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.
Spotlight on auction in €114m Nasdaq clearing blow-up
Four-member auction may have turned 39% margin breach into huge default fund loss
EU deadlock set to delay CCP resolution rules
Lawmakers disagree over whether Esma should be given new powers to tackle distressed CCPs
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Eurex Clearing set to lose CRO
Thomas Laux stepping down next year
Exchanges warn on clearing concentration
Clearing houses urge margin offset in leverage ratio, adoption of SA-CCR and recalibration of NSFR
Benefits and risks of central clearing in the repurchase agreement market
In this paper, the authors quantify the potential direct economic benefits to market participants and increased risks to CCPs of moving bilateral repo transactions between US dealers and their nondealer clients to CCPs.
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
Time running out for EU Brexit temporary permissions regime
UK clearing houses may need to eject EU member positions if BoE scheme is not reciprocated by year-end
EU drops reporting relief for exchange-traded derivatives
Exemption removed from Emir Refit, but Parliament moots future legislative changes for ETDs
Shanghai CCP no-action relief clears way for US FCMs
Three-year relief may allow more clearing members to join, but hurdles to full recognition remain
Swaps end-users struggle for clearing access – survey
Thirty of 44 derivatives end-users cite difficulties finding and maintaining access to CCPs
Dealers and FCMs split on clearing incentives
72% of client clearing firms say leverage ratio a clearing disincentive
LCH-Eurex basis falls 80% as insurers head to Frankfurt
Fixed rate available at Eurex has dropped from 1.35bp to 0.25bp in past two months
OCC swells liquidity after reinforcing clearing fund
Further changes expected following September clearing fund revamp
Q&A: EU’s Hübner on Brexit and future of equivalence
Top EU lawmaker discusses improvements to equivalence, contract continuity and clearing relocation
Clearing up Deutsche’s swaps ‘shift’
Reported move of euro business is not as straightforward – or as dramatic – as it seemed
Swaps data: OTC margin up; futures margin down
Swaps initial margin jumps 22% year-on-year, against surprise fall in futures margin, writes Amir Khwaja of Clarus FT
Machine learning, leverage ratios and a transatlantic dispute
The week on Risk.net, July 21-27, 2018
VM switch shrinks Nomura's balance sheet
Revised treatment of variation margin reduces exposures by ¥247 billion
Oversight row could block EU firms from US clearing – Giancarlo
Europe’s planned post-Brexit CCP reforms “irreconcilable” with US rules, says CFTC chief
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
Life after London: AMF urges revived capital markets union
French regulator wants supervisory convergence, examines Mifid II impact on market transparency
CCPs build their liquidity buffers
$26 billion increase in deposits entrusted to commercial banks