07 February 2014

Responses to CPSS-IOSCO consultation on quantitative disclosure: DTCC, EACH, Eurex Clearing, ISDA et al

On 15 October, CPSS-IOSCO issued a consultative document on the Public quantitative disclosure standards for central counterparties. Eurex Clearing highlighted that comparing CCPs on singular pieces of data without full knowledge of the inherent risk management methodology can be very misleading.

DTCC

The Depository Trust & Clearing Corporation (DTCC) is concerned that, given the extensive nature of the required disclosures and the necessary significant amount of related qualitative intbrmation that CCPs will be required to add or link to the disclosures in order to provide context to and make the quantitative disclosures more meaningful. Readers of the Disclosure Matrix will necessarily focus more on the numbers and other data therein and less on the accompanying and linked qualitative information, which could lead to confusion and misunderstanding of the quantitative information.

Full DTCC-response

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EACH

The European Association of Central Counterparty Clearing Houses (EACH) finds the consultation paper requires a very granular set of information to be provided by the CCPs to the public. EACH feels that this level of detail goes far beyond the EMIR and Dodd Frank Act requirements on disclosure by CCPs and the earlier CPSS IOSCO disclosure frame work in combination with the assessment methodology. Some of the requirements are partly inconsistent or overlap with the current work by the Federal Reserve Bank of New York’s Payment Risk Committee (PRC).It is highly burden some to the CCP community to provide potentially diverging information to the general public under different regulatory regimes but also to cope with these differing requirements.

Full EACH-response

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Eurex Clearing

Eurex Clearing highlighted that comparing CCPs on singular pieces of data without the full knowledge of the inherent risk management methodology can be very misleading. The risk management methodology however is to a large extending intellectual property right of a CCP and should not be shared in public but only with regulators. Since the risk methodologies of CCPs are unique and differ, the resilience of a CCP to  absorb defaults and external shocks should be judged by the respective regulators and rather should not be subject to public discussion.

Full Eurex Clearing response

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ISDA

In response to how information could be best presented to provide meaningful information across CCPs while avoiding disproportionate reporting burden, ISDA points out that results of testing of haircuts should further include the target confidence interval and the look back period assumed. Information should be provided based on product, instrument and tenor at the level of granularity at which the CCP establishes haircuts instead of summarised detail. Additionally, CCPs should report via a template that allows clearing participants to compare updated haircuts against those that previously applied.

Full ISDA-reponse

All responses

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