March and April volatility exposed operational inefficiencies for trading counterparties that have yet to automate their collateral management processes, DTCC的Purtini Joshi说.
新冠肺炎疫情席卷全球, fear and uncertainty left many traders searching for liquidity, leading to asset fire sales and the unravelling of complex trades. Market volatility spikes and margin calls reached unprecedented highs throughout March and April of this year as broker/dealers liquidated exposed – and potentially exposed – derivative positions.
而CCP的利润率模型 被认为是有效的 保护整个金融体系, this was not an easy operational process for many market participants. Indeed, some firms needed a few days to determine which derivatives contracts were actually exposed versus those which were merely awaiting margin settlement, as staff still apply predominantly manual methods to handle the settlement and collateral management process.
正如亚洲一位资产管理公司所解释的那样, Covid-19 related volatility sometimes triggered multiple margin calls per day from a single counterparty. 最后, the firm occasionally had excess collateral sitting with one counterparty while another was calling for additional margin.
不幸的是, 这并不是一个新情况, and we’ve been down this road before at the height of the 2008 financial crisis, when volumes spiked and margin and collateral operations felt the pressure. The time is now to learn from the lessons of 2008 and 2020, 解决这个关键的操作领域.
中间办公室的自动化滞后
Despite technological advances that have automated front-office processes across many asset classes, much of the middle-office activity around margin calls and collateral movement remains manual and separate from the automation leveraged by other departments at a firm. 即使是最老练的经纪人, the collateral management process is separate from the settlement process.
尽管存在自动化, 如今，许多保证金流程仍依赖于税务, 电子邮件和其他手工方法, 导致速度缓慢, 分叉处理, 缺乏透明度和高错误率. 正常情况下, these manual processes have been manageable and have been largely overlooked, 但在危机时期，在交易量和波动性极大的时候, a lack of collateral management automation can impede a firm’s day-to-day activities and capital efficiency.
While regulators implemented several rules to improve transparency and safety in derivatives markets following the 2008 crisis, including mandates which specifically impact margin call processes, most tend to be agnostic about how financial service firms manage their collateral operations. As long as initial margin is allocated for all unsettled derivatives and qualifying institutions exchange variable margin as prices move, the regulatory requirements are met and firms can choose whatever means they deem adequate to achieve this.
小公司是摇狗的尾巴
结果是, we currently see a market where most of the larger firms have automated their collateral management systems, but the benefits — in the form of lower risk and higher efficiency — aren’t being fully realised. Rather, 当波动性上升、追加保证金通知激增时, settlement tracking becomes a labour-intensive project for all parties regardless of size, and a large number of counterparties aren’t prepared from an operational perspective.
在三月和四月, we saw manual collateral management and margin systems at multiple firms being quickly overwhelmed. The separation of these systems lead to significant reconciliation struggles, leaving transacting parties unsure of their collateralisation standing at the end of each day and the beginning of the next day.
If the challenges of supporting the volumes and volatility during the 2008 global financial crisis did not convince firms to automate collateral management then, 在最近波动率飙升之后, 现在是行动的时候了. 我想到了两种情况.
在第一个, the final stages of upcoming uncleared initial margin regulations — delayed to September 2021 and 2022 — are anticipated to lead to an increase in margin call volume even in normal market conditions, 领先的公司为更高的交易量做准备.
在另一种情况下, broker-dealers could start assigning a cost to the level of risk that manual collateral management exposes them to, encouraging smaller firms to adopt in-house collateral management systems, 登录到第三方抵押品管理实用程序, or pay higher transaction fees to offset the increased risk associated with their positions.
无论情况如何发展, market volatility during the pandemic was just the latest of a string of crises that have impacted volumes and volatility and highlighted the risks associated with manual collateral management processes. These issues are sure to resurface the next time we experience a market event.
Firms that do not take advantage of periods of relative calm to automate their collateral management processes will find themselves at some point facing more expensive contracts or, 更糟糕的是, being forced to liquidate positions in periods of market stress.
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