market, with five firms accounting for over 80% of client margin for cleared interest rate swaps in the US, UK, and Japan.
• Access Challenges: Some smaller clients and those with directional portfolios report difficulties in accessing or maintaining central clearing, which can affect their incentives.

Non-Regulatory Factors

• Market Liquidity: Improved liquidity in central clearing can enhance the incentive to centrally clear, even for non-mandated products.
• Counterparty Risk Management: Better credit risk management and netting efficiencies are considered important non-regulatory factors that influence the decision to centrally clear.
• Regulatory Interactions: Regulatory factors such as leverage ratios and capital requirements can interact with non-regulatory factors, sometimes creating disincentives for client clearing service providers.

Policy Considerations

• Reform Scope and Design: The scope and design of the clearing mandate and initial margin requirements are key in shaping incentives for central clearing.
• Leverage Ratio: The leverage ratio can discourage client clearing, especially for firms with large initial margin exposures, as it may increase the exposure measure.
• G-SIB Methodology: The G-SIB methodology may not adequately distinguish between cleared and uncleared derivatives, potentially affecting the incentives for client clearing.
• Policy Adjustments: The report suggests that further analysis of the economic and regulatory factors influencing client clearing is needed to ensure that the reforms continue to support systemic stability and market efficiency.

Conclusion

The report concludes that the G20 reforms have largely achieved their intended goals of promoting central clearing and enhancing systemic stability. However, there are still challenges, particularly for smaller or less active clients, and some regulatory aspects may inadvertently affect the incentives for central clearing. The DAT findings emphasize the need for SSBs to consider the interaction of regulatory and non-regulatory factors when evaluating the impact of reforms and making policy adjustments.