存 Managing Director 蒂姆·赫尔斯 oversees various teams including stress testing, 默认的管理, and market risk management for each Systemically Important Financial Market Utility (SIFMU) under the 存 umbrella. 与 美国证券交易委员会(SEC)宣布了新的规则 增加中央清算的美国.S. 美国国债, 存’s Risk team has been steadily fielding inquiries from clients about the implications for their business, especially from firms that have never been required to access central clearing.
存 is committed to ensuring the most resilient and efficient markets possible and continues to assess the impact this new rule could have on operations, 风险模型和提供的工具.
“你.S. 国债市场是最深的, 世界上流动性最强的市场, and 存 has long advocated for a greater use of central clearing,赫尔斯说。. “在美国，更多地采用中央结算.S. Treasury market would significantly reduce risk and improve resiliency, 效率, 和透明度, 这对美国的实力和稳定至关重要.S. 经济. We see this expansion to broaden participation in central clearing as a natural evolution that Fixed Income 清算 Corporation (FICC) is well-positioned to execute on.”
Related: 市场参与者聚集讨论 Expanded Treasury Centralized 清算
存管连接 sat down with Hulse to learn more about how FICC manages risk and margins Treasury products.
DC: FICC如何为国库活动融资?
TH: FICC calculates and collects Required Fund Deposits to its 清算 Fund using a risk-based margin methodology that includes a sensitivity-based value-at-risk (VaR) approach.
All Netting Members of the Government Securities Division (GSD) of FICC – that is, 直接, full service clearing members – are required to make and maintain deposits to the 清算 Fund on an ongoing basis. Netting Members that are Sponsoring Members are required to make separate deposits to the 清算 Fund for their Netting Member activity and Sponsoring Member activity. These deposits are designed to limit the risk exposures posed by Netting Members’ unsettled portfolio and to quickly adjust and collect additional deposits as needed to cover those risks.
每天至少两次, FICC-GSD calculates and collects a Netting Member’s Required Fund Deposits, 这将根据其交易活动而有所不同. Required Fund Deposits may be satisfied by depositing either cash, or a combination of cash and eligible securities (subject to haircuts and concentration limits). List of eligible securities and respective haircuts are 可在 它的网站.
DC:我可以在哪里了解更多有关结算基金方法的资料? Does FICC offer tools to help estimate 清算 Fund requirements?
TH: The 清算 Fund Methodology contains descriptions and formulas for components of the 清算 Fund and is 可在 FICC美国财政部网站.
风险价值费用是FICC最大的组成部分, and FICC makes 可用 to Netting Members a Value-at-Risk (VaR) calculator that can be used to estimate their 清算 Fund requirements based on proposed changes (i.e., addition or subtraction of positions) to their FICC-cleared portfolios. 通过使用VaR计算器, or a separate in-house implementation of sensitivity VaR using the provided parameters under the methodology document, it is possible to replicate the calculation and approximate margin requirements at FICC.
For market participants that do not have access to the VaR calculator, 指示性减值和风险因素利率的时间表如下 可用 来近似VaR电荷.
DC:为什么需要日内保证金来降低风险?
TH: Intraday margining limits FICC’s exposures to intraday market movements, 交易活动及结算. 在没有盘中保证金的情况下, FICC and its membership could be exposed to market risk until the next regular margin collection is completed.
DC: Are there guidelines around FICC’s investment of the 清算 Fund?
TH: 是的. The investment of cash deposits to the 清算 Fund is done in compliance with an investment policy, 那已经归档了, 并且得到了, 作为FICC规则的SEC. 根据该政策, cash deposits to the 清算 Fund are held at approved commercial banks that meet prescribed credit standards or at FICC’s cash deposit account at the Federal Reserve Bank of New York (FRBNY). All eligible 清算 Fund securities are held on deposit at a custodian bank for GSD.
DC:为什么FICC的会员标准如此严格?
TH: 符合其监管义务, FICC has established clear and objective membership requirements for each category of membership. Its minimum membership standards are designed to provide fair and open access for firms seeking membership and are robust to allow FICC to manage the material risks presented from membership activities.
FICC已经采取了措施, 只要有可能, to facilitate the ability of different types of market participants to access clearing at FICC through a wide array of 直接 and in直接 participation models. The different access models allow market participants to tailor their clearing arrangements at FICC to their specific business and regulatory needs.
DC: Who is responsible for determining the profit and loss during a close-out by FICC of a defaulted member?
TH: FICC’s rules provide for FICC to calculate the amount owing on a close-out of a member as FICC’s profits or losses in conducting such close-out. 这些利润或损失将由FICC负责.e.(即非违约方的)市场一方. The procedures FICC may take after it has ceased to act for a defaulting member, 包括未结算的结清程序, 默认成员的开仓, 在《vnsr威尼斯城官网登入》第22A条中有规定和描述, 可在 它的网站.
FICC’s default procedures are also described in public disclosures (see “Principle 13: Participant-default rules and procedures; CCAS 17Ad-22(e)(13)”) 可在 它的网站.