EMIR anti-procyclicality margin measures for central counterparties

Central Counterparties - CCP’s - have been at the the heart of Financial system for several years. The CCP’s are part of the Market Infrastructure system. Their core role is to ensure that counterparties can exchange cash and securities. ”These market infrastructures are sets of rules, processes and operational arrangements managing, reducing and allocating the inherent risks arising from transactions between market participants.” [3] The focus of the Central Counterparties, also known as CCP’s is to maintain market efficiency and credibility. The Central Counterparties are composed by a group of Clearing Members. These Clearing Members then have their own clients to intermediate the transactions with. CCP’s distinguish them by different account type (House account and Client account). Not only the accounts are different but so are the responsibilities. The CCP only faces its Clearing Members risk and not their Clearing Members clients, hence a contract is only established with the Clearing Member. Central Counterparties have a set of rules that must be followed by every participants. There are minimum cash deposits, Initial Margins, Variation Margins, Additional Margins and Default Fund contributions. These contributions are layers of cash in order to protect the Central Counterparty system. This means that all parties have a skin-in-the-game, a share at stake. This is the best incentive for all participants to play by the rules. In order for Central Counterparties to be protected from possible defaults the above contributions are requested. These contributions are established by a ”Rule book”, Margin Methodology documents, Principles for Financial Market Infrastructure Disclosure (PFMI) and at least a quarterly Quantitative Disclosure is required by European Securities and Markets Authority (ESMA). The contributions follow specific margin methodologies and parameters. The margin methodologies used by different CCP’s might differ according to the type of products and the CCP’s sophistication and willingness to invest in risk management. Aiming to achieve some standardisation within the Clearing Counterparties, there is a minimum Value-at-Risk for each product determined by ESMA. In addition, guidelines on anti-procyclicality measures are defined. The purpose of this dissertation is to assess the importance of different margin methodologies used by Clearing Counterparties concerning anti-procyclicality measures and their effectiveness.Contrapartes Centrais - CCP’s- têm estado no centro do Sistema Financeiro há vários anos. As Contrapartes Centrais são parte do Sistema de Infraestrutura dos Mercados Financeiros. O seu papel principal é garantir que contrapartes possam trocar dinheiro e títulos financeiros. ”Estes Sistemas de Infraestrutura de Mercados Financeiros são um conjunto de regras, processos e organização operacional, reduzindo e alocando os riscos inerentes às transações financeiras entre participantes do mercado.” [3] O principal objetivo das Contrapartes Centrais, também chamado CCP’s, é manter a eficiência e credibilidade do mercado. As Contrapartes Centrais são compostas por um conjunto de Membros. Estes Membros têm os seus clientes com quem há intermediação de transações. As CCP’s distinguem-nas por diferentes tipos de contas (contas de Casa ou Cliente). Não só as contas são diferentes, mas também as suas responsabilidades. As CCP’s enfrentam o risco dos Membros, mas não dos seus clientes, portanto, os contratos são definidos entre Membros e a Contraparte Central. As Contrapartes Centrais regem-se por um conjunto de regras, que todos os participantes devem cumprir. Há depósitos de dinheiro mínimos, Margens Iniciais, Margens Variáveis, Margens adicionais e contribuições para o fundo de incumprimento. Estas contribuições feitas em dinheiro protegem a da Contraparte Central. Este esquema implica que todas as partes têm uma parcela dos seus ativos em risco. Este é o melhor incentivo para que todos os participantes cumpram as regras estabelecidas. Para que as Contrapartes Centrais estejam protegidas de possíveis falências as contribuições acimas mencionadas são requeridas. Estas contribuições são estabelecidas num ”Rule Book”, documentos relativos à metodologia de margens, “Principles for Financial Market Infrastructure Disclosure” (PFMI) e por fim ”Quantitative Disclosure” é requerido pelo European Securities and Markets Authority” (ESMA). As contribuições seguem certas metodologias e parâmetros. As metodologias das margens utilizadas por diferentes Contrapartes Centrais podem ser diferentes consoante o tipo de produtos e a sofisticação e pré-disposição para investir em gestão de risco. Para que haja alguma estandardização das Contrapartes Centrais, há valores mínimos de Value-at-Risk para cada produto determinados pela ESMA. Adicionalmente, diretrizes de anti-prociclicalidade estão definidas. O objetivo desta dissertação ´e analisar a importância de diferentes metodologias de margens usadas pelas Contrapartes Centrais e verificar a sua eficácia para evitar prociclicalidad

