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.
Energy vol puts spotlight on Ice’s TTF futures margin
Clearing firms say exchange was slow to react as natural gas prices spiked
Barclays looks to woo CCPs with CDM prototype
Plan to save billions in post-trade costs relies on the creation of central data utilities
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
Initial margin at LCH Ltd rose in Q2
RepoClear and ForexClear saw biggest increase over the quarter
OCC increases skin in the game in Q2
Own funds to handle a participant collapse amounted to $313 million
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
Ice Clear Credit member default fund contributions climb 6%
Total pre-funded required participant payments hit a record high in Q2
Synthetic Libor gets cautious approval as swaps fix
‘Tough legacy’ solution could mop up $2.7trn-equivalent of non-cleared sterling and yen derivatives
Euro swaps relocation stalls as equivalence deadline nears
Nine months before equivalence deadline, over 70% of EU euro swap trades still clear in the UK
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
JSCC turns to commercial banks in rejig of liquidity reserves
Funds stashed at the Bank of Japan down 31% on the previous quarter
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
How Brexit split Aegon’s euro swaps book
Years-long effort saw trades quietly move to Frankfurt – but firm wants continued access to LCH
Cleared portfolios surge at EU G-Sibs
Systemic banks post highest share of cleared trades in seven years, as IM phases five and six approach
EU ‘unlikely’ to force swaps relocation – ex-MEP Swinburne
Multinational corporates would resist clearing move if CCP equivalence is lost, says former lawmaker
OCC quants tout anti-procyclical margin method
Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity
It’s time to call time on leisurely disclosures by CCPs
When clearing houses falter, markets should not be kept in the dark for months on end
Eurex plans hedging contest in default auction revamp
New step in the default management process would enhance transparency in hedge provider selection
Ex-regulators back PTFs’ call to reform Treasuries clearing
G30 proposal comes just weeks after PTFs requested improvements to Ficc sponsored clearing
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
Sunil Cutinho on CME’s crisis performance
Maverick clearing house boss dismisses the need for anti-procyclicality tools imposed by regulators
Procyclicality control in risk-based margin models
This paper revisits the procyclicality issue in risk-based margin models and provides additional insight on procyclicality mitigation techniques.
NSCC caught $600m short during meme-stock frenzy
Worst-case losses would have wiped out the CCP’s available liquid resources on one day in Q1
JSCC issued $2.8bn VM call on a clearing member in Q1
The call was for a participant in the CCP’s clearing services that cover IRS, CDS and exchange-traded financial products