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.
CFTC nominee opposes EU oversight of US clearing houses
In EU-US turf war, Heath Tarbert says US CCPs should be ‘exclusively supervised’ by US regulators
Study floats idea of breaking up CCP services
Proposal includes explicit public backstop for key functions and private provision of other services
Banks split over sending traders to default auctions
After Nasdaq auction failed, some see need for traders in process; others can’t afford to lose them
CFTC official: CCPs should war-game default auctions
Risk appetite should be factor in selecting auction participants – Wasserman
Time running out for Brexit data compliance, Bailey warns
FCA head also highlights shortfall on Mifid trading venue equivalence
Who pays? Who gains? Central counterparty resource provision in the post-Pittsburgh world
In this paper, the authors develop a conceptual framework to examine whether the regulatory changes since the Pittsburgh Summit could be a catalyst for reconsidering the structure of clearing houses.
Ring-fencing law swells Lloyds’ swap book
Recognition of intra-group trades boosts leverage exposure measure and CCP charges
Cleared swaps grow 10 times faster than bilateral at HSBC
Total derivatives notionals up 25% year-on-year
Regulators to scrutinise CCP default auctions
CPMI-Iosco preps discussion paper as banks warn further guidance needed after Nasdaq default
A rush on Libor fallbacks to head off holdouts
Concerns that valuation changes will scare some off adoption may be accelerating Isda timeline
LCH plans 2020 switch to SOFR discounting
Users opt for one-step switch to new US dollar regime, as long as CCP cooks up compensation scheme
Margin or membership? Regulators react to Nasdaq default
Six supervisors – from Bafin to the MAS – downplay idea of mandatory increase in futures MPOR
SOFR, so bad: liquidity lags transition ambitions
Thin current trading may lead to poor fallback choices, and dim SOFR’s appeal ahead of Libor’s death
Eurex Clearing names new CRO
CCP’s risk analytics head will replace Laux in July
FICC takes firm grip of US repo market
Central counterparty wrangled more money market repo cash than banks did by end-2018
DTCC, Ice Clear Europe lead top CCPs in boosting liquidity buffers
CCPs added $20.8 billion to their liquidity buffers in the third quarter of 2018
Ice Clear Europe posts $1.2bn margin breach in Q3
In total, 55 margin breaches reported at end-September 2018
BIS slams Nasdaq Clearing for risk management failures
Clearing member says it is giving notice to quit bourse, citing concerns over concentration of risk on venue
Reducing margin procyclicality at central counterparties
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
The centrally cleared interest rate derivatives market: how are clients changing the risk perspective?
This paper analyzes counterparty relationships within both direct (house) and client clearing in the interest rate derivatives market in the European Union.
Margin model revamp should top 2019 agenda for Asian CCPs
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
Clearing houses urge CFTC to act on non-default losses
US clearing members divided on whether NDLs are CCPs’ responsibility or a mutual risk