Derivati OTC e l obbligo di utilizzo delle CCP

Transcript

1 Derivati OTC e l obbligo di utilizzo delle CCP Roma 20 Giugno 2011 Marco Polito CC&G - Head of Risk Management 1

2 Definizione di un sistema di post trading NEGOZIAZIONE POST-TRADING I sistemi di post trading rappresentano la parte nascosta, la più complessa e costosa da implementare, di quel processo finalizzato alla compensazione e alla garanzia del trasferimento dei titoli (e contante) dal venditore all acquirente I sistemi di post trading assicurano che gli accordi di scambio siano effettivamente adempiuti 2

3 La Filiera dei Mercati Negoziazione: Mercato Intermediari Compensazione e Garanzia: Controparte Centrale Intermediari Custodia e Liquidazione: Depositario Centrale 3

4 Cosa fa una CCP 1. Interposizione nel contratto Netting Legale - Si interpone tra le controparti di una transazione assumendo gli obblighi di ognuna dei confronti dell altra 2. Compensazione delle obbligazioni Riduzione del numero dei saldi da regolare - Calcola le obbligazioni nette assunte dagli intermediari nei confronti di ogni controparte o del sistema; - Riduzione dell assorbimento di capitale (Basilea III) 3. Contenimento del Rischio Costo di Sostituzione Meccanismi di Mark-to-Market - Impedisce il cumularsi di perdite, mediante meccanismi di mark-to-market giornaliero delle posizioni, caratteristica rilevante in particolare per i contratti a termine 4. Garanzia di Adempimento - Marginazione - Assicura il regolamento del contratto nei termini originari in caso di default della controparte acquisendo garanzie necessarie (margini) 4

5 Vantaggi di una controparte centrale La necessità di disporre di un garante dell integrità del mercato fu avvertita in primo luogo per gli strumenti a esecuzione differita ( a termine ) in quanto esponevano la controparte in bonis al rischio di perdite cumulate sull intero intervallo temporale fra la pattuizione e l adempimento Con il crescere della sensibilità verso i rischi finanziari, il ruolo di controparte centrale si è progressivamente andato estendendo anche ai mercati a contante. La certezza dei termini di contrattazione e del buon fine delle transazioni sono condizioni che devono essere soddisfatte necessariamente nei mercati elettronici in quanto: i meccanismi di funzionamento del mercato non consentono la selezione della controparte contrattuale; le controparti sono infatti abbinate sulla base di algoritmi basati sulla priorità prezzo-tempo delle proposte immesse la realizzazione di economie di network caratteristiche dei mercati elettronici favoriscono il progressivo ampliamento dei partecipanti al mercato Necessità di fornire al mercato funzioni di garanzia che rendano superflua la valutazione, da parte dei singoli partecipanti, della affidabilità degli altri partecipanti e quindi la valutazione del rischio di credito della controparte Gestione dell inadempimento in via unilaterale anziché multilaterale 5

6 Effetti di stabilità finanziaria Una CCP, per definizione, concentra e rialloca il rischio. Come tale, essa ha il potenziale o di ridurre o di accrescere il rischio sistemico nel mercato: I rischi vengono identificati e coperti attraverso adeguate risorse finanziarie Il quadro normativo è chiaro e non ambiguo I Partecipanti sono ritenuti responsabili per le perdite che creano in modo da scoraggiare comportamenti imprudenti Le procedure di Risk management vengono implementate correttamente, non solo in teoria I Rischi Operazionali vengono ben gestiti 6

7 Struttura del sistema di garanzia 1 - Requisiti di Adesione 3 Default Funds 2 - Margini 7

8 Struttura del sistema di garanzia In caso di Default di un partecipante, l integrità del mercato è preservata tramite l utilizzo di un sistema di salvaguardia finanziaria su più livelli: Rimanenti Mezzi Propri di CC&G Rimanente Default Fund Mezzi Propri di CC&G fino a 5 mln Contributo dell insolvente ai Default Funds Margini depositati dall insolvente

