Oslo Clearing ASA Self Assessment ESCB-CESR Recommendation

1. How frequently does the CCP measure its exposures to its participants? Does the
CCP have the capacity to measure exposures intra-day? How timely is the information
on prices and positions that is used in these calculations?
Oslo Clearing measures the exposure to its participants using margin calculations and
stress test values daily.
How frequently does the CCP measure its exposures to its participants? Does the CCP
have the capacity to measure exposures intra-day?
Oslo Clearing measures its exposure on its participants during the Clearing Day.
Margins for the equity segment are recalculated close to real time. Margins for
derivatives segment are recalculated at regular intervals through the clearing day,
however with the possibility to perform on demand recalculations per clearing account
between these intervals.
A stress test value for each participant is calculated once time per Clearing Day, and
stress test results for the equities and derivatives segments will be aggregated per
clearing member per market scenario, cf. Recommendation 5 - Other Risk Controls
for further description of the stress test model.
How timely is the information on prices and positions that is used in these
calculations?
For both clearing segments, the margin that is recalculated intra-day is based on the
continuous trade and price feed from the cleared market places. The value of
collateral in the form of interest rate instruments or cash denominated in foreign
currency is updated less frequently, however at least once per clearing day.
Equity clearing members will have access to the real time margin and collateral value
through the Oslo Clearing web interface ("CLARA").
Derivative clearing members have access to the clearing application ("SECUR"),
which enable them to follow their proprietary positions, but also those of their end
clients, real time.
2. How does the CCP limit its exposures to potential losses from defaults by its
participants? Does the CCP use margin requirements and other risk control
mechanisms in a way which ensures that closing out any participant's positions would
not disrupt the operations of the CCP or expose non-defaulting participants to losses
that they cannot anticipate or control?
How does the CCP limit its exposures to potential losses from defaults by its
participants?
The membership requirements form an absolute barrier to undesired credit exposures
and the ongoing monitoring on how these requirements are met, is in place to
maintain high standards amongst the members admitted for clearing.
The main instrument available for Oslo Clearing to limit its exposures, however, is the
daily collateralisation of the margin requirement. All exposures are continuously
monitored throughout a Clearing Day, and extraordinary margin calls may be issued
at any time.
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