Lab-Scale Circuit Breaker Module for Power System Laboratories

In this project, a circuit breaker that can simulate different types of power system faults is redesigned, constructed, and tested. They will then be implemented in power systems laboratory courses at Cal Poly. The project’s goal is to improve a previous circuit breaker design to help students better visualize how faults affect power systems in the real world. Two main improvements are made to the previous circuit breaker design. The first improvement is to power the breaker with a typical wall outlet adapter instead of the DC source from the Cal Poly power systems laboratory test benches. This lets the circuit breakers be used in settings other than at Cal Poly. This also reduces manufacturing costs for the circuit breaker to allow the Cal Poly EE department to afford more modules for increased student use. The adapter converts the AC wall voltage to a lower DC value than the test bench to allow for lower voltage ratings and thus lower costs of each component. The second improvement is to redesign the faceplate layout to appear more intuitive and linear by rearranging, connecting, or removing certain terminals. These changes allow students to more easily understand how current flows through the circuit breaker and makes wire setup and troubleshooting simpler. After the final circuit breaker was constructed, testing determined correct breaker functionality, and the circuit breaker can be replicated and used at reduced costs in future Cal Poly Electrical Engineering Labs

Planning and Estimation of Operations Support Requirements

Life Cycle Cost (LCC) estimates during the proposal and early design phases, as well as project replans during the development phase, are heavily focused on hardware development schedules and costs. Operations (phase E) costs are typically small compared to the spacecraft development and test costs. This, combined with the long lead time for realizing operations costs, can lead to de-emphasizing estimation of operations support requirements during proposal, early design, and replan cost exercises. The Discovery and New Frontiers (D&NF) programs comprise small, cost-capped missions supporting scientific exploration of the solar system. Any LCC growth can directly impact the programs' ability to fund new missions, and even moderate yearly underestimates of the operations costs can present significant LCC impacts for deep space missions with long operational durations. The National Aeronautics and Space Administration (NASA) D&NF Program Office at Marshall Space Flight Center (MSFC) recently studied cost overruns and schedule delays for 5 missions. The goal was to identify the underlying causes for the overruns and delays, and to develop practical mitigations to assist the D&NF projects in identifying potential risks and controlling the associated impacts to proposed mission costs and schedules. The study found that 4 out of the 5 missions studied had significant overruns at or after launch due to underestimation of the complexity and supporting requirements for operations activities; the fifth mission had not launched at the time of the mission. The drivers behind these overruns include overly optimistic assumptions regarding the savings resulting from the use of heritage technology, late development of operations requirements, inadequate planning for sustaining engineering and the special requirements of long duration missions (e.g., knowledge retention and hardware/software refresh), and delayed completion of ground system development work. This paper updates the D&NF LCC study, looking at the operations (phase E) cost drivers in more detail and extending the study to include 2 additional missions and identifies areas for increased emphasis by project management in order to improve the fidelity of operations estimates

Eternal Sunshine of the Solar Panel

The social dynamics of residential solar panel use within a theoretical population are studied using a compartmental model. In this study we consider three solar power options commonly available to consumers: the community block, leasing, and buying. In particular we are interested in studying how social influence affects the dynamics within these compartments. As a result of this research a threshold value is determined, beyond which solar panels persist in the population. In addition, as is standard in this type of study, we perform equilibrium analysis, as well as uncertainty and sensitivity analyses on the threshold value. We also perform uncertainty analysis on the population levels of each compartment. The analysis shows that social influence plays an important role in the adoption of residential solar panels

Sensitivities of the absorptive partitioning model of secondary organic aerosol formation to the inclusion of water

The predicted distribution of semi-volatile organic components between the gaseous and condensed phase as a function of ambient relative humidity and the specific form of the partitioning model used has been investigated. A mole fraction based model, modified so as not to use molar mass in the calculation, was found to predict identical RH dependence of component partitioning to that predicted by the conventional mass-based partitioning model which uses a molar mass averaged according to the number of moles in the condensed phase. A recently reported third version of the partitioning model using individual component molar masses was shown to give significantly different results to the other two models. Further sensitivities to an assumed pre-existing particulate loading and to parameterised organic component non-ideality are explored and shown to contribute significantly to the variation in predicted secondary organic particulate loading

Survey to Inform the Development of an Online Support System for Higher Education Students - Higher Education and Online Support

An increasing number of higher education students face mental health difficulties, but the universities’ student support services (SSS) struggle to meet demand with limited resources. Web-based alternatives hold promise as a novel medium through which students could access support. Online interventions appear to be effective and may therefore provide a cost-effective alternative, relieving some of the burden on struggling SSS. This paper presents results from an explorative survey of 61 students questioned about their opinion of online support systems. The majority of students indicated that they would use such a system and that it should be interactive and personalized, focusing on time and money management, relaxation exercises, and building social skills. Future directions towards the development of such a system are discussed

