Page 35 - 期货和衍生品行业监管动态（2024年12月刊）

期货和衍生品行业监管动态

and further analyzed the Treasury cash-futures basis trade. The subcommittee

examined benefits and risks associated with the basis trade and aimed to provide

recommended effective risk management practices to address identified risks. The

report and recommendations presented at the meeting and approved by the MRAC

include the following recommended effective practices:

? Market participants, including basis traders, futures markets participants,

intermediaries, and others engaged in or providing intermediation for trades

associated with the cash-futures basis — including the basis, long futures

positions, and financing positions — should continuously assess and manage

the risks associated with these trades including market, liquidity,

counterparty credit, and other risks. These risks should be modeled, and a

mark-to-market attribution analysis should be conducted.

? Market participants should manage market risks that could affect the

performance of their portfolios.

? Market participants should evaluate and manage their liquidity risks,
including the risk that margin costs increase rapidly and significantly, and

that financing is reduced or becomes unavailable.

? Market participants should appropriately monitor and manage counterparty

credit risks associated with the basis trade or its intermediation, including

through effective due diligence, onboarding, credit risk mitigants, and

continuous monitoring process.

Recommendations on DCO System Safeguards Standards for Third Party

Service Providers

The Technology and Operations working group of the Central Counterparty Risk

and Governance Subcommittee examined cyber resilience and third-party risks for

derivatives clearing organizations. The subcommittees recommendations, which were

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