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14 July 2014

AFME(欧州金融市場協会)、中央清算義務が課されないOTC(店頭)デリバティブ契約のリスク低減手法に係るRTS(規制上の技術的基準)案に関する市中協議へのコメントを公表、プライム・ブローカーの活動に甚大な影響を与えると警鐘


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The Draft RTS also has significant implications for the business model and activities of prime brokers, in relation to the provision of both variation and initial margin, AFME and its members are concerned.


While there have been significant positive changes in other areas of regulation affecting securitisation, representatives of key sectors of the economy – including the car industry, small- and medium-sized enterprises (“SMEs”) and mortgage lenders – remain concerned that new regulations will reduce their access to capital and raise the cost of financing. The Draft RTS risks having precisely such a negative effect as a result of its significant implications for Securitisation Swaps, AFME believes. The Draft RTS should be modified to permit initial margin models for uncleared derivatives to account for risk reductions and risk offsets provided by other products subject to legally enforceable netting arrangements and supervisory approval of the models correlation assumptions.

It would be more beneficial to all parties to offer optional segregation of initial margin rather than to require mandated segregation, such that if counterparties opted for segregation, the prime broker would provide the relevant operation processes and procedures to enable this to take place. The proposed ban on rehypothecation of initial margin should not be introduced.

Securitisation Swaps should be treated in a similar way to swaps connected with covered bond transactions for the purposes of the Draft RTS. Accordingly, the Issuer should not be required to post initial or variation margin to the Swap Counterparty.

 

Full AFME response



© AFME


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