2016年-IMF国际货币组织全球_Germany_Financial_Sector_Assessment_Program_211页_2mb

Summary of the Detailed Assessment of Observance on Eurex Clearing AG for the CPSS-IOSCO Principles for Financial Market Infrastructures

Core Content

This report is a Detailed Assessment of Observance on the Eurex Clearing AG in Germany, conducted by the IMF Financial Sector Assessment Program (FSAP) in November 2015. It evaluates how Eurex Clearing complies with the CPSS-IOSCO Principles for Financial Market Infrastructures (PFMIs) and outlines recommendations for enhancing its resilience and contributing to financial stability.

Main Findings

Legal and Governance Framework

• Eurex Clearing has a sound, coherent, and transparent legal basis for its operations in Germany and across relevant jurisdictions.
• It is a global central counterparty (CCP) and a credit institution, licensed and regulated under German law.
• Eurex Clearing is a wholly owned subsidiary of Eurex Frankfurt AG, which is itself owned by Deutsche Börse AG.
• It has a clear governance structure, including Supervisory Board, Executive Board, and committees such as the EMIR Risk Committee, Audit and Risk Committee, and Risk Committee.
• The governance structure was reformed in line with EMIR requirements, including internal audit and compliance functions now managed internally.

Risk Management Framework

• Eurex Clearing has a comprehensive risk management framework that addresses financial, business, and operational risks.
• It has clear rules and procedures for managing participant defaults and CCP defaults, ensuring timely action to mitigate losses and maintain liquidity.
• Collateral is securely held in regulated central securities depositories (CSDs) and central bank accounts, and is subject to stringent eligibility criteria.
• Margining processes are risk-based, with initial and variation margin models designed to cover potential future exposures.
• It has intraday margin call capabilities and regularly reviews and validates its margin methodology.

Liquidity Risk Management

• Eurex Clearing has a robust liquidity risk management framework.
• It uses central bank money for settlement in Euro and Swiss Francs, covering over 90% of liquidity transactions.
• It conducts liquidity stress tests, including the Cover-2 test, which assesses the simultaneous default of the two largest clearing members.
• The report recommends increasing the frequency of liquidity stress tests to include price volatility and fire sale scenarios.

Settlement and Finality

• Eurex Clearing ensures finality of clearing transactions through German civil code provisions and insolvency laws.
• It uses Delivery-versus-Payment (DvP) and Receipt-versus-Payment (RvP) mechanisms to eliminate principal risk.
• The report suggests explicitly reflecting the moment of irrevocability and entry in its clearing conditions as per German law.

Collateral and Segregation

• Eurex Clearing uses three clearing models to ensure segregation of customer positions and collateral:
  • Individual client segregation model
  • Omnibus segregation model
• Customer collateral is held separately from clearing member collateral and Eurex Clearing's own assets.
• It has effective procedures for accessing and protecting assets, including sound internal controls and accounting practices.

Operational and Business Continuity

• Eurex Clearing has business continuity arrangements.
• It is encouraged to strengthen its secondary site with adequate staffing, resources, and functionalities to enable business-as-usual operations during disruptions.
• It has regular default simulations and fire drills to test its response mechanisms.

Key Recommendations

For Eurex Clearing

• Eliminate cross-managerial responsibilities between the head of CCP Risk Management and Clearing Product Design and Supervision to avoid conflicts of interest.
• Enhance liquidity stress testing by conducting them more frequently than quarterly, including scenarios involving price volatility and fire sales.
• Explicitly reflect the moment of irrevocability and entry in clearing conditions as per German law.
• Publish a consolidated risk management document for greater transparency.

For Authorities

• Strengthen the legal basis for the Bundesbank's oversight function over CCPs.
• Increase the intensity of on-site inspections to improve supervisory and oversight effectiveness.
• Enhance cross-border cooperation with European authorities, particularly through EMIR supervisory colleges and ESMA coordination.

Regulatory and Supervisory Framework

• Eurex Clearing is regulated and supervised by BaFin (Federal Financial Supervisory Authority), Deutsche Bundesbank, and FMSA (Federal Agency for Financial Market Stabilization).
• As a CCP, it is also subject to EMIR and ESMA oversight.
• It is classified as a "Less Significant Credit Institution" (LSI) under the Single Supervisory Mechanism (SSM), and thus subject to indirect ECB supervision.
• The ECB has a statutory role in overseeing financial market infrastructures (FMIs), particularly through the Eurosystem's conduct and the Regulation No 795/2014.

Institutional and Market Structure

• Eurex Clearing serves over 183 clearing members across 17 European countries.
• It provides clearing services for a wide range of instruments, including equities, bonds, repos, derivatives, and OTC interest rate derivatives.
• It maintains accounts at multiple CSDs and international CSDs, and reports to the trade repository REGIS-TR under EMIR.
• It does not have links to other CCPs, maintaining independent operations.

Conclusion

Eurex Clearing is well-positioned in terms of legal framework, governance, and risk management. It has successfully managed volatile markets and enhanced international standards. However, there are opportunities for improvement, particularly in risk segregation, liquidity stress testing, and legal clarity. The authorities are encouraged to strengthen oversight mechanisms and enhance cross-border cooperation to ensure financial stability and systemic resilience.