9 Evoluzione e Scenari Futuri Il G-20 pone le CCP al centro della salvaguardia del sistema finanziario mondiale: The European Commission has identified CCP-clearing as the main tool to manage counterparty risks and the G20 shares this view. Currently, CCPs provide services on a European basis but remain regulated at national level, as there is no Community legislation covering CCPs. While the ESCB-CESR recommendations have started a process of converging national approaches, they are not binding. In view of the CCPs systemic importance, the Commission intends to propose legislation governing their activities so as to eliminate any discrepancies among national legislations and ensure safety, soundness and proper governance Stati Uniti Dodd-Frank Act Le CCP sono Systemically Important Financial Infrastructures - SIFI Unione Europea European Market Infrastructures Regulation (EMIR) CPSS-IOSCO 24 Principi sulle Infrastrutture di Mercato a livello mondiale per assicurare un level playing field Basilea 3 aumento dei requisiti di capitale per esposizioni bilaterali (senza CCP) Assorbimento ridotto per esposizioni nei confronti di CCP che osservano i principi CPSS-IOSCO Assorbimento normale per esposizioni nei confronti di CCP che non osservano i principi CPSS-IOSCO G-20 Meeting Dodd-Frank Act EMIR CPSSIOSCO Basel 3

10 Basilea III: Capitalizzazione delle esposizioni delle banche verso le CCP Il nuovo regime ipotizza che le CCP non siano completamente risk-free, introducendo un requisito di capitale non nullo sull esposizione delle banche nei confronti delle Controparti Centrali Le CCP vengono distinte in Qualifying CCP e Non Qualifying CCP, a seconda che soddisfino o meno i principi CPSS IOSCO Vengono creati degli incentivi affiché le esposizioni bilaterali in derivati OTC vengano trasferite alle CCP cosiddette Qualifying, in modo da beneficiare del netting multilaterale e del meccanismo di mutualizzazione delle perdite proprio delle CCP stesse E attualmente in corso un Quantitative Impact Study (QIS), per monitorare gli impatti del nuovo regime proposto. Sono previste quattro simulazioni basate su dati al 31 Dicembre 2010 (simulazione conclusa), al 30 Giugno 2011, al 31 Dicembre 2011 e al 30 Giugno

11 Basilea III: Alcuni Commenti Necessità di costruire un lessico comune tra logica delle infrastrutture di mercato e vigilanza bancaria: Il nuovo regime si applica solo agli Strumenti Derivati e ai Repo escludendo i restanti strumenti; le CCP hanno invece un approccio olistico al rischio Vengono previsti assorbimenti di capitale diversi tra Margini e Default Fund, fornendo incentivi ad accrescere l esposizione in margini e a mantenere al minimo il livello del Default Fund. Tale approccio sembra ridurre l efficienza delle CCP: infatti il Default Fund è una risorsa flessibile che permette di coprire scenari molto differenti di stress test ed ha inoltre la funzione di incentivare i Clearing Members ad effettuare opportune valutazioni dei sistemi di rischio delle CCP L approccio ponderato e le regole di nettizzazione proposte nel Current Exposure Method (CEM) sono diversi dagli attuali metodi di misura delle esposizioni delle CCP: secondo i principi CPSS IOSCO una CCP deve effettuare richieste di margini per coprire i normali rischi di mercato, mentre il Default Fund deve essere utilizzato in situazioni di stress dei mercati a copertura almeno dei movimenti del più grande Clearing Member 11

12 EU Market Infrastructures Regulation Single EU-wide legislative environment and to avoid inconsistent treatment of different asset classes CCP Regulation covering the following key aspects: Conduct of business and governance Risk-management standards Legal protection to collateral and positions Authorisation Recognition of third country CCPs Shift from non-binding recommendations and self-regulation to binding legislation Three work streams: 1. Amending the MiFID and the Market Abuse Directive, to foster transparency and market integrity in the derivatives market. For instance, requirements on transaction and position reporting would also be introduced for OTC derivatives Amending the Capital Requirements Directive, in line with the work of the Basel Committee on Banking Supervision. In particular, the difference between the capital charges for centrally-cleared and bilaterallycleared contracts would be widened. Furthermore, the operational risk approach might be re-shaped to prompt standardisation of contracts and electronic processing. Relevant for CCPs as Regulatory capital requirements for financial institutions will potentially vary according to the quality of the CCP (i.e. lower capital requirements only with CCPs which are CPSS-IOSCO compliant). 3. Draft of a proposal for new comprehensive European Market Infrastructures Regulation (EMIR) to enter into force in This would encompass CCPs... In particular, the draft legislation would introduce common legal frameworks for CCPs These would include requirements for their safety and soundness (e.g. conduct of business and governance, risk management standards) and authorisation/registration to operate in the EU. 13

