SIX x-clear adjusts CCP risk model
01 June 2017 London
Image: Shutterstock
SIX x-clear has recalibrated its inter-central counterparty (inter-CCP) risk models in order to improve accuracy.
SIX Securities Services, through its clearing arm SIX x-clear, has adjusted its CCP’s model towards a more ‘defaulter-pays’ approach of raising margin requirements and lowering default fund. SIX said this was done to bring its model in line with industry standards
“The risk exposure arising from CCPs interoperating with other CCPs to effectively compete for efficiency and development optimisation will be significantly reduced,” said SIX x-clear.
“A balanced risk exposure is essential for the liquidity flows between markets.”
SIX x-clear has adapted its current inter-CCP margin model to include a margin add-on for co-CCPs in order to continue best practice in risk management and the fair treatment of all clearing members.
Roger Storm, deputy head of CCP clearing at SIX Securities Services, said: “SIX Securities Services constantly looks at ways to improve its risk modelling in the best interests of its members and financial market participants.”
“SIX x-clear has been in close discussions with other CCPs and the oversight authorities in order to ensure interoperability among CCPs and to better balance the interests and exposures among markets.”
SIX Securities Services, through its clearing arm SIX x-clear, has adjusted its CCP’s model towards a more ‘defaulter-pays’ approach of raising margin requirements and lowering default fund. SIX said this was done to bring its model in line with industry standards
“The risk exposure arising from CCPs interoperating with other CCPs to effectively compete for efficiency and development optimisation will be significantly reduced,” said SIX x-clear.
“A balanced risk exposure is essential for the liquidity flows between markets.”
SIX x-clear has adapted its current inter-CCP margin model to include a margin add-on for co-CCPs in order to continue best practice in risk management and the fair treatment of all clearing members.
Roger Storm, deputy head of CCP clearing at SIX Securities Services, said: “SIX Securities Services constantly looks at ways to improve its risk modelling in the best interests of its members and financial market participants.”
“SIX x-clear has been in close discussions with other CCPs and the oversight authorities in order to ensure interoperability among CCPs and to better balance the interests and exposures among markets.”
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