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.
No more delays on Mifid open access, EU regulator says
European authority confirms July 2020 start date, reigniting argument over market stability versus competition
SEC may allow wider cross-margining of single-name CDS
Banks want to cross-margin single-name CDS against options, indexes and cash products
HSBC led EU G-Sibs on collateralisation in 2018
UK bank posted €908 billion for derivatives and SFTs as of year-end
LCH plans major forex clearing expansion
CCP to tackle cash-settled options, deliverable swaps and standalone service for deliverable forwards
Eurex cross-currency swap clearing faces continued delays
Clearing house eyes June release; dealers voice concerns over liquidity and margining
Podcast: Kaminski on lessons from commodity market defaults
Professor Vince Kaminski analyses Nasdaq and PJM defaults
Don’t fear the clearer
Wider use of CCPs not systemic threat – but participants do face hard-to-measure risks
HKEX clearing head talks margin and auctions post-Nasdaq
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
Goldman welcomes Basel’s rationalisation drive
Isda AGM: Praise for efforts to curb fragmentation, but EU official defends rollback of deference
OCC members' default fund payments drop 39% in 2018
Calculation switch shaves billions off mandatory contributions
Will the Nasdaq default spur CVA for CCPs?
Quant proposes model to calculate bank credit risk exposure to CCP
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Brexit fear drives futures trades out of London
Transitions via FIA protocol have escalated since January as no-deal concerns mount
Eurex member faced jumbo VM call in Q4 2018
Third-largest actual same-day payment obligation is the biggest since 2016
Patchy response to Isda’s back office of the future
Some banks are quiet, while clearing houses seem split on uptake of Isda data standardisation project
EU swap users still hope for single-sided reporting, one day
Lawmakers fail to deliver Emir reprieve but tease at potential future changes
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