Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193609
Authors: 
Alfranseder, Emanuel
Fiedor, Paweł
Lapschies, Sarah
Orszaghova, Lucia
Sobolewski, Paweł
Year of Publication: 
2018
Series/Report no.: 
ESRB Occasional Paper Series No. 14
Abstract: 
This ESRB Occasional Paper complements the publication of indicators on central counterparties (CCPs) in the ESRB's Risk Dashboard as part of its monitoring framework. It provides a methodological background to the development of the individual measures and discusses different aspects that should be considered when designing a monitoring framework for CCPs. The paper also highlights a number of areas in which more granular data are required in order, for example, to monitor the interconnectedness of CCPs within the broader financial system.CCPs play a key role in financial markets, as they reduce counterparty credit risk. This role is now heightened following post-crisis reforms of the over-the-counter (OTC) derivatives markets. Since CCPs may be viewed as systemically important institutions, it is crucial to ensure that they are regulated and monitored effectively. The ESRB has, therefore, sought to strengthen the framework used to analyse developments at CCPs in the EU from a macroprudential perspective.Each monitoring framework relies on the availability of suitable data. It is therefore positive that CCPs publish data on a quarterly basis under the CPMI-IOSCO public quantitative disclosure framework. These data provide a rich source of information covering several aspects of CCPs' functioning and are the basis of the indicators the ESRB has developed to analyse developments in central clearing in the EU.The indicators are designed to provide a macroprudential view over time of CCPs' resources, liquidity and collateral policies, margin and haircut requirements, interoperability arrangements as well as market structure and concentration at CCP level. The indicators cover all CCPs that are authorised within the EU, although the values of individual measures across CCPs should be analysed and interpreted with caution, bearing in mind that there are significant differences between individual CCPs' business models, membership structures and products cleared.
Subjects: 
central counterparties
monitoring
PQD data
systemic risk
JEL: 
G10
G18
G23
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-039-9
Document Type: 
Research Report

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.