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.
CME’s European CCP to lower rates default fund burden
Firm hopes move will entice smaller players to join rates clearing service
Banks voice fresh concerns over CCP non-default losses
Dealers could face cash calls to recapitalise an ailing CCP that suffers a critical non-default loss under FSB proposals
Banks seek to pry open CCP black boxes
Clarity on model inputs may have averted Brexit chaos, FCMs claim
EC could use thresholds to squeeze London euro clearing
Most euro clearing could be repatriated after Brexit without hitting other jurisdictions
OTC client clearer of the year: Citi
Risk Awards 2017: FCM makes its voice heard as business booms
Indirect clearing rules too demanding, warn EU regulators
EBA and Esma call for clarity on capital relief for exposures to clearing members
CCP rules are unclear and risky, EBA and Esma warn
Agencies query areas of ambiguity for clearing houses’ derivatives transactions
Why liquidity risk is the silent clearing killer
A quant paper shows feedback effects can amplify CCP margin requirements in stressed markets
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
I want security: stylized facts about central counterparty collateral and its systemic context
In this paper, the authors introduce the principal policy issues affecting CCPs and collateral and then use these disclosures to contextualize some stylized facts that may aid in understanding and addressing the policy issues.
Dealers urge further clarity on rules for ailing CCPs
New European rules stop short of defining resolution triggers
Banks and CCPs clash over non-default losses
Banks balk at being on the hook for losses from investments or cyber attack, but many clearers say the risk should be shared
Clearers laud EC transition extension for non-EU CCPs
Absent the extension, OCC estimates extra $74 billion in RWAs for European members
Indian CCP equivalence push hits data protection roadblock
CFTC demands India’s clearing house hand over information on trades involving US persons
SGX rules out VM haircutting in recovery planning
Hitting variation margin "inappropriate" in Singapore context, but some bankers support its use
Suspend bank capital rules following an FCM default, CFTC told
Banks may be more likely to bid in post-default auctions if temporary capital relief is granted
CCP default risks not correlated, CFTC finds
Timothy Massad: stress tests reveal “quite a bit of diversification” in CCP exposures
Simulated banking system shows pros and cons of Basel III
Stability improves, but higher capital requirements also cut lending in new research
A referendum on clearing
Brexit margin calls show swaps CCPs are relying on funding strength of a handful of banks
Huge Brexit margin calls stoke intra-day funding fears
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
LCH to revise margining after Brexit backlash
Excess intra-day margin will offset other collateral calls from November 3
CCPs defend direct clearing models for the buy side
FCMs unsure if direct margin posting will deliver capital savings
LCH under scrutiny after outsized Brexit margin calls
Intra-day calls criticised by banks; FIA working group pushing for change
Emir review could enable EU clearing land grab
Experts say 2015 ECJ ruling may not protect London euro clearing if the UK leaves the European Union