Clearing des produits dérivés OTC :

Transcription

1 Clearing des produits dérivés OTC : Enjeux pour le buy-side et le sell-side 9 Octobre 2012

2 G20 statements: structuring transformation of OTC markets financial turmoil revealed the structural risks of OTC markets At September 2009 G-20 Summit in Pittsburgh, the leaders of the 19 largest economies and the European Union agreed the following statement: Massive volumes ($625 trio versus $80 trio for exchange traded derivatives), based on significant leverage in regards to underlying markets (debt markets: $90 trio, equity markets: $44 trio) Transaction opacity and uncontrolled systemic-sized positions (e.g.: AIG seller of $400 bio CDS) Insufficient collateral (69% collateralised exposure only mark-to-market, 25% through CCPs) All standardized OTC derivative contracts should be traded on exchanges or electronic trading platforms, where appropriate, and cleared through central counterparties by end-2012 at the latest. OTC derivative contracts should be reported to trade repositories. Non-centrally cleared contracts should be subject to higher capital requirements. 1

3 New OTC regulation : dumped clearing and collateral management EMIR + MiF 2 (trading) Dodd- Frank BIS & IOSCO for uncleared trades BIS BCBS 227 CRD IV (Capital Requirements Directive) 4 main regulation streams on OTC derivatives and clearing Central clearing & trading of standard OTC derivatives CCP clearing and organised trading of eligible OTC derivatives contracts Eligibility defined by regulators based on standardisation, liquidity, CCP offering Incentives for use of clearing eligible products Rules for uncleared contracts Operational risk mitigation through processes standardisation (timely confirmation, reconciliation, compression) Counterparty risk mitigation through systematic and conservative collateralisation Daily independent valuation Reporting to Trade Repositories Systematic reporting of all derivatives contracts to Trade Repositories (or ESMA) Basel 3 new counterparty risk capital requirements Additional capital requirements for uncleared positions (stressed EEPE, CVA charge) New capital requirements for cleared positions Mandatory clearing starting Q in the US and Q in Europe 4 main CCPs for US and Europe Key drivers for development Products coverage Step 1: IRS, CDS Step 2: FX NDF & Options Step 3: Equities Cross-margining capabilities to minimise capital & collateral requirements 2

4 OTC clearing offer EUROPEAN MARKETS US MARKETS Dealer to Client clearing Rates Credit FX Rates Credit FX dealer status status Dealer to Client clearing dealer status status FOR IRS (Q3 12 for FX and Q4 12 for CDS) NOT (CALENDAR TO BE DEFINED) (TBC for FX) IN PROGRESS (Q3 2012) IN PROGRESS (2013) - - IN PROGRESS (2013) 3

5 Asia region regulatory and CCPs timeline Hong Kong Japan Singapore Regulation Nov 2011: End of public consultation 17 July 2012: HKMA / SFC joint regulation proposal covering clearing, reporting to trade repository end trading (31 Aug: end of comment period) 1 Jan 2013: Target enforcement date May 2010: Voted amendment to Financial Instruments and Exchange Act covering clearing and reporting to trade repository Nov 2012: Target mandatory clearing enforcement date for IRS and CDS 13 Feb 2012: MAS public consultation covering clearing, reporting and trading 23 May 2012: MAS proposed amendments to the Securities and Futures Act (SFA) on Regulation of OTC Derivatives 1 Jan 2013: Target enforcement date CCPs Mandatory on-shore CCP : NO Q4 2012: IRS and NDF on HKEx CCP TBD: FX and Equity derivatives on HKEx CCP Mandatory on-shore CCP : CDS YES, IRS NO July 2011: CDS Index (Itraxx Japan) on JSCC Q3 2012: JPY IRS (dealer-to-dealer only, client clearing Q3 2013) on JSCC Mandatory on-shore CCP : NO Nov 2010: IRS (notional 2012: SGD 162 bio) + energy swaps, FFA swaps, bulk commodity swaps on SGX AsiaClear Q4 2012: FX Forwards on SGX AsiaClear Australia India South Korea Regulation June 2011: Launch of Council of Financial Regulators consultation mainly covering clearing 1 Jan 2013: Target enforcement date RBI regulation defining evolution of CCIL capabilities Nov 2011: Amendments to the Financial Investment Services and Capital Markets Act submitted to the National Assembly Mandatory on-shore CCP : NO Mandatory on-shore CCP : YES Mandatory on-shore CCP : NO CCPs No domestic CCP as of today Dec 2009: Rupee / USD FX Forwards on CCIL Q : Rupee IRS & FRA on CCIL with guarantee Q4 2012: KRW IRS on KRX TBD: CDS and FX (swaps, CRS) On-going consultation Proposed regulation Validated regulation 4

6 International CCPs Equity / Fixed Income / Listed Derivatives / OTC Derivatives Multi Asset Provider Listed Derivatives / OTC Derivatives / Securities / Cash Client Clearing & Custody Cash & Collateral Management 1. Optimisation Margin / Currency / Deposits 2. Collateral Management Multi-product / Swaping / ext PGM (ICSD) 3. Portfolio Management Asset servicing / LD Clearing / Cash (Money Transfer) 4. Valorisation Produit complexe (OTC) Institutionnels + Corporate 5. Risques Environnement sécurisé (entité & business) Lien direct CCP / CSD / Custody systems 5

7 Modèles Clearing & Custody provider Accès LD CCP Accès CSD OTC CCP Collateral Liquidity Collateral PGM OTC Derivatives Cash 6

8 Still few CCP access client Clearing access Margin & Collateral Management Valorisation OTC Product for final investors & Corporate Risk management & Model Dedicated Multi-asset provider Market participant offer Costs direct / indirect Timing 7

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