CCP
WHAT IS THIS? A central counterparty (CCP) manages default risk by collecting initial and variation margin from both parties to a trade. Spill-over losses are absorbed via a default fund to which all members contribute – introducing a degree of mutualised risk – and by the CCP’s own capital. The concept is an old one that was extended to over-the-counter derivatives in the aftermath of the financial crisis.
Regulators’ margin model rules too lax – BlackRock exec
Risk USA: EU anti-procyclicality rules like “putting a curtain over a draughty window”
UBS gears up for another tilt at clearing
Swiss bank makes senior hires and upgrades tech platform ahead of Brexit and leverage offset
SOFR trading tails off after ‘big bang’ boost
Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
Toward reducing the operational risk of emerging technologies adoption in central counterparties through end-to-end testing
This paper discusses the software-testing challenges of traditional central counterparties as well as the risks, biases and problems related to new technologies. It also outlines a set of requirements for an end-to-end validation and verification…
Regulators should set ‘guidelines’ for CCP margins – Kemp
Citi’s former clearing head says CCPs are still competing on margin
CFTC’s swap stay plan for clearing houses sparks alarm
Lawyers warn proposal could invalidate close-out netting and expose members to higher risks
Concentration in cleared derivatives: the case for broadening access to direct central counterparty clearing
In this paper, the authors explore the benefits and challenges of encouraging major end-users of derivatives to become direct clearing members of central counterparties (CCPs).
Euro inflation CCP basis expected as Eurex taps buy side
First crop of Eurex inflation swaps trade flat to LCH, but traders predict four-basis point difference as activity builds
Too much, too young: improving the client clearing mandate
We present new evidence of the distribution of risk in client portfolios and use this to motivate clearing policy improvements.
CCP discount switch drives record SOFR swap volumes
Historic move off fed funds discounting leads to trading surge
Hypothetical yield curve scenarios for credit stress testing
In this paper, we discuss a set of hypothetical yield curve shift scenarios generated by applying extreme value distributions and a shaping procedure. These statistically derived hypothetical stress scenarios could be susceptible to model risk, leading…
CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
Ex-Isda risk chief: ditch gross notional thresholds for clearing
10 years on, David Murphy says mandate should be rebased to exempt less risky firms
Sovereign bond IM increases at LCH Ltd
Margin held in own sovereign debt up 50% year-on-year
The Libor transition – Let’s talk about SOFR
Time is ticking to Libor’s planned decommission date of December 31, 2021. Firms need to move quickly to execute their transition strategies, and having unique insight into certain key issues can aid decision-making. Numerix’s Ping Sun discusses…
JSCC placed majority of its default funds with the BoJ in Q2
Loss-absorbing resources stashed with commercial banks fell over the three months to end-June
SOFR basis tightens on ‘big bang’ auction disclosure
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve
CCP discounting big bang: convexity adjustment
The collateral transition to SOFR will create convexity adjustments that need to be modelled
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
EU CCPs expand overseas footprint
Thirteen per cent of EU CCP clearing members are from outside the EU
Banks’ cross-border exposures to shadow banks surged in Q1
Liabilities to NBFIs increased three times more than usual over Q1 2020
SOFR discounting: CCPs prepare for make or break auctions
Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone