Ice Clear US
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
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
CFTC’s swap stay plan for clearing houses sparks alarm
Lawyers warn proposal could invalidate close-out netting and expose members to higher risks
CCP liquidity risks varied in Q2
Most clearing services said their estimated largest payment obligations fell quarter-on-quarter
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
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
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
CCPs built up liquidity buffers heading into 2020
LCH SA grew qualifying liquid resources 49% year on year
LCH suffered longest operational outages of top CCPs in 2019
London-based LCH LTD said core systems were down for almost seven hours in 2019
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
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
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
Ice adds insurance to default waterfall
Protection promises partial recovery of guarantee funds at three CCPs
Top 10 CCPs add $5.4 billion to liquidity pools in Q2
Clearing houses expand size of secured credit lines over the second quarter
Defaults would dent, but not destroy, CCP liquidity buffers
Max payment obligations in event of member default would be sufficiently covered
LCH leads top CCPs on operational failures
London-based clearing house said core systems were down for over seven hours in 12-month period
Two Ice clearing houses trim liquid assets
Ice Clear Europe and Ice Clear US both removed cash from commercial lenders in Q2
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
At Ice Clear US, largest margin breach on record
The clearing house last reported a margin shortfall in Q2 2017