清算机构场外衍生品集中清算风险监管研究

Risk Management in CCC Houses of Over-the-Counter Derivatives

场外衍生交易清算机构高度集中了场外衍生交易的交易对手风险和操作风险,若丧失清偿能力可能引发或加剧系统性风险。金融监管机构应当在衍生交易清算机构的成员资格、风险管理、违约管理等方面对其加强风险监管。监管机构应在清算机构公平公开的成员准入要求与控制成员对清算机构和其他成员带来风险之间实现平衡,对同时参加若干清算机构的成员施加较高的最低资本要求;加强清算机构的流动性风险和投资风险监管,要求清算机构建立危机后业务恢复、清算持续机制;在违约管理制度设计中应避免追加保证金要求引发成员的流动性危机乃至加剧金融系统内流动性危机,以及因非违约成员对违约基金增加出资限额不明确而产生的成员之间的风险传染效应。

Counterparty and operational risks of over-the-counter derivatives concentrate in CCC Houses and make them fragile to systemic risks. The authorities should adopt more strict standards in eligibility requirements, risk management and default management of derivatives clearing organizations （DCOs）. The eligibility requirements should balance between more members and controlling systemic risks caused by additional members and impose minimum capital requirement for cleating members trading in multiple CCC houses. The authorities should impose more strict regulation standards over liquidity risk and investment risk and require the DCOs to establish an emergence mechanism to continue settlements in case of a crisis. With respect to managing defaulting risks, the authorities should avoid additional margin requirements which could cause liquidity crisis within members or even the financial system and amplify systemic risk between all members