2011年-IMF国际货币组织全球_Sweden_Financial_Sector_Assessment_Program_Update_50页_975kb

Summary of NASDAQ OMX Derivatives Markets (NOMX DM) Observance of CPSS-IOSCO Recommendations for Central Counterparties

Core Content

This document is a Detailed Assessment of Observance of the CPSS-IOSCO Recommendations for Central Counterparties (RCCPs) by NASDAQ OMX Derivatives Markets (NOMX DM), conducted by the International Monetary Fund (IMF) as part of the Financial Sector Assessment Program (FSAP) Update for Sweden in 2011. It evaluates the compliance of NOMX DM with the 15 recommendations, focusing on legal, operational, and regulatory aspects.

Main Findings

Legal Framework (Rec. 1)

• NOMX DM operates under a solid and consistent legal framework composed of the Securities Market Act, Settlement Systems Act, Financial Instruments Trading Act, and Bankruptcy Act.
• These laws support novation, netting, collateral pledge, default procedures, and finality.
• The Rules and Regulations (R&R) of NOMX DM define the contractual rights and obligations of members and customers.
• However, changes to the R&R are not formally approved by the Swedish Financial Supervisory Authority (FI), which could affect legal coherence and risk management consistency.

Participation Requirements (Rec. 2)

• NOMX DM has clear and publicly disclosed participation criteria for members, including minimum capital requirements (SEK 500 million for General Clearing Members (GCM) and SEK 10 million for Direct Clearing Members (DCM)).
• Direct pledge end customers are not subject to specific requirements, despite being direct counterparties of NOMX DM, which creates potential counterparty risk.
• The RMD (Risk Management Department) monitors the creditworthiness of members and customers through financial stability, performance, ownership, and debt ratings.

Financial Risk Management (Rec. 3-6)

• NOMX DM has a comprehensive risk management framework with real-time monitoring of participants' exposure and intraday margin calls.
• It regularly validates margin models and parameters.
• However, financial resources to cover extreme losses are not reliable due to a highly complex ring-fencing mechanism and lack of a mutualized guarantee fund.
• Collateral accepted includes non-liquid bank guarantees, which may not be sufficient during liquidity stress.
• Liquidity concentration is a concern due to the highly concentrated Swedish banking sector.

Custody and Investment Risks (Rec. 7)

• NOMX DM relies on custodian banks for collateral collection, valuation, and haircuts, which are also its members.
• This setup creates risk of collateral loss in case of custodian default.
• Real-time collateral composition data is not available, and only annual testing is conducted.

Operational Risk (Rec. 8)

• NOMX DM has two mirrored sites and a Business Continuity Plan (BCP), which is regularly tested.
• Operational risk is monitored by Internal Audit.

Money Settlements (Rec. 9)

• SEK and DKK settlements are conducted through RIX (Riksbank's payment system).
• Euro and Norwegian krona settlements use commercial banks (e.g., SEB).
• These systems are designated under the Settlement Finality Directive, ensuring finality and legal enforceability.

Physical Deliveries (Rec. 10)

• Physical deliveries are handled via securities settlement systems that ensure Delivery-versus-Payment (DvP), reducing the risk of payment without delivery.
• Obligations for physical delivery are clearly defined.

Risks in Links Between CCPs (Rec. 11)

• Not applicable, as there are no links between CCPs in the current structure.

Efficiency (Rec. 12)

• NOMX DM reviews pricing, service levels, and capacity regularly.
• It conducts periodic benchmarking with other CCPs in Europe to assess costs and fees.

Governance (Rec. 13)

• Governance is clearly defined and publicly available.
• Separation of reporting lines between risk management and other operations supports robust risk management.
• The head of risk management has veto power in key committees.
• Participants are not adequately represented in governance structures, and feedback from members is insufficient.

Transparency (Rec. 14)

• NOMX DM discloses its rules and documentation in an easy-to-understand format on its website.
• It has published a comprehensive self-assessment based on the RCCPs methodology.

Regulation and Oversight (Rec. 15)

• FI and RB have the capacity and resources to effectively regulate and oversee NOMX DM.
• They require information for oversight but lack sufficient understanding of the activities of NOMX COM, which could have spillover effects on NOMX DM.
• Cooperation between authorities is ongoing, but more risk-based approaches and efficiency improvements could be beneficial.

Key Concerns and Recommendations

Concerns

• Shared financial resources between NOMX DM and NOMX COM could lead to spillover effects in case of a default.
• Complex ring-fencing mechanisms may lead to legal uncertainty and delay in accessing funds.
• Outsourcing of margin collection to custodian institutions that are not effectively controlled by NOMX DM.
• Lack of specific participation requirements for direct pledge end customers.
• Limited real-time collateral monitoring and annual testing only.
• High liquidity concentration due to reliance on a few banks.

Key Recommendations

1. Implement a mutualized guarantee fund to ensure reliable liquidity.
2. Set specific participation requirements for direct pledge end customers.
3. Enhance real-time collateral monitoring and improve transparency.
4. Formalize approval of R&R changes by FI to maintain legal coherence.
5. Reduce reliance on a few liquidity providers by diversifying sources.
6. Improve member feedback mechanisms and ensure adequate representation of participants in governance.
7. Adopt a more risk-based approach in regulatory and oversight activities.
8. Strengthen cooperation between FI and RB, as well as with other relevant authorities.

Conclusion

NOMX DM is a well-established CCP in Sweden, providing clearing services for equity, fixed income derivatives, and repos. While it has positive features such as clear separation of lines, skilled staff, and a segregation account service, it faces several regulatory, operational, and liquidity-related challenges. The upcoming EMIR (European Market Infrastructures Regulation) is expected to bring about significant improvements to address these weaknesses.