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What is
a Clearinghouse? The
exchange-listed or standardized derivatives markets have a clearinghouse to
function as guarantor of all the financial obligations arising from
transactions in standardized derivative products. Asigna, Compensación y Liquidación (Asigna) handles
clearing and settlement for the Mexican Derivatives Market (MexDer). Its main
purpose is to serve as a counterpart, and therefore guarantor, of all the
financial obligations derived from trading contracts. It must therefore abide
by the rules issued by the financial authorities: the Ministry of Finance and
Public Credit (SHCP), the National Banking and Securities Commission (CNBV) and
Banco de Mexico, as well as by the rules of the
MexDer derivatives market itself. What is
ASIGNA? Asigna is an administration and payment trust incorporated
within BBVA Bancomer in 1998, in order to be the
counterparty to clear and settle transactions in derivative products that take
place on MexDer. Its trustors are Mexico’s
leading financial groups: Banamex-Citigroup, BBVA Bancomer, ScotiaBank Inverlat, Santander-Serfin, and
the Securities Depository Institute (S.D. Indeval). Asigna is governed by the rules issued by the competent
authorities, and also has its own regulations and internal manuals for
participants, in order to ensure their compliance with the obligations they
take on within the Market. Asigna also has a group of
committees that handle decision-making in the organization: the Technical
Committee, Sub-Committee on Admission and Risk Management, Sub-Committee on
Management, Sub-Committee on Auditing, Sub- Committee on Compliance and Ethics
and Sub-Committee on Discipline and Arbitration. Who are
the Clearing Members? Clearing Members are administration and payment trusts who contribute to
the equity of the Clearinghouse and who settle the transactions performed on
the Market. All traders in the Market must have the services of a Clearing
Member. There are two
types of clearing members: •
Proprietary Position Clearing Members. These clear and
settle transactions of the institutions that are members of their own financial
group. • Third-Party Position Clearing
Members. These clear and settle transactions for clients. Obligations of Asigna: a) Act as counterparty to all
traders, banks, brokerage firms or clients, in the transactions performed in
MexDer that Clearing Members settle on their behalf. b) Clear and settle trades performed
on MexDer. c) Establish margin requirements,
haircuts for securities deposited as margins, and position limits. d) To manage and keep custody of the
Clearing Fund and the Contributions Fund in cash and securities. e) Real time surveillance. f) Apply disciplinary measures in the
event of default or bankruptcy of a Clearing Member. Clearing and calculation
of the settlement are performed through the Intracs/400
system. Transactions are recorded and updated in the system in real time. At
the close of the trading session, individual positions are adjusted depending
on the opening and closing of positions, and the resulting positions are valued
at the settlement price (mark to market). The system also receives information
on assets that have been pledged as collateral. Clearing and settlement is carried out through two types of accounts:
proprietary and client accounts. Proprietary positions are netted, and
third-party positions are segregated in gross form. Proprietary accounts: The Long Positions are netted against the short
position of each class/ series to determine the amount of margin required. Client accounts: Long and short positions are segregated and the margin
is determined in gross form for each type of position. Once the clearing has been determined, the market settlement is
calculated: the positive or negative balance of the margins is compensated
against the settlement of interests, commissions, price changes, and other cash
adjustments; so that for each Clearinghouse member, a single debit or credit
balance is generated. Settlement of this amount is performed through the
central bank’s centralized payment system (known as SPEUA) on the
following business day between 9:00 a.m.and 10:00
a.m. Risk
Management As a counterpart for all contracts traded, Asigna
is involved in a series of activities whose purpose is to maintain the
market’s financial integrity. In these, it applies the leading risk
management techniques and uses secure systems to monitor these risks. Asigna establishes … • Margins Requirements for each
contract. • Valuation discounts (haircuts)
applied to marginable securities. • Maximum number of Open Contracts
in a single Class or Series that a client may hold (position limits). Asigna monitors and controls: • The concentration of open
positions. • Market behavior on an ongoing
basis. • Sufficiency and liquidity of
clearing members. • Daily settlement and settlement at
maturity. • Participants’ compliance
with trading parameters. Asigna protects … • Monitors positions and sufficiency
of resources in real time. • Conducts simulations involving
extreme price movements. • Establishes alarms for
insufficient resources. • Applies extraordinary settlement
in the event existing contributions are insufficient. Asigna manages... • The margins fund (cash and
securities). • Clearing Fund. • Minimum Capital. A Risk Monitoring and Management
System was designed to track the risk involved in
derivatives trading. The system has functions for account management, markets,
alarms, and monitoring by type of market and by account. The system activate
accounts by type of client and by fundamental parameters such as market
behavior, contracts, underlying asset, position limit, derivative price and
price of underlying asset, contributions, contract size, margins for individual
and opposite positions, expiration dates, settlement and delivery. |
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