Options Clearing Corporation (OCC)
OCC quants tout anti-procyclical margin method
Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity
GameStop frenzy triggered $2 billion margin breach at OCC
Total initial margin held by the OCC's default fund stood at $114.4 billion in Q1
Initial margin at the OCC topped $100bn in Q4
Exchange-traded derivatives hub cleared 7.5 billion contracts in 2020
Options pricing framework buckles under GameStop frenzy
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
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
Initial margin at the OCC leapt 20% in Q3
Cleared options contract volumes hit 1.9 billion in Q3
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
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
Hammer time? Clearers mull co-operation on default auctions
Some CCPs are mooting joint auctions to resolve large defaults – but critics deem them unworkable
CCPs added cash to their liquidity buffers in Q1
CME increased cash reserves at central banks by 271% quarter-on-quarter
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