Committee on Payments and Market Infrastructures (CPMI)
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
At CCPs, sovereign bonds are top IM collateral
Government debt makes up 48% of IM on average among top clearing houses
Inside top CCPs’ default funds
Central banks favoured by CCPs to hold default resources
European CCPs home to 241 non-bank clearing members
Majority of non-financial counterparties are energy and power firms
Volume pop leads to higher IM at Ice Clear Europe CDS
Open interest in CDX contracts increased 78% in first nine months of 2019
At CME, required IM up 18% in Q3
Surge follows busy August and September for the swaps clearing business
OCC member default fund contributions up $1bn in Q3
Peak initial margin call was $9.9 billion in Q3
Eurex: from EQD clearing specialist to all-rounder
Initial margin for equity derivatives makes up 41% of total, down from 63% four years prior
Lifetime achievement: Benoît Coeuré
Risk Awards 2020: The departing ECB executive has helped transform eurozone financial markets
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
Clients demand access to CCP default auctions
“In a default, we are comfortable taking on risk and can move quickly,” says DRW’s Wilson
FSB’s Domanski cool on bail-in debt for clearing houses
Global standard-setter says all clearing participants must be incentivised to manage risk
Top CCPs’ liquidity pools hardly grow in Q1
LCH SA the only outlier as most clearing houses see cash, collateral and credit on hand shrink
Top CCPs add $79 billion to liquidity pool in 2018
Clearing houses placed more cash with commercial banks than in 2017