As expected, failure to fully recognise the risk-mitigating effects of initial margin has a negative impact on return-on- RWA for this portfolio. SA - CCR does not recognise correlation and therefore any risk-reducing offsets between interest rate exposures in different currencies, interest rates and inflation swaps, or different currency pairs. Many clearing house margin models account for these diversification offsets by using portfolio historical value at risk HV aR methodologies. Even with these offsets, margin levels for over-the-counter derivatives are shown to demonstrate sufficient coverage during periods of market stress.
Clearly, the SA - CCR model should be adjusted to recognise the full diversification benefits of these product types. The simplistic volatility scaling approach in SA - CCR — relying on the square root of time — can overstate or understate risk for products that have auto-correlation. A separate table of supervisory factors for margined client exposures must be developed, based on a five- or day risk horizon.
Once again, this approach is more consistent with the CCP initial margin modelling approach. The 1. Further, this factor was also meant as a crude measure to ensure the SA - CCR model was sufficiently conservative, despite already conservative supervisory factors. This approach to risk modelling must also be reconsidered to account for the realities of central clearing. With this series of refinements, SA - CCR would more accurately reflect and capture the underlying risk in the clearing ecosystem, and therefore help to restore resiliency across the system. In conclusion, the CEM methodology potentially increases systemic risk through its punitive impact on clearing members.
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Regulators must take timely action to introduce a more thoughtful framework that understands the unique characteristics of central clearing and restores resiliency to the system. While SA - CCR could serve as a baseline for this new framework, it must also be recalibrated to reflect the realities of the central clearing paradigm. While hoping for regulatory relief, the industry has adapted to the challenges posed by the current exposure method CEM in various ways.
For client clearers, notional may be reduced by compressing equal and offsetting standardised products in the same underlying client entity only. This results in fewer contracts, additional standardisation and greater opportunities for compression of notional, especially in the context of central clearing. Thus, it is not surprising the industry has reduced roll periods from four to two times per year for many credit derivatives contracts. Portfolio compression is a process by which multiple trades in a portfolio may be terminated and reconstructed with identical risk, but a reduced notional profile.
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While some client clearers have implemented this approach, US clearers are awaiting prudential regulatory authorisation before implementing this Basel rule. The gross current credit exposure equals the sum of the positive current credit exposures of all derivatives contracts subject to the qualifying master netting agreement.
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Repeal CEM; reform SA-CCR
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