清算機構場外衍生品集中清算風險監管制度研究

On Risk-Management Standards for Over-the-Couneter Derivatives CCPs

場外衍生交易清算機構高度集中了場外衍生交易的交易對手風險和操作風險，若喪失清償能力可能引發或加劇系統性風險，金融監管機構應當在衍生交易清算機構的成員資格、風險管理、違約管理等方面對其加強風險監管。監管構應在清算機構公平公開的成員準入要求與控制成員對清算機構和其他成員帶來風險之間實現平衡，對同時參加若干清算機構的成員施加較高的最低資本要求；加強清算機構的流動性風險和投資風險監管，要求清算機構建立危機後業務恢復、清算持續機制；在違約管理制度設計中應避免追加保證金要求引發成員的流動性危機乃至加劇金融統內流動性危機，以及非違約成員對違約基金增加出資限額不明確而產生的成員之間風險傳染效應。Over-the-counter derivatives CCPs concentrate counterparty credit and operational risk, the insolvency of which may create or amplify systemic risks. The relevant authorities for derivatives clearing organizations (DCOs) should therefore adopt and apply updated standards to DCOs in their jurisdictions in the aspects of participant eligibility requirements, risk management and of DCOs. The authorities should adopt rules requiring DCOs to establish appropriate access policied that provide fair and open access to DCOs, shile ensuring their own as well as clearing menbers' safety, and requiring DCOs to impose higher eligibility requirements for clearing members participating in multiple DCOs for there is a risk of inadequacy in clearing members' capital cover for all of the DCOs at which they are clearing members. The authorities should also strengthen the existing liquidity and investment risk management standards for DCOs, and adopt rules that require DCOs to implement sound system of operational risk management and buisness contnuity plans to mitigate the possibility of disruption to their services. In addition, the participant-default rules and procedures of DCOs should be designed to ensure that margin requirements of defaulting clearing members would not pose significant and unexpected liquidity risks to clearing members and to the broader financial system, and non-defaulting clearing members would not be exposed to losses that non-defaulting clearing members cannot anticipate or control due to additional guaranty fund contribution requirements.