2018年-FSB全球金融稳定委员会_Analysis_of_Central_Clearing_Interdependencies_34页_1mb

Summary of Analysis of Central Clearing Interdependencies

Core Content

This report provides an analysis of the interdependencies within the central clearing system, focusing on the relationships between central counterparties (CCPs), their clearing members, and critical financial service providers. The study was conducted by the SGCCI (Study Group on Central Clearing Interdependencies), a joint effort by several international regulatory bodies, including the FSB, CPMI, IOSCO, BCBS, and others. The goal was to map and quantify the connections between CCPs and other entities, assess systemic risks, and understand how financial distress in one part of the system might spread to others.

The data was collected from 26 CCPs across 15 jurisdictions in North America, South America, Europe, and Asia-Pacific. The findings highlight the concentration of financial resources and the interconnectedness of entities within the clearing system, emphasizing the potential for systemic risk.

Main Findings

1. Concentration of Prefunded Financial Resources

• Prefunded financial resources (initial margin + prefunded default fund) are heavily concentrated among a small number of CCPs.
  • The two largest CCPs account for nearly 40% of total prefunded financial resources.
  • The next eight CCPs account for an additional 50% of the total.
  • The remaining CCPs are significantly smaller.
• This concentration indicates that a few CCPs are central to the clearing system.

2. Concentration of Exposures Among Clearing Members

• Exposures to CCPs are concentrated among a small number of entities.
  • The largest 11 of 306 clearing members are connected to between 16 and 25 CCPs.
  • A clearing member's default could lead to defaults in up to 24 other CCPs.

3. Network Structure

• The network is characterized by a core of highly connected CCPs and entities, with a periphery of less connected ones.
• Even less connected CCPs often maintain links to at least one highly connected entity, indirectly connecting them to the core.

4. Dominance of a Few Entities in Critical Services

• A small number of entities dominate each of the critical services required by CCPs.
  • These include custodians, settlement banks, credit and liquidity providers, and investment counterparties.
• The concentration of these roles suggests that the failure of such entities could have significant consequences for the entire network.

5. Multiple Roles of Clearing Members

• Clearing members often provide multiple services to CCPs, including:
  • Custodianship
  • Settlement services
  • Intraday liquidity and settlement lines
  • Credit and liquidity facilities
  • Investment services
• The largest clearing members typically provide multiple services, with some providing up to six services.
• 27% of clearing members also provide credit to CCPs.
• 26% provide investment services.
• 16% provide intraday liquidity and settlement lines.

6. Changes in Interdependencies

• There is a notable shift in the concentration of initial margins from clients.
  • In October 2017, initial margins are concentrated in two CCPs, compared to one in September 2016.
  • This suggests a significant increase in client clearing at one CCP between these dates.

Key Data Overview

• Data Collection Date: 31 October 2017.
• Scope: 26 CCPs and 306 clearing members.
• Services Analyzed:
  • Clearing members
  • Custodians
  • Settlement banks
  • Intraday liquidity and settlement line providers
  • Credit and liquidity facilities
  • Third-party investment managers
  • Investment counterparties
• Data Type: Both quantitative and qualitative.
• Anonymization: CCPs submitted anonymized data to protect identities.
• Exposure Reporting: Only the top 25 clearing members were reported to reduce identification risk.

Interdependencies by Service Type

1. Custodians

• 29 out of 56 custodians are also CCP clearing members (40 out of 65 in 2016).
• 30 out of 56 custodians provide credit and liquidity facilities.
• 39 out of 56 custodians are investment counterparties.

2. Settlement Banks

• 59 out of 101 settlement banks provide clearing services.
• 55.3% of settlement banks are also investment counterparties.

3. Intraday Liquidity / Settlement Line Providers

• 49 out of 101 credit and liquidity facility providers provide intraday liquidity and settlement lines.
• 60.4% of intraday liquidity providers are also credit and liquidity facility providers.

4. Credit and Liquidity Facilities Providers

• 82 out of 101 credit and liquidity facility providers are also clearing members.
• 62.6% of credit and liquidity facility providers are also investment counterparties.

5. Third-Party Investment Managers

• 24 out of 56 custodians provide third-party investment management services.
• 79 out of 101 credit and liquidity facility providers are also investment counterparties.
• 82.8% of third-party investment managers are also clearing members.

6. Investment Counterparties

• 64.2% of investment counterparties are also clearing members.
• 31.7% of investment counterparties are also custodians.

Network Visualizations

• Network charts show the size of nodes as a proxy for the level of financial input (e.g., prefunded financial resources, assets under custody, settlement flows).
• The distance between nodes is not meaningful, as it is automatically assigned by the software.
• Node sizes are not directly comparable to previous reports due to different visualization settings.

Limitations of the Analysis

• The analysis does not assess second-round effects or endogenous feedback mechanisms.
• It does not measure risk in terms of net exposures across CCPs.
• It does not include information about internal risk management within CCPs or other entities.

Conclusion and Future Considerations

• The 2016 and 2017 studies provide a comprehensive overview of the central clearing system.
• They aim to inform CCP resilience, recovery planning, and resolution frameworks.
• The findings support policy discussions on systemic risk and interconnectivity.
• The study emphasizes the need for further research into the dynamic and systemic implications of these interdependencies, particularly in terms of risk transmission and contagion effects.

Annex Overview

• Annex A: Lists the 26 CCPs that participated in the data collection.
• Annex B: Describes the specific products cleared by each CCP.
• Annex C: Provides a breakdown of CCP clearing members by financial institution type and region.
• Annex D: Contains quantitative network statistics.
• Annex E: Examines the importance of nodes in a multi-layered network.