13 Grazie 14

14 Central Counterparties in Crisis - 1 Caisse de Liquidation (Paris ) Prices in the Paris White Sugar Market doubled between September and November 1974, but were then subject to a correction. This volatility was partly caused by the entrance into the market of speculative investors, who may not have been fully aware of the risks they were taking. Some clearing members put forward orders on behalf of their customers without obtaining their prior authorisation. Many participants were unable to meet the margin calls to meet this market volatility, and the losses of one sugar operator in particular, the Nataf Trading House, prompted the Ministry of Commerce to close the market. The clearing house (Caisse de Liquidation) exacerbated the situation in three ways: it did not adjust margin requirements, which were set on absolute amounts, to respond to the rapid rise in prices, even after being requested to do so by market participants in September; It was aware that one clearing member (Nataf) held a sufficiently large proportion of the sugar futures contracts in the market to have an effect on market prices, but failed to inform the exchange; and the allocation of losses was not transparent. A regulation, Article 22, was applied, so that on the reopening of the market contracts would be settled at the average price of the last 20 days (which was considerably higher than the price at the suspension of trading). This was followed by considerable legal wrangling, which included a decision by a court of appeal to reverse this judgement, and the refusal of two of Nataf s guarantors to cover the sums they were deemed to owe. The clearing house, which was liable to settle the outstanding contracts, became insolvent when it was clear that its shareholders were not indemnified. The sugar market did not reopen until June 1976, under new clearing rules. (Hills, Rule, Parkinson and Young; Bank of England Financial Stability Review June 1999) 15

15 Central Counterparties in Crisis - 2 Kuala Lumpur Commodity Clearing House (1983) Massive defaults on the Kuala Lumpur Commodity Exchange Palm Oil contracts occurred following market concentration, a squeeze on prices and an accumulation of uncovered selling positions by a particular broker. As a result, six brokers defaulted on positions of $70 million and trading was suspended. A task force, set up by the Malaysian government, issued a report that laid much of the blame for the crisis on management inaction in the clearing house: in particular there was a period of 12 days between the market squeeze and the broker default, during which margin was raised but disputed contract registrations were not speedily addressed and emergency powers were not invoked. Officials at the three-year-old Kuala Lumpur Commodity Clearing House lacked experience, and lack of co-ordination between the exchange, the clearing house and the Commodity Trading Council was highlighted. The task force also focussed criticism on brokers who, they felt, should do more to assume their share of the risk monitoring in particular, showing due caution in the acceptance of clients and not trading beyond their abilities. Higher minimum capital requirements were suggested as a means of improving the quality of brokers and that brokers should leave deposits with the exchange in relation to the volume of their trading. The latter was a rudimentary attempt at margining as the deposits were to be related to the volume rather than the risk of trades. In conclusion, though, the task force recommended that the central counterparty be re-established. (Hills, Rule, Parkinson and Young; Bank of England Financial Stability Review June 1999) 16

16 Central Counterparties in Crisis - 3 Hong Kong Futures Guarantee Corporation (1987) During the stock market crash of 1987, both the stock and futures exchanges in Hong Kong were closed for four days. It was clear that the value of long positions in the Hang Seng Index future would fall dramatically when the futures exchange reopened, which prompted fears that participants would default on margin calls. Indeed, the fear that the scale of losses would exceed the total reserves of the guarantee fund prompted the government and private institutions to prepare a rescue package for the fund, much of which was required to meet defaulters positions. The guarantee fund (HKFGC) was separate from the clearing house (ICCH (HK) itself separate from the futures exchange). This meant that there was an asymmetry of information and risk: the clearing house was responsible for monitoring positions, but was not exposed to losses in the event of default, whereas the guarantee fund was exposed to losses but dependent on the clearing house for its risk monitoring. This meant not only that the guarantee fund was exposed if information was not effectively shared, but that traders, who were not exposed to the losses of the guarantee fund, had little incentive either to monitor the clearing house s risk management or to follow prudent trading strategies. In practice, there had been failures of risk management: for instance, margin on the main Hang Seng Index future had not been raised in line with the 2,000 per cent growth in turnover of the contract in the two years since it had been introduced. Despite the fact that these failures in the management of the clearing house actually increased risks in the system during the crash, the report of the committee set up to investigate the response of Hong Kong s financial system to the stock market crash of October 1987 (Hay Davison 1988) recommended that a central counterparty should be reestablished. The committee recommended that it should act as counterparty to every trade, and that part of its risk should be backed up by a fund made up of deposits from clearing members, and part laid off externally (via a guarantee from a banking syndicate or insurance). The committee argued that the advantages of having a single body to monitor and control the risks in the system on the basis of daily information on the position of all the brokers in the market and the operational benefits outweighed any possible disadvantages associated with the concentration of risk, as long as effective risk management can be assured. It described the prudent operation of central clearing houses as perhaps the single most important objective for market authorities and regulators. (Hills, Rule, Parkinson and Young; Bank of England Financial Stability Review June 1999) 17