CCPs
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
Ice Europe’s CDS unit hit by almost 1,000 IM breaches in Q1
Peak breach was €100 million in size
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
LCH SA incurs record number of margin breaches in Q1
Largest initial margin shortfall amounted to €100 million
Initial margin held by JSCC swelled 65% in Q1
Largest IM call for JGB index futures and options unit was ¥443.9 billion
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
SwapClear incurred a $558m margin breach in Q1
Liquidity and concentration add-ons covered 41% of mark-to-market exposure
Margin breaches exceed €500m at Eurex in Q1
Eurex disclosed 3,180 margin shortfalls over twelve months to end-March
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
Eurostoxx dividend futures see trading frenzy
December 20 contracts drop 39% in March
Cleared sovereign CDS volumes build as pandemic spreads
South Korea and Italy CDS vols dominate Ice Clear Credit and Ice Clear Europe, respectively
iTraxx volumes spike amid market panic
Volumes of Ice-cleared index contracts more than four times higher than average
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