In this document the Value at Risk Methodology (VaR) is described. This methodology is used by CCV to compute the levels of risk of its Agents and for requiring collateral to the guarantee funds

In this document the answers and results of the self-assessment are shown. The Recommendations were issued conjointly by the Committee on Payments Settlement Systems (CPSS) and by the International Organization of Securities Commissions 

In this document the fees required by CCV for its services are shown in detail

In this document the process that CCV applies in case of default or definitive suspension of any of its Agents is detailed. An Agent is definitively suspended when it can not cover the guarantee requirements with opportunity and/or when it fails the delivery of securities or cash related to the obligations novated by CCV

This is a draft of a document that is intended to show the sufficient elements to the decisors and to suggest the ideoneous capital adequacy from a risk management perspective. Also, considering the CPSS-IOSCO recommendation for the CCPs to have enough capital to cover the potential losses of the riskiest Participant under adverse but plausible conditions

CCV tests its VaR model though a backtesting and stresstesting

The first one consists in the assessment of the actual losses/profits ex-post in order to prove if they are covered by the VaR model

The second type of test, consists in the assessment of the actual losses/profits ex-post, but considering shocks in the risk factors, in order to prove if they are covered by the VaR model. In this case we consider the extreme shocks on the risk factors since the 90’s decade

Issuer Organization

Name / Description

Document

BIS CPSS-IOSCO Nov 2001

Recommendations for securities settlement systems

The 19 recommendations and accompanying explanatory texts identify minimum standards that securities settlement systems (SSSs) should meet. The recommendations are designed to cover systems for all types of securities, for securities issued in both industrialised and developing countries, and for domestic as well as cross-border trades.

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BIS CPSS-IOSCO Nov 2002

Assessment methodology for Recommendations for Securities Settlement Systems

The CPSS and the Technical Committee of IOSCO encourage national authorities responsible for the regulation and oversight of SSSs to assess whether markets in their jurisdiction have implemented the recommendations and to develop action plans for implementation where necessary.

This report aims to set out a clear and comprehensive methodology for use in these assessments. The methodology is primarily intended for use in self-assessments by national authorities or in peer reviews of such self-assessments. It is also intended to serve as guidance for the international financial institutions (IFIs, ie the International Monetary Fund and the World Bank) undertaking their Financial Sector Assessment Program (FSAP) assessments and for other forms of technical assistance, possibly including financing of reform efforts by the World Bank. In this regard, IFIs took part in developing this assessment methodology.

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BIS CPSS-IOSCO Nov 2004

Recommendations for Central Counterparties

This report has 15 headline recommendations and accompanying explanatory text. The recommendations cover the major types of risks CCPs face. The report sets out the intended scope of application of these recommendations and their relationship with the Task Force report on Recommendations for Securities Settlement Systems (RSSS). The report also includes a methodology for assessing implementation of the recommendations, which identifies key issues and key questions and provides guidance on the assignment of an assessment category

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BIS CPSS

Ene 2001

Core Principles for Systemically Important Payment Systems

The Core Principles are expressed deliberately in a general way to help ensure that they can be useful in all countries and that they will be durable. They do not represent a blueprint for the design or operation of any individual system, but suggest the key characteristics that all systemically important payment systems should satisfy. The second part of the report therefore discusses in more depth the interpretation of the Core Principles, by giving more detailed examples of issues to be addressed in complying with the Core Principles and of ways in which these issues have been tackled in some particular contexts

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BIS CPSS G10 Nov 2008

Statistics on payment and settlement systems in selected countries

This is an annual publication that provides data on payments and payment systems in the CPSS countries.

This version of the statistical update contains data for 2007 and earlier years. There are detailed tables for each individual country as well as a number of comparative tables.

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BIS CGFC

Ene 2005

Stress testing at major financial institutions: survey results and practice

In May 2004, the Committee on the Global Financial System (CGFS) initiated an exercise on stress tests undertaken by banks and securities firms. The exercise had two main aims. The first was to conduct a review of what financial institutions perceived to be the main risk scenarios for them at that time, based on the type of enterprise-wide stress tests that they were running. The second aim was to explore some of the more structural aspects of stress testing and examine how practices had evolved, particularly over the period since the previous CGFS survey.

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BIS CGFS

Jun 2007

Financial stability and local currency bond markets

Local currency bond markets can help financial stability by reducing currency mismatches and lengthening the duration of debt. Such markets also help economic efficiency by generating market-determined interest rates that reflect the opportunity costs of funds at different maturities. The absence of such markets can lead borrowers to take risky financing decisions that create balance sheet vulnerabilities

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BIS CGFS

Jul 2008

Central bank operations in response to the financial turmoil

The credit market turmoil that began in mid-2007 spilled over into a number of major currency money markets in early August 2007. This in turn triggered a variety of responses from central banks. Against this backdrop, the Committee on the Global Financial System (CGFS), in cooperation with the Markets Committee, convened a study group to examine how central banks adapted their liquidity operations in response to the emergence of money market tensions and how effective those responses were

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BIS CGFS

Mar 2001

Collateral in wholesale financial markets: recent trends, risk management and market dynamics

The use of collateral has become one of the most important and widespread risk mitigation techniques in wholesale financial markets. Financial institutions extensively employ collateral in lending, in securities trading and derivatives markets and in payment and settlement systems. Central banks generally require collateral in their credit operations

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BIS BCBS

Jun 2004

Basel II: Revised international capital framework

The Basel II Framework describes a more comprehensive measure and minimum standard for capital adequacy that national supervisory authorities are now working to implement through domestic rule-making and adoption procedures. It seeks to improve on the existing rules by aligning regulatory capital requirements more closely to the underlying risks that banks face. In addition, the Basel II Framework is intended to promote a more forward-looking approach to capital supervision, one that encourages banks to identify the risks they may face, today and in the future, and to develop or improve their ability to manage those risks. As a result, it is intended to be more flexible and better able to evolve with advances in markets and risk management practices.

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