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.
Eurex made €525m VM call in Q1
Margin call equivalent to 2% of CCP’s own liquidity resources
Eurex boosts liquidity buffers by 8%
Central bank deposits continue to make up bulk of CCP's liquidity resources
Capitalab completes first compression run with SGX
Compression efficiency in SGX Nikkei 225 options could be as high as 50%, Capitalab says
HKEX boosts member credit risk monitoring
Hong Kong exchange’s several hundred clearing members pose complex default risk correlations, says chief risk officer
Libor leaders: LCH brings SOFR swaps into the fold
CCP adapted risk models to start clearing new swaps and plans quick switchover to SOFR discounting
Libor leaders: how seven firms are tackling the transition
BMO, Prudential, Associated British Ports, LCH and others reveal their plans to move off troubled benchmark
Libor leaders: BMO sets the pace in RFR transition
Early mover switches £10 billion of pension liability swap hedges to Sonia
Default fund costs dominate US G-Sibs’ cleared swaps charges
Default fund contributions accounted for 62% of the eight banks’ RWAs
Esma takes flak over vague CCP enhanced supervision plans
JP Morgan calls for more quantitative thresholds for determining systemic foreign CCPs
Giancarlo bows out with regulatory deference
Move comes amid row between US and European policymakers over cross-border CCP regulation
New tools needed for bespoke SOFR trades – Wells Fargo
US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
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