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.
New DTCC fee structure could lure non-bank traders
US regulator approves proposal targeted at government securities business
A CCP is a CCP is a CCP
This paper discusses the many differences between CCPs and banks as well as the significance of these differences.
Asian and Americas CCPs seek EU recognition
16 CCPs apply for Esma's seal of approval
Hedge funds cut CDS positions as basis trades diminish
Net long CDS positions fell by $117 billion from mid-2014 to end-2017
CDS market structure transformed – BIS
Inter-dealer trades have retreated as CCP dominance grows
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
CCPs must step up cyber risk efforts, says EU legislator
Policymakers want more focus on non-default loss resources; Eurex Clearing’s Mueller flags investment risk
CCPs incur fewer margin breaches in 2017
LCH Ltd reports 399 fewer breaches than in 2016; DTCC 156
Buy side using compression tools to create, not destroy
Custom-trading services are booming at Bloomberg and Tradeweb, but not for the reasons intended
Liquidity resources vary across CCPs
Eurex, Ice Clear Credit, LCH SA most dependent on cash deposited at central banks
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Barclays’ cleared and non-cleared OTC volumes diverge
Non-cleared notionals down 23% year-on-year
Concentration of client positions rises at LCH
Over 75% of client positions handled by five largest clearing members at LCH Ltd
Measuring system-wide resilience of central counterparties
This paper describes the three components needed to simultaneously stress clearing members and CCPs across markets: scenario generation, evaluation of the profit and loss (P&L) of clearing member portfolios for each scenario, and default of clearing…
Esma questions CCP ‘free ride’ for sovereigns
Regulator has asked EC to take a stance on venues that let public entities clear without posting margin
Swaptions CCP basis arrival raises wider valuation questions
Halting rollout of new prices highlights potential weak points in valuing illiquid products
Rolet is right – for now
CME/Nex deal could change the established logic on how to deliver rates market savings
CME has chance to rule US rates after Nex deal
Market expects exchange to unite bond, repo, futures and swaps clearing – eroding grip of banks and DTCC
OCC’s Morrison on combating the cyber threat to clearing
Cyber security chief eyes analytics and machine learning to help anticipate – and defend against – breaches
Over half of CDS contracts cleared – BIS
Non-cleared trades continue downward slide
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
One for my baby (and one more for the road): incentives, default waterfalls and central counterparty skin-in-the-game
In this paper, the authors argue that both for-profit central counterparties and their clearing members should contribute to the default waterfall, with a CCP’s two contributions coming directly before and directly after the tranche of clearing member…
EU’s evolving CCP resolution rules get mixed reviews
Isda AGM: Parliament tackles big issues in recovery and resolution text, but 'doesn’t go far enough'
Giancarlo expects to resolve EU-US CCP spat
CFTC chairman lauds relationship with EU’s Dombrovskis