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.
Germany scrambles to shut the door on Mifid open access
Finance ministry will face fine timing to reverse clearing rule during its EU presidency
EU derivatives markets highly concentrated
CCPs hold 41% of interest rate derivatives notional exposures
Clearing experts fear tough EC stance on Emir 2.2
Industry disappointed final Esma advice did little to dial back on burdensome equivalence rules
JSCC had a top margin breach of ¥114m in Q3
Three backtesting exceptions disclosed for 12-month period to end-September
CCPs, margin ease and equity option freeze
The week on Risk.net, November 23–29, 2019
Clearing house power-downs raise fears among members
Banks question CCP resilience to system outages, as debate swirls over non-default losses
Lifetime achievement: Benoît Coeuré
Risk Awards 2020: The departing ECB executive has helped transform eurozone financial markets
Fintech start-up of the year: Baton Systems
Risk Awards 2020: With four million FX trades since launch, the “institutional PayPal” now aims to free trapped margin
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Ice adds insurance to default waterfall
Protection promises partial recovery of guarantee funds at three CCPs
Prime services – It’s about what you bring
There are many benefits to integration – particularly when it comes to the provision of prime services. Societe Generale has followed this path, which has allowed it to improve cost efficiency and improve the range of products it can offer. The bank has…
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
Fed’s repo operations will not fix rate spikes, dealers say
Risk USA: leverage constraints remain, even after massive injections of emergency liquidity
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
CCPs dismiss bank, buy-side criticisms
CME, Ice bat away suggestions of flaws in clearing house risk management
LCH to cut jump-to-default margin for cleared CDS
Move could bring margin for cleared CDS closer to bilateral trades, but mismatch remains
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Hong Kong eyes SOFR solution for term fixing
New ‘proxy’ Honia could help change discount rate from Hibor to OIS for local swaps, says HKEX
LCH leads top CCPs on operational failures
London-based clearing house said core systems were down for over seven hours in 12-month period
US clearers move to dole out losses besides default
ICC wants members to chip in on investment and custodial losses; the OCC, on the whole op risk enchilada
US clearing houses need not take collateral damage from Brexit
There are signs the US and EU will pull back from the brink in dispute over CCPs
On CCP oversight, US and EU may be closer than they appear
Competing proposals on foreign CCP oversight have more in common than recent rhetoric implies
Central counterparties: magic relighting candles?
In this paper, the rules of selected major CCPs (LCH, CME, Eurex and ICE) are reviewed for both their end-of-waterfall procedures and the rights granted to clearing members in end-of-waterfall scenarios.