Options Clearing Corporation (OCC)
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
OCC made $32bn initial margin call in Q1
Clearing house reported peak margin breach of $273 million
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
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
Sluggish back-office systems added to margin pressures
Systems supplied by FIS struggled to handle massive spike in March trading volumes
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
OCC updates default auction rules to encourage buy-side bids
Clearer’s proposed changes follow client fears of being locked out
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
OCC member default fund contributions up $1bn in Q3
Peak initial margin call was $9.9 billion in Q3
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
US clearers move to dole out losses besides default
ICC wants members to chip in on investment and custodial losses; the OCC, on the whole op risk enchilada
OCC reports 24% spike in default exposure
Clearing house’s peak same-day payment obligation rose to $5 billion in the second quarter
OCC on the hook for $4bn if member defaults
Clearing house’s liquidity resources hit $7.9 billion in Q1
People moves: CRO role for SG’s Ricke, Barclays continues hiring spree, new SwapClear head, and more
Latest job changes across the industry
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
Don’t fear the clearer
Wider use of CCPs not systemic threat – but participants do face hard-to-measure risks