CCPs
Oil futures and options see record volumes
Brent crude contract traded volumes hit 3.4 million on March 9
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
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
IM calls rocket at LCH’s repo service in Q3
Peak aggregate initial margin call of €462 million in third quarter
SwapClear model update causes IM hike
Maximum aggregate IM call for Q3 was £3.7 billion
Eurex: from EQD clearing specialist to all-rounder
Initial margin for equity derivatives makes up 41% of total, down from 63% four years prior
JSCC issued ¥486bn VM call in Q3
Estimated largest payment obligation sized at ¥620 billion
JSCC had a top margin breach of ¥114m in Q3
Three backtesting exceptions disclosed for 12-month period to end-September
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
Initial margin posted to LCH’s repo service tripled at end-June
Surge in required IM indicates explosion in repo demand
Two Ice clearing houses trim liquid assets
Ice Clear Europe and Ice Clear US both removed cash from commercial lenders in Q2
LCH SA members add €371m to cash, derivatives default fund
Funds for other clearing activities see quarter-on-quarter falls, in contrast
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter
LCH SA on the hook for €32bn if member defaults
Payment obligation, if realised, would wipe out 50% of CCP’s liquidity buffer
CME issued $1.8 billion VM call in Q2
Margin call was the fourth largest made by CME’s futures and options unit since disclosures began
Eurex Clearing reports sharp rise in default exposures
Clearing house’s peak same-day payment obligation rose to €5 billion in the second quarter
DTCC default fund contributions climb 15%
CCP had 270 clearing members at end-June
OCC reports 24% spike in default exposure
Clearing house’s peak same-day payment obligation rose to $5 billion in the second quarter