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.
How confident are we of margin model procyclicality measurements?
This paper investigates procyclicality models, bringing attention to that fact that typical measures of model responsiveness are random variables and impacted by uncertainty.
Volatility fuels record growth in CDCC’s default fund
Skin in the game increase overshadowed by member contribution spike in Q1
BoE takes subtle leverage snipe at CCP cross-margining
Margin offsets might increase risk, but could also encourage more central clearing
NSCC logs record $9.2bn daily VM call in Q1
Required initial margin surges 38% in quarter marked by volatility
FMIs create culture club for op risk
Exchanges and clearing houses seek to build risk resilience among front-line business, amid concerns of overreliance on second line of defence
EC moots postponing 122 delegated acts to cut compliance costs
Secondary legislation from CRR, Emir and Mifir identified as suitable for unspecified delay
CFTC set to vote on JSCC client clearing access
US investor demand for JSCC clearing ramps up amid rising yen interest rate volatility
LCH adds China sovereign bonds to collateral pool
Acceptance of euro and dollar debt could be widened to offshore renminbi bonds by year-end
LCH to expand access to FMX futures clearing
Clearing house is awaiting regulatory approval to allow client clearing via FCM affiliates
Academics call for tenfold jump in CCP capital cover
New framework finds mono-layer clearing houses may require biggest skin-in-the-game
Technology is a double-edged sword for FMIs
Exchanges and clearing houses rely on third-party vendors for vital systems, but outsourcing can also lead to duplication and waste
Citadel exec questions regulatory findings on repo haircuts
Isda AGM: OFR analysis didn’t account for excess collateral held against cleared positions in related trades
Emir 3.0 could complicate Eurex cross-margining for repo
Clearing house targets November 2025 to launch repo on Prisma, but new EU rules are imminent
Till def(ault) do us part: reassessing counterparty risk between global systemically important banks and central counterparties
The authors investigate how far liquidity at G-SIBs may be available to CCPs prior to a G-SIB resolution beginning and before a forced closeout is necessary, allowing the G-SIB to continue trading with a CCP until a payment default occurs.
ECB removes need for governing council to approve CCP facility
New “automatic” facility will require safeguards that are “still being implemented”, bank says
BoE plans to link system-wide and individual stress tests
Meanwhile, ECB wants to broaden system-wide stress models to include central counterparties
OCC’s equity-based IM hit record 91% heading into 2025
CCP’s margin base leant further into equities ahead of market turmoil
Ice eyes year-end launch for Treasury clearing service
Third entrant expects Q2 comment period for new access models that address ‘done-away’ accounting hurdle
Liquidity risk spikes at CME and OCC
CCPs revised estimated worst-case payment obligation to highest levels on record in Q4
Indonesian CCP seeks thumbs-up from US, UK and Japan
Growing foreign bank interest pushes IDClear to pursue regulatory approval overseas
Industry fears Emir 3.0 fast model approval will cause delays
More model changes could be caught by proposed criteria for defining significance
NSCC liquidity shortfalls raise T+1 concerns
Lagging FX settlement processes could become a problem for clearing houses
Jacky Mak leaves HKEX to take career break
Industry veteran and Swap Connect pioneer announced resignation at weekend
Basis traders mull UST self-clearing as response to SEC mandate
Inter-affiliate exemption requested by hedge funds could ease shortage of clearing capacity