监管\Regulations
√欧盟撤销英国交易存储库的注册
√美国批准期货经纪商关于与SOFR挂钩的投资的请求
√ISDA敦促CCPs从疫情中改进保证金模式
欧盟撤销英国交易存储库和信用评级机构的注册
英国脱欧过渡期结束后，欧洲证券和市场管理局(ESMA)取消了4家英国交易存储库和6家信用评级机构(CRA)的注册，因为它们不再符合原来的注册条件。ESMA表示，根据CRA法规、欧洲市场基础设施法规(EMIR)和证券融资交易规则(SFTR)规定，上述几家主体因状态发生变化需要撤销注册。受影响的英国交易存储库包括DTCC衍生品存储库、UnaVista、CME存储库和ICE Trade Vault Europe。ESMA称，受EMIR和SFTR监管的欧盟衍生品和证券融资交易不能再向这些交易存储库报告，而必须向在欧盟建立的交易存储库报告。六家被撤销注册的信用评级机构是AM Best Europe-Rating Services、DBRS Ratings、惠誉评级、Fitch Ratings CIS、穆迪投资者服务公司和经济学人智库。
美国批准期货经纪商关于与SOFR挂钩的投资的请求
美国商品期货交易协会(CFTC)在一份声明中表示，其批准了期货经纪商RJ O'Brien和期货业协会（FIA）的请求后，美国的期货经纪商(FCMs)现在可以将客户资金放在与SOFR挂钩的投资中了。此举承认了SOFR(担保隔夜融资利率)越来越多的使用，并帮助市场参与者更好地实现从Libor的过渡。CFTC将不再对那些将期货、国外期货或清算掉期交易客户存入的资金投资于与SOFR挂钩的产品的期货经纪商采取执法行动。此前，CFTC要求这类投资必须与某些利率挂钩，而SOFR并不在名单之列。对此，FIA评论称“尽管金融市场尚未确定一个继任基准，但SOFR正变得越来越被广泛接受和使用。SOFR是一个可靠的基准，并被用作某些美国国债工具的基准。”
ISDA敦促CCPs从疫情中改进保证金模式
一项针对Covid-19疫情期间风险管理框架的分析发现，中央交易对手方（CCPs）必须采用保证金要求，以限制在市场极度波动时出现不稳定、顺周期变化的需要。国际掉期及衍生品协会(ISDA)在一份白皮书中还敦促CCPs加强与清算会员就回测数据和保证金模型的沟通，从季度披露模式转变为月度披露模式。ISDA认为，根据《金融市场基础设施原则》，CCPs应当“采用前瞻性的、相对稳定和保守的保证金要求，这些要求的具体设计是为了限制破坏稳定的、顺周期性变化的需要”。为了实现这一要求，ISDA敦促CCPs校准反周期性(APC)工具，以确保今后因波动而增加的保证金不那么极端。
Europe cuts ties with UK trade repositories and CRAs
The end of the Brexit transition period has led the European Securities and Markets Authority (ESMA) to deregister four UK trade repositories and six credit rating agencies (CRAs) as they no longer meet their original registration conditions.Due to the change in status,ESMA said it is required to withdraw registration under the CRA regulation,the European Market Infrastructure Regulation (EMIR) and the Securities Financing Transactions Regulation(SFTR).The UK-based trade repositories (TRs) affected are DTCC Derivatives Repository,UnaVista, CME Trade Repository and ICE Trade Vault Europe.According to ESMA,EU derivatives and securities financing transactions subject to EMIR and SFTR can no longer be reported to these TRs, and must instead be reported to TRs established in the EU.The six deregistered CRAs are AM Best Europe-Rating Services,DBRS Ratings,Fitch Ratings and Fitch Ratings CIS,Moody’s Investors Service and The Economist Intelligence Unit.
US grants futures broker's request on SOFR investments
Futures commission merchants (FCMs) in the US can now place customer funds in SOFR-linked investments, after the derivatives regulator granted requests from futures broker RJ O’Brien and the Futures Industry Association.The move recognises the increasing use of SOFR, the Secured Overnight Financing Rate, and reinforces recent actions to help market participants transition away from Libor, the Commodity Futures Trading Association (CFTC) said in a statement.The CFTC will no longer take enforcement action against FCMs that invest funds deposited by customers trading futures, foreign futures, or cleared swaps in permitted investments linked to SOFR.Previously, the CFTC required such investments to be linked to certain rates while SOFR was not included on the list.“Although the financial markets have not settled on one successor benchmark, SOFR is becoming more widely accepted and used,” the FIA commented. “SOFR is a reliable benchmark and is utilised as a benchmark for certain US Treasury instruments.”
ISDA urged CCPs to learn from Covid on margin models
Central counterparties (CCPs) must adopt margin requirements that limit the need for destabilising, procyclical changes during times of extreme market volatility, an analysis of risk management frameworks during the Covid-19 crisis has found.In a whitepaper, the International Swaps and Derivatives Association (ISDA) also urges CCPs to step up communications to clearing members on backtesting data and margin models by moving from a quarterly to monthly disclosure model.In line with the Principles for Financial Market Infrastructures, ISDA believe CCPs should "adopt forward-looking and relatively stable and conservative margin requirements that are specifically designed to limit the need for destabilizing, procyclical changes".To achieve this, ISDA’s paper urges CCPs to calibrate anti-procyclicality (APC) tools to ensure that in future, margin increases in response to volatility are less extreme.