The use of positive behaviour support plans in mental health inpatient care: a mixed methods study

An international drive is to minimise restrictive practices in mental healthcare. Positive behaviour support Plans (PBSPs) help staff prevent behaviour which would require restrictive intervention. Originating in learning disability services, data within mental healthcare are limited. To evaluate PBSPs within a mental health‐inpatient service; understand mental health nurses’ and relatives’ attitudes to them and understand the barriers and facilitators for their use in routine mental healthcare. Mixed methods ‐ quality‐ratings and interviews with relatives and nurses. PBSPs were poorly implemented. Relatives and nurses valued the potential of PBSPs to facilitate holistic care, though no relative had contributed to one and not every eligible patient had one. Barriers to their use included confusion around positive behaviour support, including how, when and for whom PBSPs should be used, and difficulties describing the function of a behaviour. The potential of PBSPs to improve mental healthcare is recognised. However, there are barriers to their use which should be addressed to ensure that PBSPs have been properly implemented before their impact on patient care can be assessed. Mental health professionals implementing PBSPs should engage with relatives and patients, gain organizational commitment and ensure that those involved understand fully the positive behaviour support approach

Online intervention, ‘MePlusMe’, supporting mood, wellbeing, study skills, and everyday functioning in students in higher education: a protocol for a feasibility study

Background: Psychological and study skill difficulties faced by students in higher education can lead to poor academic performance, sub-optimal mental health, reduced study satisfaction, and drop out from study. At the same time, higher education institutions’ support services are costly, oversubscribed, and struggle to meet demand whilst facing budget reductions. The purpose of the proposed study is to evaluate the acceptability of a new online intervention, MePlusMe, aimed at students in higher education facing mild to moderate psychological and/or study skill difficulties. The study will also assess the feasibility of proposed recruitment and outcome assessment protocols for a future trial of effectiveness. The system supports self-management strategies alongside ongoing monitoring facilitated by a messaging service, as well as featuring a built-in community of student users. It is based on current clinical guidelines for the management of common mental health problems, together with best practice from the educational field. Methods/design: Two hundred and forty two students will be recruited to a within-subjects, repeated measures study conducted over 8 weeks. Self-report measures of depression and anxiety symptoms, mental wellbeing, academic self-efficacy, and everyday functioning will be collected at baseline, and then at 2, 4, and 8 weeks. During this period, students will have access to the intervention system. UK higher education institutions Bournemouth University and University of Warwick will participate in the study. Data on student satisfaction and engagement will also be collected. Study findings will help to determine the most appropriate primary outcome and the required sample size for a future trial. Discussion: This study will evaluate the acceptability of an online intervention system for students facing psychological and/or study skill difficulties and will test recruitment procedures and outcome measures for a future trial of effectiveness. The system is designed to be implemented as a stand-alone service or a service complementary to student support services, which is accessible to the majority of students and effective in improving student experience at higher education institutions

Results from the NASA Spacecraft Fault Management Workshop: Cost Drivers for Deep Space Missions

Fault Management, the detection of and response to in-flight anomalies, is a critical aspect of deep-space missions. Fault management capabilities are commonly distributed across flight and ground subsystems, impacting hardware, software, and mission operations designs. The National Aeronautics and Space Administration (NASA) Discovery & New Frontiers (D&NF) Program Office at Marshall Space Flight Center (MSFC) recently studied cost overruns and schedule delays for five missions. The goal was to identify the underlying causes for the overruns and delays, and to develop practical mitigations to assist the D&NF projects in identifying potential risks and controlling the associated impacts to proposed mission costs and schedules. The study found that four out of the five missions studied had significant overruns due to underestimating the complexity and support requirements for fault management. As a result of this and other recent experiences, the NASA Science Mission Directorate (SMD) Planetary Science Division (PSD) commissioned a workshop to bring together invited participants across government, industry, and academia to assess the state of the art in fault management practice and research, identify current and potential issues, and make recommendations for addressing these issues. The workshop was held in New Orleans in April of 2008. The workshop concluded that fault management is not being limited by technology, but rather by a lack of emphasis and discipline in both the engineering and programmatic dimensions. Some of the areas cited in the findings include different, conflicting, and changing institutional goals and risk postures; unclear ownership of end-to-end fault management engineering; inadequate understanding of the impact of mission-level requirements on fault management complexity; and practices, processes, and tools that have not kept pace with the increasing complexity of mission requirements and spacecraft systems. This paper summarizes the findings and recommendations from that workshop, particularly as fault management development issues affect operations and the development of operations capabilities