Risk Quantum/Eurex Clearing
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
EU and UK CCPs dominated by foreign members
Non-domestic clearing members accounted for over 70% of LCH’s and Eurex’s pool in Q3
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
IM at Eurex Clearing’s IRS unit rose again in Q3
Heightened market volatility behind latest increase to record high €50.7bn
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
Liquidity risk up 138% at Eurex in Q2
CCP revised estimated worst-case payment obligation to highest level on record
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
Eurex boosts liquidity buffer by 26%
Increase largely driven by the growth of the CCP’s IRS business
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
Margin breaches quadrupled at Eurex in 2020
Equity derivatives service witnessed 1,782 breaches last year alone
Top CCPs invest little clearing member cash in securities
Cash payments of initial margin and default fund contributions are typically placed with central banks
Skin in the game of top CCPs varies
The average default fund has less than 4% of total resources contributed by the host CCP itself