Committee on Payments and Market Infrastructures (CPMI)
OCC skin in the game down by nearly a third
Hike in capital expenditures and tax payments drives decrease
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases
OCC liquidity risk doubles to all-time high in Q2
Concentration of activity around June expiration responsible for record rise
Liquidity risk triples at Nasdaq in second quarter
Updated model extends time horizon to seven-plus days
At Eurex, default fund grows 45% to record size
Market volatility and current interest rates level behind increase in Q2
Members’ contributions to MBSD’s default fund up 11%
CCP’s skin in the game also up slightly, pushing aggregate amount to highest since Q1 2022
Sovereign bonds top choice for IM collateral
Drive towards higher interest-earning assets strongest at CME and LCH among top CCPs
RepoClear’s default fund halves in Q1
Elevated initial margin allows LCH service to scale back second line of defence to lowest point on record
CCPs shun central banks in liquidity buffers rejig
LCH, Ice US and CME lead the way towards commercial banks
Initial margin hits all-time high at two LCH services
Despite initial margin spike, breaches at SwapClear climb to nearly 19,000
NSCC member received record $42bn cash call in Q1
Largest payment obligation was 22% larger than previous quarter
Initial margin breaches surge at JSCC government bonds division
Sharp interest rate fluctuations triggers largest backtesting deficiency on record
CCP ‘skin in the game’ still dwarfed by member contributions
Even as markets churned in 2022, clearing houses coughed up only 2% of funds at end-September – the same as the previous year
Commercial bank cash grows more popular for initial margin
Shift driven by Ice Europe as CCPs diverge on preferred type of collateral
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
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