Risk Management and Financial Institution Chapter 17 —— Regulation of the OTC Derivatives Market
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文章目录
- Risk Management and Financial Institution Chapter 17 —— Regulation of the OTC Derivatives Market
- 17.1 Clearing in OTC Markets
- 17.1.1 Margin 保证金
- 17.1.2 Central Clearing
- 17.1.3 Bilateral Clearing
- 17.1.4 Netting
- 17.1.5 Events of Default
- 17.2 Post Crisis Regulatory Changes 危机后监管变化
- 17.2.1 Uncleared Trades
- 17.2.2 Determination of Initial Margin: SIMM 如何决定初始保证金
- 17.3 Impact of the Changes
- 17.3.1 Liquidity 流动性
- 17.3.2 Rehypothecation 再抵押
- 17.3.3 The Convergence of OTC and Exchange-Traded Markets
- 17.4 CCPs and Bankruptcy
Risk Management and Financial Institution Chapter 17 —— Regulation of the OTC Derivatives Market
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exchange —— 存在exchange clearing house,requires margin
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OTC trade directly with each other,no need to disclose the ditails
17.1 Clearing in OTC Markets
- 两种方式:
- central clearing 有CCP,central counterparty 存在
- bilateral clearing
17.1.1 Margin 保证金
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Variation margin 变动保证金—— reflect the change in the value of a derivatives portfolio
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if outstanding derivatives have a value of +V to B at a particular time, B should have posted a total of $V of collateral with A by that time
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To allow for adverse movements in the value of the portfolio during a period prior to default when no margin is being posted, market participants sometimes require initial margin in addition to variation margin
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reflects the risk of a loss due to adverse market moves and the costs of replacing transactions在违约变现的情况下,如果价格往不利方向变动,则可以用初始保证金弥补
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hair cut —— This means that the market value of the securities is reduced to determine their value for margin purposes
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initial margin 是有利息的
17.1.2 Central Clearing
- 通过Central Clearing 交易双方没有信用风险
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三家大型的CCP in the world
- Swap Clear(part of LCH Clearnet in London)
- ClearPort(part of the CME Group in Chicago)
- ICE Clear Credit(part of the Intercontinental Exchange)
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Cash and Treasury instruments are usually accepted as margin by CCPs
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he initial margin required from a participant at any given time reflects the volatility of the value of its total position with the CCP
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CCP 要求会员贡献default fund
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waterfall defines who bears the loss:
- The initial margin of the defaulting member
- The default fund contribution of the member
- The default fund contributions of other members
- The equity of the CCP
17.1.3 Bilateral Clearing
- 使用ISDA master agreement
- 细节包括抵押的使用,品种,haircut使用在CSA,信用支持附件中
17.1.4 Netting
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all transactions between two parties are considered to be a single transaction when:
- collateral requirements are being calculated计算抵押品时
- early terminations occur because of a default违约提前终止时
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netting 可以降低信用风险,减少initial margin
17.1.5 Events of Default
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early termination的情形包括:
- Events of default include declarations of bankruptcy
- failure to make payments as they are due
- failure to post collateral when required
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derivatives transactions 不需要法院命令即可处置抵押品
17.2 Post Crisis Regulatory Changes 危机后监管变化
- 变化包括:
- 要求所有标准OTC衍生品在CCP结算
- 标准OTC衍生品需要通过电子平台进行交易,价格更透明,这个平台称为 OTFs,organized trading facilities
- 所有的交易都报告到交易中心知识库中
- approximately 75% of OTC transactions are now cleared through CCPs while 25% are cleared bilaterally
17.2.1 Uncleared Trades
- 那些没有经过CCP的交易,必须提交保证金
- 不仅仅是变动保证金,还有初始保证金
17.2.2 Determination of Initial Margin: SIMM 如何决定初始保证金
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Note that initial margin is the mirror image of VaR
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This is because exposure increases as the uncollateralized value of a portfolio increases
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Initial margin is specified in the regulations for portfolios of uncleared transactions between two parties as the gain in value over 10 days that we are 99% certain will not be exceeded in stressed market conditions
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现如今的方法,由ISDA提供,SIMM方法:(不懂)
- Delta and Vega
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gamma,假设delta是0,no cross gamma
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Estimates of the mean and standard deviation of portfolio change over 10 days:
17.3 Impact of the Changes
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Post-crisis, the vast majority of OTC derivatives will require initial margin
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A related consideration is that, as more transactions are cleared through CCPs, more of the funds of a financial institution will be tied up in default fund contributions.
17.3.1 Liquidity 流动性
- 金融工具的流动性在任何时候都有可能枯竭
- 在未来,二维的评估对银行来说是必须的,一个是capital要求,还有就是流动性
17.3.2 Rehypothecation 再抵押
- 在危机之前,因为再抵押,抵押品的价值其实翻了4倍
- 巴塞尔委员会以及IOSCO机构要求,初始保证金只能再抵押一次
17.3.3 The Convergence of OTC and Exchange-Traded Markets
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交易所与OTC的界限逐渐模糊
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更多的OTC交易被定性成为“标准”
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交易所降低“标准”从OTC市场夺取市场
17.4 CCPs and Bankruptcy
- CCP功能:
- choosing members
- valuing transactions
- determining initial margins and default fund contributions