Committee on Payments and Market Infrastructures (CPMI)
Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients
Margin failings raise concern over Treasury basis trade
Opaque models at clearing houses cast doubt on calculations for concentration add-on
EU takes steps to avoid India clearing house lockout
Other Asian regulators may also have concerns about extraterritorial reach of Emir 2.2
A crypto CCP is still a CCP
For crypto infrastructure rules, regulators need speed before perfection, says former BoE adviser
Liquidity pool at FICC’s government securities unit shrank 49%
Clearing unit did not disclose any highly marketable collateral and repo values of underlying securities as part of available liquidity buffer in Q3
BoE official signals tough stance on CCP skin in the game
Default waterfalls must include a second tranche of CCP capital, says Cunliffe
Basel crypto capital plan threatens banks’ DLT projects
Proposed infrastructure add-on could make blockchain settlement and payment systems non-viable
Bypassing consent may aid CCP porting – report
CPMI-Iosco report says clearing houses cannot reasonably accommodate client preference; brokers favour rule book harmony
Options expiry triggered $135m liquidity shortfall at NSCC
The CCP collected supplemental liquidity deposits six times during the first quarter
Don’t impose blanket margin model rules, say BoE advisers
Focus instead on outcomes and costs and factor in different clearing membership, say Murphy and Vause
Regulators moot public utility to tackle FX settlement risk
Idea floated as battery of initiatives vie to address slowing use of PvP services
At CME, required IM increased over one-third in 2020
IM for futures and options hit $152.3 billion at end-December
LCH Ltd sent record €6bn VM call to one clearing member in Q3
Largest estimated payment obligation in the event of a member default also climbs quarter on quarter
Initial margin at the OCC leapt 20% in Q3
Cleared options contract volumes hit 1.9 billion in Q3
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Eurex initial margin ebbed over Q2 as default fund swelled
Participant contributions to default fund up 55% quarter-on-quarter
JSCC placed majority of its default funds with the BoJ in Q2
Loss-absorbing resources stashed with commercial banks fell over the three months to end-June
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
DTCC’s mortgage unit hit by $1.5bn margin breach in Q1
A large, directional portfolio $100 billion in size was to blame
OCC made $32bn initial margin call in Q1
Clearing house reported peak margin breach of $273 million
Fourteen margin breaches at CME’s swap unit in Q1
The peak breach was almost $80 million in size
Entering 2020, most CCPs had bigger default funds than a year ago
Majority of back-up funds to handle member defaults saw more pre-funded resources flow in
Top five clearing members dominate CCPs
Thirteen of 25 clearing services surveyed have 50% or more open positions in hands of top five members