Clearing des produits dérivés OTC

Clearing des produits
dérivés OTC :
Enjeux pour le buy-side et le sell-side
9 Octobre 2012
G20 statements: structuring transformation of OTC markets
2007 – 2008 financial turmoil
revealed the structural risks of OTC
markets
• 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)
At September 2009 G-20 Summit in Pittsburgh, the
leaders of the 19 largest economies and the European
Union agreed the following statement:
“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
New OTC regulation : dumped clearing and collateral management
4 main regulation streams on
OTC derivatives and clearing
Central clearing & trading of standard
OTC derivatives
• CCP clearing and organised trading of
•
EMIR
+ MiF 2
(trading)
DoddFrank
BIS &
IOSCO for
uncleared
trades
eligible OTC derivatives contracts
Eligibility defined by regulators based on
standardisation, liquidity, CCP offering
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
• Systematic reporting of all derivatives
contracts to Trade Repositories (or ESMA)
Basel 3 new counterparty risk capital
requirements
• Additional capital requirements for
CRD IV
(Capital
Requirements
Directive)
4 main CCPs for US and
Europe
Incentives for use
of clearing eligible products
Reporting to Trade Repositories
BIS
BCBS 227
Mandatory clearing starting Q1
2013 in the US and Q3 2013 in
Europe
•
uncleared positions (stressed EEPE, CVA
charge)
New capital requirements for cleared
positions
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
OTC clearing offer
EUROPEAN MARKETS
Rates
Credit
FX
US MARKETS
Dealer to
Client clearing
dealer status
status
LIVE
LIVE FOR IRS
(Q3 12 for FX
and Q4 12 for
CDS)
NOT LIVE
(CALENDAR TO BE DEFINED)
IN
PROGRESS
IN
PROGRESS
(Q3 2012)
(2013)
LIVE
IN
PROGRESS
(2013)
Rates
Credit
FX
Dealer to Client clearing
dealer status
status
LIVE
LIVE
LIVE
LIVE
(TBC for FX)
-
-
LIVE
LIVE
3
Asia region regulatory and CCPs timeline
Hong Kong
Japan
• Nov 2011: End of public consultation
• 17 July 2012: HKMA / SFC joint regulation
• May 2010: Voted amendment to Financial
Regulation
•
CCPs
proposal covering clearing, reporting to
trade repository end trading (31 Aug: end
of comment period)
1 Jan 2013: Target enforcement date
•
Singapore
Instruments and Exchange Act covering
clearing and reporting to trade repository
Nov 2012: Target mandatory clearing
enforcement date for IRS and CDS
• Mandatory on-shore CCP : NO
• Mandatory on-shore CCP : CDS YES, IRS
• Q4 2012: IRS and NDF on HKEx CCP
• TBD: FX and Equity derivatives on HKEx
•
CCP
Australia
•
NO
July 2011: CDS Index (Itraxx Japan) on
JSCC
Q3 2012: JPY IRS (dealer-to-dealer only,
client clearing Q3 2013) on JSCC
Regulation
•
• Mandatory on-shore CCP : NO
• No domestic CCP as of today
•
• 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
South Korea
• RBI regulation defining evolution of CCIL
• Nov 2011: Amendments to the Financial
capabilities
• Mandatory on-shore CCP : YES
• Dec 2009: Rupee / USD FX Forwards on
CCPs
•
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
India
• June 2011: Launch of Council of Financial
Regulators consultation mainly covering
clearing
1 Jan 2013: Target enforcement date
• 13 Feb 2012: MAS public consultation
CCIL
• Q4 2012 2012: Rupee IRS & FRA on CCIL
Investment Services and Capital Markets
Act submitted to the National Assembly
• Mandatory on-shore CCP : NO
• Q4 2012: KRW IRS on KRX
• TBD: CDS and FX (swaps, CRS)
with guarantee
On-going consultation
Proposed regulation
Validated regulation
4
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
Modèles Clearing & Custody provider
Accès
LD CCP
OTC
CCP
Accès
CSD
Collateral
PGM
Collateral
Liquidity
OTC
Derivatives
Cash
6
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
L’information contenue dans le présent document (l’information) est jugée fiable mais BNP Paribas Securities Services ne garantit ni son
caractère d’exhaustivité ni son exactitude. Les opinions et évaluations contenues ci-après sont émises par BNP Paribas Securities Services
et peuvent être modifiées sans préavis. BNP Paribas Securities Services et ses filiales ne sauront être tenues responsables des erreurs,
omissions ou opinions dans ce document. Cette documentation ne constitue ni offre ni sollicitation d’achat ou de vente d’aucun instrument
financier. Afin d’éviter toute ambigüité, toute information contenue dans le présent document ne saurait constituer un accord entre parties.
Des informations supplémentaires seront fournies sur demande.
BNP Paribas Securities Services est une entité de droit français à responsabilité limitée et autorisée par les régulateurs français (ACP et
AMF). Elle est régulée par la Financial Services Authority pour la conduite de ses activités financières au Royaume Uni et est membre du
London Stock Exchange. BNP Paribas Fund Services UK Limited, BNP Paribas Trust Corporation UK Limited et Investment Fund Services
Limited sont des filiales entièrement gérées par BNP Paribas Securities Services, constituées juridiquement au Royaume Uni et autorisées et
régulées par la Financial Services Authority. La branche BNP Paribas Securities Services London est autorisée par le CECEI , surveillée par
l’AMF et assujettie à la réglementation limitée de Financial Services Authority. Les détails sur l’étendue de notre réglementation par la
Financial Services Authority sont disponibles sur demande.
Les services décrits dans le présent document, s’ils sont offerts aux États-Unis, sont offerts par BNP Paribas ainsi que ses succursales et
leurs filiales. Les produits titres sont offerts par BNP Paribas Securities Corp., en tant que succursale de BNP Paribas, société de bourse
enregistrée auprès du Securities and Exchange Commission et membre du SIP C, du Financial Industry Regulatory Authority, du New York
Stock Exchange ainsi que d’autres bourses centrales.